商业银行流动性创造与资本充足率关系研究——来自中国银行业的经验证据
8133 
3595
财经研究 2014 年 第 40 卷第 07 期, 页码：65 - 76
摘要
参考文献
摘要
文章基于1998-2012年我国113家商业银行的微观数据,采用联立方程模型实证检验了银行流动性创造与资本充足率之间的关系。研究结果表明:(1)资本充足率对流动性创造的影响在不同类型的银行中存在显著差异。对于大型国有银行,资本充足率对流动性创造的影响不显著;而对于全国性股份制银行和地方性商业银行,提高资本充足率会使流动性创造水平降低,这验证了"金融脆弱-挤压假说"。(2)流动性创造对资本充足率的影响在三类银行中均显著为负,即银行的流动性创造越大,其面临的流动性风险越高,但银行并没有相应地提高资本充足率。文章的结论为我国银行业监管当局制定合理的资本与流动性监管政策以及促进商业银行自身加强资本与流动性管理提供了重要的参考。
[1]党宇峰,梁琪,陈文哲.我国上市银行资本缓冲周期性及其影响因素研究[J].国际金融研究,2012,(11):74-85.
[2]黄宪,熊启跃.银行资本缓冲、信贷行为与宏观经济波动——来自中国银行业的经验证据[J].国际金融研究,2013,(1):52-65.
[3]蒋海,罗贵君,朱滔.中国上市银行资本缓冲的逆周期性研究:1998-2011[J].金融研究,2012,(9):34-47.
[4]李涛,刘明宇.资本充足率、银行信贷与货币政策传导——基于中国25家银行面板数据的分析[J].国际金融研究,2012,(11):14-22.
[5]王露璐,代军勋.资本约束对不同类型商业银行流动性创造能力的非对称影响研究[J].财经论丛,2011,(5):65-71.
[6]王晓枫,王浩.我国商业银行流动性创造影响因素的实证分析[J].长春工业大学学报(自然科学版),2011,(6):526-533.
[7]徐明东,陈学彬.中国微观银行特征与银行贷款渠道检验[J].管理世界,2011,(5):24-38.
[8]徐明东,陈学彬.货币环境、资本充足率与商业银行风险承担[J].金融研究,2012,(7):450-489.
[9]周爱民,陈远.中国商业银行资本结构与其流动性创造关系的实证研究[J].金融经济学研究,2013,(3):68-77.
[10]Allen F,Gale D.Financial intermediaries and markets[J].Econometrica,2004,72(4):1023-1061.
[11]Allen F,Santomero A M.The theory of financial intermediation[J].Journal of Banking and Finance,1998,21(11-12):1461-1485.
[12]Ayuso J,Perez D,Saurina J.Are capital buffers pro-cyclical?Evidence from Spanish panel data[J].Journal of Financial Intermediation,2004,13(2):249-264.
[13]Berger A N,Bouwman C H S.Bank liquidity creation[J].The Review of Financial Studies,2009,22(9):3779-3837.
[14]Bhattacharya S,Thakor A V.Contemporary banking theory[J].Journal of Financial Intermediation,1993,3(1):2-50.
[15]Bryant J.A model of reserves,bank runs,and deposit insurance[J].Journal of Banking and Finance,1980,4(4):335-344.
[16]Coval J D,Moskowitz T J.Home bias at home:Local equity preference in domestic portfolios[J].The Journal of Finance,1999,54(6):2045-2073.
[17]Diamond D W,Dybvig P H.Bank runs,deposit insurance,and liquidity[J].Journal of Political Economy,1983,91(3):401-419.
[18]Diamond D W,Rajan R G.A theory of bank capital[J].The Journal of Finance,2000,55(6):2431-2465.
[19]Diamond D W,Rajan R G.Liquidity risk,liquidity creation,and financial fragility:A theory of banking[J].Journal of Political Economy,2001,109(2):287-327.
[20]Distinguin I,Roulet C,Tarazi A.Bank regulatory capital and liquidity:Evidence from US and European publicly traded banks[J].Journal of Banking and Finance,2013,37(9):3295-3317.
