CAJ | 학술논문

本文以资本缓冲对银行风险承担水平的影响作为研究对象，从理论上分析了银行风险承担水平随资本缓冲变动调整的机理，并提出一系列理论假说。在此基础上，采用全球97个国家1211家商业银行的微观数据作为研究样本，运用动态面板系统GMM估计的方法对理论假说进行了实证检验。实证结果表明：资本缓冲的增加强化了银行提高风险承担水平的动机，这一机制在经济增速较快时体现得尤为明显；随着资本缓冲数量的增加，资本缓冲对风险承担水平的正向激励效应会呈现“减弱-强化-减弱”的“u”型关系；资本金结构中核心资本比例的提高，会强化资本缓冲对风险承担水平的正向激励效应。
본문이자본완충대은행풍험승담수평적영향작위연구대상，종이론상분석료은행풍험승담수평수자본완충변동조정적궤리，병제출일계렬이론가설。재차기출상，채용전구97개국가1211가상업은행적미관수거작위연구양본，운용동태면판계통GMM고계적방법대이론가설진행료실증검험。실증결과표명：자본완충적증가강화료은행제고풍험승담수평적동궤，저일궤제재경제증속교쾌시체현득우위명현；수착자본완충수량적증가，자본완충대풍험승담수평적정향격려효응회정현“감약-강화-감약”적“u”형관계；자본금결구중핵심자본비례적제고，회강화자본완충대풍험승담수평적정향격려효응。
This paper studies the relationship between capital buffer and banks＇ risk-taking level. Based on a dataset with 1211 commercial banks from 97 countries, this article develops a dynamic panel model and examines the theoretical hypotheses with one - step systematic GMM estimation. The resuhs show that the increase of capital buffer stimulates banks＇ risk taking level, which seems to be more significant in periods of economic upturns; as capital buffer increases, the positive effects between capital buffers and bank risk-taking behavior like a ＂U＂ shape curve （first decrease, then intensify, and decrease again）. The increase of core capital in hanks＇ capital structure will enhance the positive relationship between capital buffer and risk-taking level.