CAJ | 학술논문

本文借鉴“公地悲剧模型”论证了银行业实施微观审慎与宏观审慎协调监管的必要性，并运用面板VAR模型对我国14家上市银行的数据进行实证检验，研究宏观审慎工具与微观审慎监管工具对商业银行稳健性的影响。实证研究结果表明，给定宏观审慎监管工具“银行业集中度”和“广义信贷/GDP偏离度”的一定冲击后，商业银行稳健性水平从负向反应逐步转为正向反应；给定微观审慎监管工具“流动性比率”、“核心资本充足率”和“杠杆率”的一定冲击后，商业银行稳健性水平呈现正向反应。这表明单一宏观审慎监管工具与微观审慎监管工具的效应并不完全协调，因此，应当完善宏观审慎监管工具的种类和操作方式。
본문차감“공지비극모형”론증료은행업실시미관심신여굉관심신협조감관적필요성，병운용면판VAR모형대아국14가상시은행적수거진행실증검험，연구굉관심신공구여미관심신감관공구대상업은행은건성적영향。실증연구결과표명，급정굉관심신감관공구“은행업집중도”화“엄의신대/GDP편리도”적일정충격후，상업은행은건성수평종부향반응축보전위정향반응；급정미관심신감관공구“류동성비솔”、“핵심자본충족솔”화“강간솔”적일정충격후，상업은행은건성수평정현정향반응。저표명단일굉관심신감관공구여미관심신감관공구적효응병불완전협조，인차，응당완선굉관심신감관공구적충류화조작방식。
The paper using improved"Tragedy of the Commons"model demonstrates the necessity of banking industry to implement macro-prudential and micro-prudential supervision, and researches the macro-prudential and micro-prudential supervision tools impact on the soundness of commercial banks using panel VAR model. The empirical analysis shows that given the macro-prudential regulatory tools"banking concentration"and"generalized credit/GDP deviation"a certain impact, the soundness of commercial banks gradually shift from the level of negative response to the positive reaction;Given the micro-prudential regulatory tools"liquidity ratio","core capital adequacy ratio"and"leverage"a certain impact, commercial banks react positively robust level. The results show that single macro-prudential and micro-prudential regulatory tools are not fully coordinated effects, regulatory authorities should improve the macro-prudential regulatory tools of the type and mode of operation.