[21]Flannery M J,Rangan K P.What caused the bank capital build-up of the 1990s?[J].Review of Finance,2008,12(2):391-429.
[22]Fungacova Z,Weill L,Zhou M.Bank capital,liquidity creation and deposit insurance[R].BOFIT Discussion Paper,Bank of Finland,2010.
[23]Gorton G,Winton A.Liquidity provision,bank capital,and the macroeconomy[R].Working Paper,University of Minnesota,2000.
[24]Holmstrom B,Tirole J.Private and public supply of liquidity[J].Journal of Political Economy,1998,106(1):1-40.
[25]Horvath R,Seidler J,Weill L.Bank capital and liquidity creation:Granger-causality evidence[J].Journal of Financial Services Research,2014,45(3):341-361.
[26]Imbierowicz B,Rauch C.The relationship between liquidity risk and credit risk in banks[J].Journal of Banking and Finance,2014,40:242-256.
[27]Jokipii T,Milne A.The cyclical behaviour of European bank capital buffers[J].Journal of Banking and Finance,2008,32(8):1440-1451.
[28]Kashyap A K,Rajan R,Stein J C.Banks as liquidity providers:An explanation for the coexistence of lending and deposit-taking[J].The Journal of Finance,2002,57(1):33-73.
[29]Laeven L,Levine R.Bank governance,regulation and risk taking[J].Journal of Financial Economics,2009,93(2):259-275.
[30]Lei A C H,Song Z.Liquidity creation and bank capital structure in China[J].Global Finance Journal,2013,24(3):188-202.
[31]Lindquist K.Banks’buffer capital:How important is risk[J].Journal of International Money and Finance,2004,23(3):493-513.
[32]Von Thadden E.Bank capital adequacy regulation under the new Basel Accord[J].Journal of Financial Intermediation,2004,13(2):90-95.
①在此之前,仅Deep和Schaefer(2004)提出了流动性转换指标(LT gap),它等于(流动性负债-流动性资产)/总资产。但这种测度方法只考虑了一年期以下的贷款,忽略了表外业务,从而不够全面。
①该定义引自中国银监会发布的《2013商业银行流动性风险管理办法(试行)》。
②下文简称为BB(2009)。
①事实上仅在2005年12月15日,中国建设银行发行了国内首只RMBS产品“建元2005-1个人住房抵押贷款证券化信托”。
②非常感谢匿名审稿人提醒我们关注Bankscope数据库所提供数据的质量以及提供的改进意见。
③其他资产包括其他无形资产、当前税收资产、递延税收资产、已终止业务、其他盈利资产以及其他资产(子项目)。
[2]黄宪,熊启跃.银行资本缓冲、信贷行为与宏观经济波动——来自中国银行业的经验证据[J].国际金融研究,2013,(1):52-65.
[3]蒋海,罗贵君,朱滔.中国上市银行资本缓冲的逆周期性研究:1998-2011[J].金融研究,2012,(9):34-47.
[4]李涛,刘明宇.资本充足率、银行信贷与货币政策传导——基于中国25家银行面板数据的分析[J].国际金融研究,2012,(11):14-22.
[5]王露璐,代军勋.资本约束对不同类型商业银行流动性创造能力的非对称影响研究[J].财经论丛,2011,(5):65-71.
[6]王晓枫,王浩.我国商业银行流动性创造影响因素的实证分析[J].长春工业大学学报(自然科学版),2011,(6):526-533.
[7]徐明东,陈学彬.中国微观银行特征与银行贷款渠道检验[J].管理世界,2011,(5):24-38.
[8]徐明东,陈学彬.货币环境、资本充足率与商业银行风险承担[J].金融研究,2012,(7):450-489.
[9]周爱民,陈远.中国商业银行资本结构与其流动性创造关系的实证研究[J].金融经济学研究,2013,(3):68-77.
[10]Allen F,Gale D.Financial intermediaries and markets[J].Econometrica,2004,72(4):1023-1061.
[11]Allen F,Santomero A M.The theory of financial intermediation[J].Journal of Banking and Finance,1998,21(11-12):1461-1485.
[12]Ayuso J,Perez D,Saurina J.Are capital buffers pro-cyclical?Evidence from Spanish panel data[J].Journal of Financial Intermediation,2004,13(2):249-264.
