流动性冲击下商业银行资本结构的动态调整研究
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引用本文:刘青云.流动性冲击下商业银行资本结构的动态调整研究[J].财经理论与实践,2022,(6):39-47
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刘青云 (山西财经大学 国际贸易学院,山西 太原 030006) 
中文摘要:流动性冲击不仅引发了后金融危机时代的银行恐慌,也直接导致了新冠肺炎疫情期间欧美国家银行股价崩溃,这是当前银行资本结构调整的重要影响因素。构建流动性冲击下银行资本结构的动态调整模型,探讨商业银行资本结构对流动性冲击的敏感程度。结果显示:伴随着流动性冲击的增加,商业银行资本结构的调整呈现开口向下的凸函数特征(倒U型)。经过实证测算,我国商业银行流动性持有应该保持在\[25,31\]的区间,这样既能满足流动性监管的需求,也能推动资本结构转向最优状态。
中文关键词:商业银行  流动性冲击  资本结构  特许权价值
 
The Resarch on Dynamic Adjustment of Commercial Banks’ Capital Structure Based on the Liquidity Shocks
Abstract:The stylized fact is that the liquidity shock not only triggered bank panic after the financial crisis, but also directly led to the collapse of bank stock prices in Europe and the United States during the period of COVID-19, which is an important factor affecting the capital structure adjustment of banks. Based on this, this study constructs a dynamic adjustment model which includes liquidity shock and commercial banks’ capital structure, focusing on the sensitivity of capital structure adjustment facing liquidity shock. The result is that with the increase of liquidity shocks, the commercial banks’ optimal capital structure has a characteristic of convex function (inverted U-shaped). After calculation, the liquidity holding of China’s commercial banks should be maintained in the range of \[25, 31\], which can meet the needs of liquidity regulation and achieve the optimal capital structure simultaneously. Finally, this study proposes three policy suggestions to the banking authority to satisfy better regulation.
keywords:commercial bank  liquidity shock  capital structure  franchise value
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