CAJ | 학술논문

净资本比率反映了证券公司风险业务比重，其会随着经济周期、资产价格波动而变化，并会进一步影响资产价格、放大宏观经济波动，表现出顺周期性特征。根据2006—2010年我国45家证券公司数据建立的面板模型所进行的实证研究表明，我国证券公司净资本比率顺周期性特征明显。我国有必要构建证券公司净资本比率逆周期监管机制，缓解其顺周期性，增强金融体系的稳健性。
정자본비솔반영료증권공사풍험업무비중，기회수착경제주기、자산개격파동이변화，병회진일보영향자산개격、방대굉관경제파동，표현출순주기성특정。근거2006—2010년아국45가증권공사수거건립적면판모형소진행적실증연구표명，아국증권공사정자본비솔순주기성특정명현。아국유필요구건증권공사정자본비솔역주기감관궤제，완해기순주기성，증강금융체계적은건성。
Net capital ratio is a reflection of risk business ratio of securities companies. It changes with the fluc- tuation of economic cycle, asset prices and further affects the assets prices and amplifies the macroeconomic vol- atility, so it has the characteristics of pro-cyclicality. Using the panel data model which includes 45 securities companies in 2006 -2010, we clearly find the pro-cyclical characteristicsof the securities companies＇ net cap- ital ratio in China. It is necessary for China to construct the securities companies＇ net capital ratio counter cycle supervision mechanism in order to alleviate the pro-cyclicality and enhance the financial system＇s stability.