Research on the Relations between and among Basel Ⅲ,Risk Averse and Bank Performance:Evidence from the Panel Data of Chinese Commercial Banks in 2004～2008
- 经济学院－已发表论文 
依据巴塞尔协议III标准,中国银监会推出的四大监管工具将会对中国商业银行产生怎样的影响?首先,借鉴CAPM模型,理论分析发现,资本充足率要求监管下的破产概率的均衡解要小于无资本充足率要求监管下的均衡解。其次,选取29家中国商业银行样本,用Z-score测度银行风险厌恶程度,实证分析发现,Z-score与资本充足率呈正相关,且与流动比呈负相关;绩效与Z-score和流动比呈正相关,且与贷款拨备率呈负相关。总之,四大监管工具的实施与管理,有利于提高Z-score,增大风险厌恶程度,降低破产概率,提高银行绩效。China’s bank supervision authority has introduced four instruments after the Basel III standards were announced by the Basel committee. How will these instruments affect China commercial banks? Firstly, this paper introduces CAPM model and finds that insolvency probability equilibrium value with capital regulation is smaller than that without capital regulation as shown in theoretical analysis. Secondly, it develops models with the samples of 29 commercial banks of China by measuring risk averse with Z-score， and finds that Z-score is positive to capital adequacy ratio and negative to liquidity ratio significantly, performance is positive to liquidity ratio, Z- score is negative to loan loss reservation ratio significantly. Finally, the four instruments are good for increasing Z-score, reducing solvency probability and stimulating bank performance.