中国商业银行脆弱性的诱发因素及监管——基于资产减值和杠杆率视角
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引用本文:李 赟1,杨家玮2,李恒瑞3.中国商业银行脆弱性的诱发因素及监管——基于资产减值和杠杆率视角[J].财经理论与实践,2020,(3):9-16
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李 赟1,杨家玮2,李恒瑞3 (1.山西财经大学 统计学院,山西 太原 030012 2.山西财经大学 文化旅游学院,山西 太原 0300123.山西财经大学 金融学院山西 太原 030012) 
中文摘要:选取2008年前上市的16家银行2008-2018年的财务数据,对商业银行脆弱性进行分析。研究发现:商业银行脆弱性虽然是多方面因素共同作用的结果,但其对杠杆率变动尤其敏感;国有商业银行对商业银行总体脆弱性贡献占比较大;股份制商业银行更易受到资产减值风险的冲击。政策模拟结果显示,增加四家系统重要性银行的权益资本并对其进行严格的杠杆率监管是降低商业银行总体脆弱性较为有效的途径。
中文关键词:商业银行脆弱性  杠杆率  减价出售
 
The Inducement Factors of The Commercial Banks’ Vulnerability and Supervision——Based on Fire Sales and Leverage Ratio
Abstract:Based on the financial data of 16 banks listed before 2008, this paper made a comprehensive and in-depth analysis of commercial banks' vulnerability. The study found that although the vulnerability of commercial banks is affected by many factors, but it is especially sensitive to leverage. The proportion of state-owned commercial banks' vulnerability is higher. Joint-stock commercial banks are more vulnerable to asset impairment risks. The policy simulation results show that increasing the equity capital of four systemically important banks and carrying stricter leverage ratio supervision are more effective measures to reduce the vulnerability of commercial banks.
keywords:vulnerability of commercial banks  leverage ratio  fire sales
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