基于异质性的杠杆率监管对中国商业银行风险影响研究 = Research on the Impact of Heterogeneous Leverage Regulation on the Risks of China’s Commercial Banks = Investigación sobre el impacto del apalancamiento heterogéneo. Reglamento sobre los riesgos de los bancos comerciales de China

Abstract

本文基于2008-2017年间中国75家商业银行的面板数据，采用混合估计、固定效应、 差分矩估计、系统矩估计四种方法检验了杠杆率监管对商业银行风险的影响以及商业银行的异 质性是否会对监管效果产生差异。我们发现，第一，杠杆率监管有效降低了中国商业银行的风 险；第二，中国商业银行的异质性会导致监管效果出现差异。对于上市、资本水平较低、风险 偏好较高的银行，杠杆率监管对银行风险的抑制作用更强。在此基础上，建议监管部门在加强 杠杆率监管的同时对不同资本水平和风险偏好的商业银行实施差异化监管措施。 Based on the panel data of 75 commercial banks in China from 2008 to 2017, this paper uses four methods: mixed estimation, fixed effect, differential moment estimation and system moment estimation, to examine the impact of leverage ratio regulation on commercial bank risks and the influence of heterogeneity of commercial banks on regulatory effectiveness. We found that, first, the supervision of leverage ratio effectively reduces the risks of Chinese commercial banks; second, the heterogeneity of Chinese commercial banks will lead to differences in regulatory effects. For banks that are listed with lower capital levels and have higher risk preference, leverage ratio regulation has a stronger inhibitory effect on bank risks. On this basis, it is recommended that the regulators implement differentiated supervisory measures for commercial banks with different capital levels and risk reference while strengthening supervision of leverage.