资本监管_公司治理结构与银行风险行为

2010－10－2509AJY0032009JYJR0371986－1955－、。、200052。、。。F832A1001－8409201108－0049－05CapitalRegulationCorporateGovernanceandBankRiskTakingGAOGuo－huaPANYing－liAntaiCollegeofEconomicsandManagementShanghaiJiaotongUniversityShanghai200052AbstractThispaperstudiestheimpactofcapitalregulationandcorporategovernanceonbankrisktakingbasedontheirinteractiveinfluence．Themarginalconstraintofregulatorycapitaldecreaseswithboardsizethelargestshareholder＇sproportionandstateshares．Bothexternalandinternalconstraintshavealternativerelationship．Increasingcapitalre-quirementsweakenincentivesofriskmanagement．Theeffectivenessofcapitalregulationinreducingbankriskdependsonbanksownershipstructure．Keywordscapitaladequacyratioregulationcorporategovernancebankrisktaking、2004。2007。。LaevenLevine2008。。·94·14。、1、23、。。JeitschkoJe-ung2005、。BrisCantale2004。AggarwalJacques2001Murinde2006。。Altunbas2007LaevenLevine2007。ByodHakenes2009。。Dyck2001。Levine2007、、。。。、、FurlongKeeley19891990。KimSantome-ro1988。UPaulCalemRafaelRob1998。。、2008、2008。1、。Prowse1997CaprioLevine2002AdamsMeh-ran2003Polo2007、。、、2006、、2009、。、。。ShleiferVishny1986。Claessens2002·05·8。BrewerSaidenberg1996U。、1999U。2U。Myrdal1968。Shle-iferVishny1993。。3。MorganPoulsen2001。。。4。2009AIG1．65“”。Altunbas2007LaevenLevine2007。。5、、14。2003～2009。CSMAR。stata10。。Hausman。。、、、、、、ROA。1。1npls1h1s2salary、Bd_sizenddstatecarroalnassetnplit=β0+β1carit+β2lnassetit+β3roait+β4Bd_sizeit+β5s2it+β6s1it+β7hlmit+β8stateit+β9salaryit+εit11。·15·。、、。2。212－0.4351%。。Fur-longKeeley19891990。1。231．9717＊＊＊5.50.006540.050.65275*1.81－0.5629＊＊＊－3.08323.845＊＊＊3.210.0619*1.80、0.58301.471.6448＊＊1.97－0.4350＊＊＊－5.080.38830.77－4.2293＊＊＊－4.23N77Adj.R20.54F11.28ModelFE＊＊＊＊＊*1%5%10%t2U“U”。。BrewerSaiden-berg1996U。2。10。310%。。。、。3。。331、、1%。。5。2、。。0.7871%。。。·25·。5。3NPLC39.223＊＊＊6.3138.457＊＊＊6.8523.743＊＊＊4.0541.004＊＊＊3.6627.195＊＊＊5.20Bd_size－0.650＊＊－2.320.10220.780.02930.220.00160.010.0550.42Ndd0.42421.23－1.8147＊＊＊－2.310.7253＊＊2.10.60551.700.2710.77S1－0.4825＊＊＊－2.75－0.5026＊＊＊－3.0－1.133＊＊＊－3.97－0.5929＊＊＊－3.26－0.594＊＊＊－3.5P20.0594*1.790.0586*1.830.0704＊＊2.080.0622*1.770.080＊＊2.39H1271.229＊＊＊2.78288.9094＊＊＊3.12379.939＊＊＊3.85330.34＊＊＊3.29295.72＊＊＊3.13Salary0.42971.130.11990.310.41491.080.02390.040.26230.68State1.554＊＊2.051.3579*1.832.4771＊＊＊3.141.949＊＊＊2.47－5.199＊＊－2.08Car－1.511＊＊＊－3.71－1.7167＊＊＊－4.43－0.4117＊＊＊－5.00－1.603－1.53－0.606＊＊＊－6.13Roa0.23070.480.23060.50.16040.330.41110.820.16120.34Lnasset－3.542＊＊＊－3.62－2.774＊＊＊－2.75－3.261＊＊＊－3.16－4.346＊＊＊－4.33－2.972＊＊＊－2.90Car*Bd_size0.0667＊＊＊2.7Car*ndd0.2237＊＊＊3.38Car*s10.0399＊＊＊2.45Car*salary0.07241.12Car*state0.7867＊＊＊2.98R20.7360.750.730.7060.743F13.1714.4212.7811.3413.64ModelFEFEFEFEFE＊＊＊＊＊*1%5%10%3、2、3、。