School of Economics and Business Administration,Chongqing University,Chongqing 400044,China;National Natural Science Foundation of China,Beijing 100085,China 在知网中查找 在百度中查找 在本站中查找
Based on the theory of bank capitalization and risk-taking ,this paper tests the cyclicality hypothe_x005fsis and examines relationship between banking capital and risk endogenous adjusting behaviors under the capital adequacy requirement by constructing simultaneous equations model with economic cycle,market structure as macro environment variables and loan provision,expenses management as bank specific variables. System Generalized Method of Moments is employed to estimate the model with annual data of the 15 major commercial banks in China over the period between 2004 and 2010.The results show that the association between the change in capital and risk is negative; the bank capitalization and risk-taking behaviors are countercyclical; the reduction of bank concentration has significant positive impacts on capital increases and risk reduction; the capital adequacy is effective in increasing the capital adequacy ratio,but not in reducing the portfolio risk.