Contingent Capital and Bank Risk-taking: An Empirical Study Based on Data of Chinese Commercial Banks

Abstract

Abstract: Based on the dataset of Chinese commercial banks from 2013 to 2017, this paper empirically investigates the impact of the contingent capital issuance on banks' risk-taking incentives. Firstly, contingent capital issuance can significantly reduce the risk-taking behavior of Chinese commercial banks. Secondly, the overall impact of the contingent capital issuance quantity on banks' risk-taking is not significant, but once the impact of the bank leverage is taken into consideration, we find that increasing the contingent capital issuance quantity is conducive to curbing highly leveraged banks' risk-taking incentives, but the effect is opposite for lowly leveraged banks. Therefore, the contingent capital issuance activities of banks should be guided differently based on their leverage level differences.

Key words: Commercial Bank, Contingent Capital, Bank Risk-taking, Leverage Ratio

摘要： 本文以2013~2017年中国商业银行为研究样本,检验了发行或有资本对银行风险承担行为的影响。研究发现:发行或有资本能够显著降低我国商业银行的风险承担水平;从整体上来看,或有资本的发行规模对银行的风险承担行为没有显著影响,但将银行杠杆率的影响纳入考虑后发现,高杠杆银行增加或有资本发行规模时具有显著的风险抑制效应,而低杠杆银行则相反。因此,应对不同杠杆率的银行发行或有资本的规模进行分类指导。

关键词: 商业银行, 或有资本, 风险承担, 杠杆率

CLC Number:

F832

GUO Guixia, YU Lijie. Contingent Capital and Bank Risk-taking: An Empirical Study Based on Data of Chinese Commercial Banks[J]. , 2020, 36(2): 42-52.

郭桂霞, 于丽洁. 或有资本与银行风险承担——基于中国商业银行数据的实证研究[J]. 财经论丛, 2020, 36(2): 42-52.

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