、。。。、2007、。。。A。。、。、。。1AltunbasYenerCarboSantiagoGardenerEdwardPMetal．ExaminingtheRelationshipsbetweenCapitalRiskandEfficiencyinEuropeanBankingJ．EuropeanFinancialManagement200713149－70．2BoydJHakenesH．LootingandGamblinginBankingCrisesZ．Mimeo．UniversityofMinnesotaMinneapolisMN2008．60·35·。。30.75。。4。。、、。。、。1RogerGClarkeRobertDArnott．TheCostofPortfolioInsuranceTradeoffsandChoicesJ．FinancialAnalystsJournal198735－47．2RichardJRendlemanJrRichardWMcEnally．AssessingtheCostsofPortfolioInsuranceJ．FinancialAnalystsJournalMay/June198727－37．3MarkowitzH．PortfolioSelectionJ．JournalofFinance19523777－91．4MertonRC．OptimumConsumptionandPortfolioRulesinaContin-uousTimeModelJ．JournalofEconomicTheory．5RubinsteinM．AlternativePathtoPortfolioInsuranceJ．Finan-cialAnalystsJournal．6ZhuYRCKavee．PerformanceofPortfolioInsuranceStrategiesJ．JournalofPortfolioManagement198811448－54．7GemanH．PortfolioInsuranceandSyntheticSecuritiesJ．Ap-pliedStochasticModelsandDataAnalysis19928179－188．8BasakSA．AComparativeStudyofPortfolioInsuranceZ．Work-ingPaper．LondonBusinessSchoolMay2001．9BetrandPrigent．PortfolioInsuranceStrategiesAComparisonofStandardMethodsWhentheVolatilityofStockisStochasticJ．InternationalJournalofBusiness200384461－472．10．D．2006．11．J．20082054．12．J．2004356．13．J．19992．14．J．2008．15．J．200124．檭檭檭檭檭檭檭檭檭檭檭檭檭檭檭檭檭檭檭檭檭檭檭檭檭檭檭檭檭檭檭檭檭檭檭檭檭檭檭檭檭檭檭檭檭檭533BrewerElijahMarcRSaidenberg．FranchiseValueOwnershipStructureandRiskatSavingsInstitutionsZ．WorkingPaperNo9632FederalReserveBankofNewYork1996．4FurlongFTKeeleyMC．CapitalRegulationandBankRiskTak-ingaNoteJ．JournalofBankingandFinance1989136883－891．5CalemPaulRobRafael．TheImpactofCapitalBasedRegulationonBankRisktakingJ．JournalofFinancialIntermediation199984317－352．6ClaessensSDjankovSLangLHP．CorporateGovernanceinA-siaASurveyJ．InternationalReviewofFinance20003271－103．7GerardCaprioLucLaevenRossLevineGovernanceandBankValuationJ．JournalofFinancialIntermediation2007584－617．8LucLaevenRossLevine．BankGovernanceRegulationandRiskTakingJ．JournalofFinancialEconomics2009259－275．9KimDSantomeroAM．RiskinBankingandCapitalRegulationJ．JournalofFinance19884351219－1233．10MorganAGPoulsenAB．LinkingPaytoPerformance－compen-sationProposlsintheS＆P500J．JournalofFinancialEconom-ics2001623489－523．11ShleiferARVishny．LargeShareholdersandCorporateControlJ．JournalofPoliticalEconomy1986461－488．12ShleiferAndreiRVishny．CorruptionJ．QuarterlyJournalofEconomic