Abstract:

In the context of the international community's demand for counter cyclical capital buffers, and strengthening the regulation of domestic commercial bank capital buffer, this paper uses the unbalanced panel data of 28 commercial banks in China from 2004 to 2014 to test the periodic characteristics of commercial banks' capital buffers from the perspective of capital cost, and analyze the differences of capital buffers at different economic stages and of different ownership types. Results of the research are as follows: Commercial bank capital buffers as a whole are counter-cyclical, but there are also some differences among banks of differeent ownership types and at different economic stages; when the economy goes downward, the counter-cyclical performance of the capital buffers is more apparent; when the economy goes up, the state-owned commercial banks perform more counter-cyclically, the joint-stock commercial banks demonstrate a more conspicuous pro-cyclical characteristic when the economy goes down, while the city commercial and the rural commercial banks have counter-cyclical performance in general when the economy goes up. According to these findings, this paper suggests that the regulatory authorities should adopt differentiation strategy for bank's counter cyclical capital buffers.

Key words: Commercial Banks, Capital Cost, Capital Buffers, Periodic Cycle

摘要：

在国际社会要求计提逆周期资本缓冲和国内不断加强商业银行资本缓冲监管的双重背景下,文章以全国28家商业银行2004～2014年的非平衡面板数据为样本,基于资本成本视角检验商业银行资本缓冲的周期性特征,并分析其在不同经济阶段、不同类型银行间的差异性。研究表明:我国商业银行资本缓冲整体具有逆周期性特征,但不同类型商业银行在不同经济阶段所表现的周期性特征也具有一定的差异性;资本缓冲逆周期性在经济下行期表现更明显;国有商业银行在经济上行期表现出更强的逆周期性,股份制商业银行具有显著的顺周期性特征,且在经济下行期的顺周期性特征更明显,城市商业银行和农村商业银行均在全样本期及经济上行期表现出逆周期性特征。依据实证结论,文章提出了当局在实施资本缓冲监管过程中应采取差异化策略的政策建议。

关键词: 商业银行, 资本成本, 资本缓冲, 周期性特征