[13]Berger A N,Bouwman C H S.Bank liquidity creation[J].The Review of Financial Studies,2009,22(9):3779-3837.
[14]Bhattacharya S,Thakor A V.Contemporary banking theory[J].Journal of Financial Intermediation,1993,3(1):2-50.
[15]Bryant J.A model of reserves,bank runs,and deposit insurance[J].Journal of Banking and Finance,1980,4(4):335-344.
[16]Coval J D,Moskowitz T J.Home bias at home:Local equity preference in domestic portfolios[J].The Journal of Finance,1999,54(6):2045-2073.
[17]Diamond D W,Dybvig P H.Bank runs,deposit insurance,and liquidity[J].Journal of Political Economy,1983,91(3):401-419.
[18]Diamond D W,Rajan R G.A theory of bank capital[J].The Journal of Finance,2000,55(6):2431-2465.
[19]Diamond D W,Rajan R G.Liquidity risk,liquidity creation,and financial fragility:A theory of banking[J].Journal of Political Economy,2001,109(2):287-327.
[20]Distinguin I,Roulet C,Tarazi A.Bank regulatory capital and liquidity:Evidence from US and European publicly traded banks[J].Journal of Banking and Finance,2013,37(9):3295-3317.
[21]Flannery M J,Rangan K P.What caused the bank capital build-up of the 1990s?[J].Review of Finance,2008,12(2):391-429.
[22]Fungacova Z,Weill L,Zhou M.Bank capital,liquidity creation and deposit insurance[R].BOFIT Discussion Paper,Bank of Finland,2010.
[23]Gorton G,Winton A.Liquidity provision,bank capital,and the macroeconomy[R].Working Paper,University of Minnesota,2000.
[24]Holmstrom B,Tirole J.Private and public supply of liquidity[J].Journal of Political Economy,1998,106(1):1-40.
[25]Horvath R,Seidler J,Weill L.Bank capital and liquidity creation:Granger-causality evidence[J].Journal of Financial Services Research,2014,45(3):341-361.
[26]Imbierowicz B,Rauch C.The relationship between liquidity risk and credit risk in banks[J].Journal of Banking and Finance,2014,40:242-256.
[27]Jokipii T,Milne A.The cyclical behaviour of European bank capital buffers[J].Journal of Banking and Finance,2008,32(8):1440-1451.
[28]Kashyap A K,Rajan R,Stein J C.Banks as liquidity providers:An explanation for the coexistence of lending and deposit-taking[J].The Journal of Finance,2002,57(1):33-73.
[29]Laeven L,Levine R.Bank governance,regulation and risk taking[J].Journal of Financial Economics,2009,93(2):259-275.
[30]Lei A C H,Song Z.Liquidity creation and bank capital structure in China[J].Global Finance Journal,2013,24(3):188-202.
[31]Lindquist K.Banks’buffer capital:How important is risk[J].Journal of International Money and Finance,2004,23(3):493-513.
[32]Von Thadden E.Bank capital adequacy regulation under the new Basel Accord[J].Journal of Financial Intermediation,2004,13(2):90-95.
①在此之前,仅Deep和Schaefer(2004)提出了流动性转换指标(LT gap),它等于(流动性负债-流动性资产)/总资产。但这种测度方法只考虑了一年期以下的贷款,忽略了表外业务,从而不够全面。
①该定义引自中国银监会发布的《2013商业银行流动性风险管理办法(试行)》。
②下文简称为BB(2009)。
①事实上仅在2005年12月15日,中国建设银行发行了国内首只RMBS产品“建元2005-1个人住房抵押贷款证券化信托”。
②非常感谢匿名审稿人提醒我们关注Bankscope数据库所提供数据的质量以及提供的改进意见。
③其他资产包括其他无形资产、当前税收资产、递延税收资产、已终止业务、其他盈利资产以及其他资产(子项目)。
引用本文
孙莎, 李明辉, 刘莉亚. 商业银行流动性创造与资本充足率关系研究——来自中国银行业的经验证据[J]. 财经研究, 2014, 40(7): 65–76.
导出参考文献，格式为：
