CAJ | 학술논문

商业银行资本缓冲水平的周期性特征对银行业经营活动的稳健性、金融体系的稳定性有较大影响。本文基于现有文献，构建了资本缓冲水平决定因素的理论框架，并利用2001-2012年我国上市银行数据进行了经验分析。研究结果表明：我国上市银行资本缓冲水平具有逆周期效应，这一逆周期效应具有稳健性和不对称性。因此，本文提出完善逆周期资本监管机制的重心在于建立资本补充的长效机制、对核心资本和风险资产实行双重监管和政策调节，基于宏观审慎监管原则针对不同经济周期和不同性质资产实施动态的资本监管。
상업은행자본완충수평적주기성특정대은행업경영활동적은건성、금융체계적은정성유교대영향。본문기우현유문헌，구건료자본완충수평결정인소적이론광가，병이용2001-2012년아국상시은행수거진행료경험분석。연구결과표명：아국상시은행자본완충수평구유역주기효응，저일역주기효응구유은건성화불대칭성。인차，본문제출완선역주기자본감관궤제적중심재우건립자본보충적장효궤제、대핵심자본화풍험자산실행쌍중감관화정책조절，기우굉관심신감관원칙침대불동경제주기화불동성질자산실시동태적자본감관。
The cyclical characteristics of commercial bank capital buffers have a significant impact on the soundness of banking activities and the stability of financial system. Based on a detailed literature review, this paper constructs a theoretical framework of the determinants of capital buffers and tests it empirically using the data of listed banks in China from 2001 to 2012. The results show that capital buffers of listed banks in China are counter-cyclical and the counter-cyclicality is robust and asymmetric. In view of this, this paper concludes that for the enhancement of countercyclical capital regulatory mechanism, it is key to establish a long-term mechanism for capital replenishment, impose requirement and adjustment on both core capital and risk assets, and implement dynamic capital regulation based on the phases in the economic cycle and categories of assets under the principles of macro-prudential regulation.