资本缓冲与银行风险变动：周期性及多元化的视角

周晔; 高斯

资本缓冲与银行风险变动：周期性及多元化的视角

引用本文：周晔，高斯.资本缓冲与银行风险变动：周期性及多元化的视角[J].财经理论与实践,2017,(3):21-26

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作者	单位
周晔，高斯	（首都经济贸易大学金融学院，北京100070）

中文摘要:利用上市银行2002—2013年的季度数据，考察资本缓冲调整、宏观经济波动与资产价值变动之间的内在联系。研究发现：上市银行资本缓冲的顺周期性并不显著，但是其风险变动却对宏观经济的波动极为敏感；同时，资本缓冲的调整与上市银行的风险变动具有相关性，在宏观经济变动时，银行会因自身表内资产组合风险的变化而连续调整其资本缓冲。此外，上市银行表内资产的多元化程度较低，收入变动与风险波动的相关性较显著，所以，收入多元化依然是银行减少风险，提高市场竞争力的驱动因素之一。

中文关键词:资本缓冲资产组合风险顺周期收入多元化

Capital Buffer and Bank Risk Fluctuating:on the View of Cyclicality and Diversification

Abstract:The relationship between fluctuation of macro economy and capital buffer volume and risk of bank portfolio is analyzed with quarterly data of listed banks from 2002Q1 to 2013Q4.The empirical Study shows there is no obvious Pro cyclicality in the capital buffer of the listed banks. However，the risk adjustment of the listed banks is very sensitive to economic fluctuations.There is a correlation between the adjustment of capital buffers and the risk adjustment. Banks will continuously adjust their capital buffers when facing economic fluctuation.It is also found that the extent of diversification of the banks is still low，and the correlation between income fluctuation and portfolio risk adjustment is obvious. Thus，to diversify income sources is a motivating factor for banks to reduce drawing capital buffers and to improve competitiveness in market.

keywords:Capital buffer Portfolio risk Pro cyclicality Income diversification

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