资本监管与流动性监管能降低中国商业银行传染风险吗？

刘志洋; 马亚娜

资本监管与流动性监管能降低中国商业银行传染风险吗？

引用本文：刘志洋，马亚娜.资本监管与流动性监管能降低中国商业银行传染风险吗？[J].财经理论与实践,2021,(4):31-38

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作者	单位
刘志洋，马亚娜	（东北师范大学经济与管理学院，吉林长春 130117）

中文摘要:在使用条件在险价值（ΔCoVaR）计算中国上市商业银行系统性风险贡献度基础上，运用格兰杰因果检验和PageRank算法测度每家商业银行的传染风险权重，并研究资本监管与流动性监管对传染风险权重的影响。结果表明：第一，资本充足率、杠杆率和流动性覆盖率有助于降低商业银行的传染风险；第二，资本充足率与流动性覆盖率、杠杆率与流动性覆盖率在同一监管框架下发挥了降低传染风险的作用；第三，资本充足率与流动性覆盖率、杠杆率与流动性覆盖率的运用表现出较差的协同效应。中国金融监管当局需要开发偿付能力监管与流动性监管的协同机制。

中文关键词:资本监管杠杆率流动性覆盖率传染风险权重

Can Capital Regulation and Liquidity Regulation Reduce Contagion Risk in Banking Industry?

Abstract:Based on the calculation of systemic risk contribution of China's listed commercial banks by using the condition of value-at-risk (ΔCOVAR), this paper uses Granger causality test and PageRank algorithm to measure the contagion risk weight of each commercial bank, and studies the influence of capital regulation and liquidity regulation on the contagion risk weight. The results show that, firstly, capital adequacy ratio, leverage ratio and liquidity coverage ratio are helpful to reduce the contagion risk of commercial banks. Second, capital adequacy ratio and liquidity coverage ratio, leverage ratio and liquidity coverage ratio can play a role in reducing contagion risk under the same regulatory framework respectively. Third, the synergies between capital adequacy ratio and liquidity coverage ratio, and the synergies between leverage ratio and liquidity coverage ratio are poor. China's financial regulatory authorities need to develop a synergistic mechanism between solvency supervision and liquidity supervision.

keywords:capital regulation leverage ratio liquidity coverage ratio contagion risk weight

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