资本监管对银行风险非线性的影响
[21]Houston J F， Lin C， Lin P， et al. Creditor rights， information sharing， and bank risk taking[J].Journal of Financial Economics， 2010， 96(3)： 485-512.
[22]Jacques K， Nigro P. Risk-based capital， portfolio risk， and bank capital： A simultaneous equations approach[J].Journal of Economics and Business， 1997， 49(6)： 533-547.
[23]Kim D， Santomero A M. Risk in banking and capital regulation[J].The Journal of Finance， 1988， 43(5)： 1219-1233.
[24]Koehn M， Santomero A M. Regulation of bank capital and portfolio risk[J].The journal of finance， 1980， 35(5)： 1235-1244.
[25]Maddaloni A， Peydró J L. Bank risk-taking， securitization， supervision， and low interest rates： Evidence from the Euro-area and the US lending standards[J].Review of Financial Studies， 2011， 24(6)： 2121-2165.
[26]Marcus A J. Deregulation and bank financial policy[J].Journal of Banking & Finance， 1984， 8(4)： 557-565.
[27]Matutes C， Vives X. Imperfect competition， risk taking， and regulation in banking[J].European Economic Review， 2000， 44(1)： 1-34.
[28]Merton R C. An analytic derivation of the cost of deposit insurance and loan guarantees an application of modern option pricing theory[J].Journal of Banking & Finance， 1977， 1(1)： 3-11.
[29]Sharpe W F. Bank capital adequacy， deposit insurance and security values[J].Journal of financial and quantitative analysis， 1978， 13(4)： 701-718.
[30]Shrieves R E， Dahl D. The relationship between risk and capital in commercial banks[J].Journal of Banking & Finance， 1992， 16(2)： 439-457.
The Nonlinear Effect of Capital Regulation on Bank Risk
——Based on the Panel Threshold Model Test
LIU Wen-dong1，WANG Fei2
(1.Mudanjiang Normal University， Mudanjiang 157011， China；2.Post-Doctoral Research Center， China Huarong
Asset Management Co.， Ltd/ The School of Finance， Renmin University of China， 100033 Beijing， China)
Abstract：Based on the balance panel data of 41 banks in China during 2004-2012， this paper uses panel threshold model to empirically test the nonlinear effect of capital regulation on bank risk. The main conclusions are as follows： regulatory capital has a clear threshold characteristic on bank risk and they show a nonlinear relationship， but in the threshold range of different regulatory capitals， bank risk is correlated with regulatory capital positively， verifying the hypothesis of “supervision”； the estimated threshold value is greater than the minimum regulatory capital levels， which has some enlightenment to the regulatory authorities： regulatory authorities should apply appropriate pressure to allow banks to meet regulatory capital standards and put forward specific period of time for banks.
Key words：capital regulation； bank risk； panel threshold
(责任编辑：关立新), 百拇医药(刘文栋王飞)
[22]Jacques K， Nigro P. Risk-based capital， portfolio risk， and bank capital： A simultaneous equations approach[J].Journal of Economics and Business， 1997， 49(6)： 533-547.
[23]Kim D， Santomero A M. Risk in banking and capital regulation[J].The Journal of Finance， 1988， 43(5)： 1219-1233.
[24]Koehn M， Santomero A M. Regulation of bank capital and portfolio risk[J].The journal of finance， 1980， 35(5)： 1235-1244.
[25]Maddaloni A， Peydró J L. Bank risk-taking， securitization， supervision， and low interest rates： Evidence from the Euro-area and the US lending standards[J].Review of Financial Studies， 2011， 24(6)： 2121-2165.
[26]Marcus A J. Deregulation and bank financial policy[J].Journal of Banking & Finance， 1984， 8(4)： 557-565.
[27]Matutes C， Vives X. Imperfect competition， risk taking， and regulation in banking[J].European Economic Review， 2000， 44(1)： 1-34.
[28]Merton R C. An analytic derivation of the cost of deposit insurance and loan guarantees an application of modern option pricing theory[J].Journal of Banking & Finance， 1977， 1(1)： 3-11.
[29]Sharpe W F. Bank capital adequacy， deposit insurance and security values[J].Journal of financial and quantitative analysis， 1978， 13(4)： 701-718.
[30]Shrieves R E， Dahl D. The relationship between risk and capital in commercial banks[J].Journal of Banking & Finance， 1992， 16(2)： 439-457.
The Nonlinear Effect of Capital Regulation on Bank Risk
——Based on the Panel Threshold Model Test
LIU Wen-dong1，WANG Fei2
(1.Mudanjiang Normal University， Mudanjiang 157011， China；2.Post-Doctoral Research Center， China Huarong
Asset Management Co.， Ltd/ The School of Finance， Renmin University of China， 100033 Beijing， China)
Abstract：Based on the balance panel data of 41 banks in China during 2004-2012， this paper uses panel threshold model to empirically test the nonlinear effect of capital regulation on bank risk. The main conclusions are as follows： regulatory capital has a clear threshold characteristic on bank risk and they show a nonlinear relationship， but in the threshold range of different regulatory capitals， bank risk is correlated with regulatory capital positively， verifying the hypothesis of “supervision”； the estimated threshold value is greater than the minimum regulatory capital levels， which has some enlightenment to the regulatory authorities： regulatory authorities should apply appropriate pressure to allow banks to meet regulatory capital standards and put forward specific period of time for banks.
Key words：capital regulation； bank risk； panel threshold
(责任编辑：关立新), 百拇医药(刘文栋王飞)