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本文基于我国14家上市银行2007—2012年的面板数据,从房价视角,对银行资本缓冲的周期性行为进行了实证分析。研究结果表明,我国上市银行的资本充足率在房价波动时呈现出顺周期效应,其驱动因素主要来源于风险加权资产,由房价波动引起的资本净额的变动幅度小于风险加权资产的变动幅度。针对实证结果,本文提出建立可持续发展的资本补充机制、对房地产贷款额度占整个贷款额度的比例设置一个合理的上限、设立动态的资本缓冲标准等缓解资本充足率顺周期效应的建议。
Based on the panel data of 14 listed banks in China from 2007 to 2012, this paper empirically analyzes the cyclical behavior of bank capital buffer from the perspective of housing prices. The results show that the capital adequacy ratio of listed banks in our country shows a pro-cyclical effect when house prices fluctuate, and the driving factors are mainly from risk-weighted assets. The change of net capital caused by housing price volatility is less than that of risk-weighted assets. According to the empirical results, this paper proposes setting up a capital supplement mechanism for sustainable development, setting a reasonable upper limit on the ratio of real estate loan amount to the total loan amount, and setting up a dynamic capital buffer standard to ease the pro-cyclical effect of capital adequacy ratio.