基于城市商业银行的资本缓冲周期性行为研究

运用我国50家城市商业银行2005-2014年度的非平衡面板数据进行单步系统GMM估计，论文研究了资本缓冲与经济周期之间的关系，并分析了审慎监管压力和股权异质性结构特征对资本缓冲周期性行为的影响。实证分析结果表明城商行资本缓冲与经济周期之间呈现负相关，即资本缓冲具有显著的顺周期性。而处于审慎监管压力下的城商行，其资本缓冲的顺周期性特征较其他城商行有所减弱。此外，股权特征中控股性质和有无境外投资者持股可以影响城商行资本缓冲的顺周期性行为，但效果并不显著。因此，对于城商行而言，要加强银行体系的建设，建立“缓冲资本池”，并执行监管部门的审慎政策，以保持自身的稳定。

Cyclical Behavior Study of Capital Buffer Based on the Evidence of City Commercial Bank

Using an unbalanced panel data of 50 China’s city commercial bank from 2005 to 2014 in single-step system GMM estimation method, this paper studied the relationship between the e-conomic cycle and the capital buffer, and analyzed the effects of the pressure of prudential super-vision and equity heterogeneity to cyclical capital buffer behavior. Results show that there is a negative correlation between the economic cycle and capital buffers:the capital buffer has signifi-cant pro-cyclicality. Yet banks which under prudential supervision pressure, it’s Pro-cyclical fea-tures of capital buffer is weakened compared with other banks. Moreover, the nature of share-holding and foreign strategic investors of Ownership Characteristics can impact the pro-cyclicality of capital buffer, but the effect is not significant. Therefore, the City bank should to strengthen the banking system, establish a "capital buffer pool" and implement prudential regulatory policy in order to maintain its stability.