魏琪,朱浩,庞雨薇.国内系统重要性银行核心一级资本缺口测算与补充策略[J].西部论坛,2022,32(1):111-124
国内系统重要性银行核心一级资本缺口测算与补充策略
Calculation and Replenishment Strategy of Core Tier 1 Capital Gap of Systemically Important Banks in China
  
DOI:
中文关键词:  系统重要性银行  核心一级资本  资本充足率  资本缺口  资本补充来源
英文关键词:systemically important banks  core tier 1 capital  capital adequacy ratio  capital gap  sources of capital supplementation
基金项目:
作者单位
魏琪,朱浩,庞雨薇 1.重庆工商大学 a.长江上游经济研究中心
b.金融学院
重庆 4000672.重庆邮电大学 经济管理学院重庆 400065 
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中文摘要:
      有效防范系统性金融风险需要加强对系统重要性金融机构的监管,系统重要性银行监管政策的陆续出台使国内系统重要性银行面临更高的核心一级资本监管要求。采用指标法在40家规模较大商业银行中识别出2020年的18家国内系统重要性银行,其中除四大国有控股商业银行和交通银行、招商银行外,大部分银行的实际核心一级资本充足率与监管要求的距离较小,面临较大的资本补充压力。进一步采用17家国内系统重要性银行2010—2020年的数据,通过异方差随机边界模型分析核心一级资本来源与银行利润效率的关系,结果表明:通过内部资本积累补充核心一级资本有助于国内系统重要性银行利润效率的提升,且利润效率水平随内部资本积累占比的增加而提高;而通过外部融资方式补充核心一级资本会降低国内系统重要性银行的利润效率,且利润效率水平随外部融资占比的增加而降低。因此,国内系统重要性银行应采取先内部资本积累后外部融资的策略补充核心一级资本,以实现防范风险与提升效率的双赢。其中,目前核心一级资本缺口较小且利润率较高的四大国有控股商业银行、交通银行、招商银行等宜采取内部资本积累为主、外部融资为辅的资本补充策略,而其他银行则可采取外部融资为主、内部资本积累为辅的资本补充策略。
英文摘要:
      To effectively prevent systemic financial risks, it is necessary to strengthen the supervision of systemically important financial institutions. The successive promulgation of systemically important bank supervision policies has made systemically important banks in China face higher regulatory requirements for core tier 1 capital. The index method is used to identify 18 systemically important banks in China in 2020 from 40 large commercial banks. Among them, except for the four major state-owned commercial banks, Bank of Communications and China Merchants Bank, most of the banks have a small distance between their actual core tier 1 capital adequacy ratio and regulatory requirements, and are facing greater pressure of capital supplement. Based on the data of 17 systemically important banks in China from 2010 to 2020, the relationship between the source of core tier 1 capital and bank profit efficiency is analyzed by heteroscedasticity random boundary model. The results show that supplementing core tier 1 capital through internal capital accumulation helps improve the profit efficiency of systemically important banks in China, and the level of profit efficiency increases with the increase of the proportion of internal capital accumulation. However, supplementing core tier 1 capital through external financing will reduce the profit efficiency of systemically important banks in China, and the level of profit efficiency will decrease with the increase of the proportion of external financing. Therefore, systemically important banks in China should take the strategy of accumulating internal capital first and then external financing to supplement core tier 1 capital to achieve a win-win situation of risk prevention and efficiency improvement. At present, the four major state-controlled commercial banks, Bank of Communications, and China Merchants Bank, which have a small core tier 1 capital gap and high-profit margins, should adopt a capital replenishment strategy that focuses on internal capital accumulation and supplemented by external financing, while other banks can adopt a capital replenishment strategy that focuses on external financing and supplemented by internal capital accumulation.
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