Abstract: With the gradual deepening of the openness of Chinese banking industry to the market, the flexibility of the capital adjustment of commercial banks has become the key to determine whether commercial banks can adapt to the market faster. Since the 2008 financial crisis, the U.S. Federal Reserve's long-term trend of low interest rates has led to the bursting of fixed asset bubbles, making capital market regulation the focus of attention again. Capital supervision is the core of prudential supervision of commercial banks. In order to better constrain and manage the capital of commercial banks and better control the risks, the Basel Committee formulated and issued the Basel III in December 2010, which put forward new requirements for capital supervision to contain the domestic and international contagion of financial risks. After the introduction of the Basel Ⅲ, the banking regulatory commissions in different countries have adopted a series of regulatory measures according to their respective national conditions, and put forward stricter requirements for the capital regulation of commercial banks by raising the leverage ratio, the accrued capital standard, etc., and in particular, given special instructions regarding the capital regulation standards for systemically important commercial banks, so as to ensure that their risks can be addressed properly and the sound operation of the financial system can be maintained effectively on the premise that key businesses and services are not interrupted.
Based on the semi-annual data of 25 listed commercial banks from 2008 to 2019, this paper first applies GMM to estimate the changes in the adjustment speed of leverage ratio and regulatory capital ratio (core capital adequacy ratio and capital adequacy ratio), and calculate the target capital ratio corresponding to the commercial bank leverage ratio and regulatory capital ratio. Secondly, based on the target capital ratio and the actual capital ratio gap value of the balance sheet sub-items are grouped according to the quintile to study the effect of the positive and negative gap value on the balance sheet sub-items adjustment behavior. Thirdly, this paper constructs an index to measure the degree of systemic importance (SIFI index), and brings it into the panel data model for analysis as an interactive item to observe the influence of systemic importance on the speed and behavior of capital adjustment of commercial banks. Finally, the capital ratio gap and their interaction with SIFI index are incorporated into a regression equation to test which adjustment mechanism plays a more important role in the process of adjusting the capital ratio of commercial banks.
This paper finds that the three capital ratios of commercial banks always adjust dynamically to their target capital ratios in the process of capital restructuring, and the adjustment speed of the leverage ratio of commercial banks is lower than that of the regulatory capital ratio. Commercial banks' adjustment of the three capital ratios is more positive when the actual capital ratio is lower than the target capital ratio. In the process of adjusting the leverage ratio, the indexes of assets, liabilities and equity all change significantly. The regulatory capital ratio adjustment is mainly achieved through the adjustment of assets and liabilities indicators, and the equity indicators in the process of regulatory capital ratio adjustment are not significant. For systemically important commercial banks, there exists heterogeneity in the capital adjustment between the commercial banks that are influenced by the SIFI index and those that are not affected by the SIFI index: the adjustment speed of those commercial banks influenced by the SIFI index is slower than that of those not affected by the SIFI index; in addition, commercial banks affected by SIFI index are more inclined to use equity and asset indexes in the process of capital adjustment, while commercial banks not affected by SIFI index are more inclined to use asset and liability indexes in the process of capital adjustment.

Key words: Speed of Capital Adjustment, Systemic Importance, Balance Sheet Adjustment, Regulatory Capital

摘要： 选取25家上市商业银行2008—2019年半年度面板数据,分析杠杆率和监管资本比率(核心资本充足率和资本充足率)调整速度,并引入SIFI指数分析系统重要性对商业银行资本调整行为的影响。研究发现:商业银行杠杆率调整速度低于监管资本比率调整速度;系统重要性银行与非系统重要性银行在资本调整方面存在异质性,系统重要性银行三种资本比率的调整速度慢于非系统重要性银行,且系统重要性银行在资本调整过程中倾向于使用权益类和资产类指标,而非系统重要性银行在资本调整过程中倾向于使用资产类和负债类指标。

关键词: 资本调整速度, 系统重要性, 资产负债表调整, 监管资本