中国商业银行最优资本水平及其调整研究——基于部分调整模型和傅里叶单位根检验的分析

采用部分调整模型和傅里叶单位根检验对中国14家上市商业银行的最优资本水平进行研究，并估计出存在最优资本水平银行的最优资本比率值和资本调整速度。研究发现，大部分上市银行均存在最优资本水平，但不同类型和资产规模的银行在最优资本比率的目标变量选择方面有所差异。平均而言，大型商业银行最优资本水平较高，股份制银行最优资本水平较低。资本调整速度在银行间差异很大，自有资金比率调整速度最快，核心资本充足率和资本充足率调整速度较慢。

Research on the Optimal Capital Level and Adjustment of China's Commercial Banks: An Analysis Based on the Partial Adjustment Model and Fourier Unit Root Tests

This paper studies the optimal capital level of fourteen Chinese listed commercial banks using partial adjustment model and Fourier unit root test,and estimates the optimal capital ratio and capital value adjustment speed of the banks which exist optimal capital level.The study finds that there exists an optimal capital level among most of the listed banks,but the target vari-ables of optimal capital ratios are different as the types and sizes of bank assets vary.On average, the optimal capital levels of the large commercial banks are higher,and the optimal capital levels of the joint-stock banks are lower.The capital adjustment rates vary widely among banks,the own funds ratios adjustment speed are fastest,the core capital adequacy ratios and capital adequa-cy ratios adjust more slowly.