摘要
近年来金融危机的不间断发生及其后续所产生的巨大影响，使得银行体系内
部的杠杆率指标进入了监管视野，而与此同时为了缓解危机带来的影响所采取的
去杠杆化这一手段也加大了金融危机对银行体系带来的负面作用。因此杠杆率的
过度累积问题成为了监管部门关注的重点之一，无论是 2010年的《巴塞尔协议
Ⅲ》还是我国 2015年发布的《杠杆率管理办法》都对这一监管指标作出了严格
的规范，我国商业银行应在年报中披露杠杆率指标，并不得低于 4%。基于此，
本文对杠杆率监管和商业银行贷款资产配置行为的相关关系进行了理论与实证
分析，旨在探究变量之间的变动趋势关系，从而为银行体系的可持续发展提出相
关政策建议。
本文在对国内外杠杆率监管和商业银行贷款资产配置行为相关文献进行整
理和研读后发现，当前对于杠杆率监管对商业银行贷款资产配置行为影响方面的
研究相对较少，且在研究深度上缺少对于监管压力的异质性分析。因此，本文首
先分别介绍了杠杆率监管指标、银行贷款资产配置情况、资产规模水平以及资本
充足率水平的发展现状，并发现在杠杆率监管下这些指标的变动趋势存在相关性
联系。随后本文利用信息不对称理论、监管压力假说和监督成本假说，对杠杆率
监管对银行资产配置行为的影响进行了理论机制分析，并对后续的异质性影响进
行了较为深入的讨论，由此提出有待验证的四个假说。最后本文进一步采用动态
面板数据模型进行了实证检验，主要选取我国商业银行 2012至 2018年 90家商
业银行的非平衡面板数据，其中运用门槛特征分析对监管压力进行了区间划分，
经实证研究得出的结论如下：（1）杠杆率监管使得商业银行贷款资产配置行为
能够显著减少。（2）杠杆率水平不同的银行，杠杆率监管对银行贷款资产配置
行为影响具有差异，处于监管中压区的银行，杠杆率监管能够显著减少银行贷款
资产配置；而处于监管低压区和监管高压区的银行则并无显著影响。（3）在银
行规模方面，资产规模较小的银行中杠杆率监管显著减少了银行的贷款资产配置，
而资产规模较大的银行则并不显著。（4）在银行资本充足率方面，资本充足率
较高的银行，杠杆率监管是的银行贷款资产配置能够显著减少，而资本充足率较
低则并无这种显著影响。
关键词：商业银行；杠杆率监管；贷款资产配置行为；动态面板模型
I

Abstract
In the near future, the financial crisis has occurred continuously and the huge
influences have followed that the leverage ratio indicators within the banking system
into the supervision perspective, and at the same time, it is a means of deleveraging to
alleviate the impact of the crisis. It also increased the negative influences of the
financial crisis on the banking system. Therefore, the problem of excessive
accumulation of leverage has become one of the focuses of the regulatory authorities.
Both the "Basel III" in 2010 and the "Management Measures for the Leverage Ratio "
issued by my country in 2015 have proposed this regulatory indicator. It is required that
Chinese commercial banks should disclose leverage ratio indicators in their annual
reports, and they should not be less than 4%. Based on this, this paper makes a
theoretical and empirical analysis of the relationship between leverage ratio regulation
and commercial bank loan asset allocation behavior, and the purpose of this study is to
explore the relationship between variables, so as to provide relevant policy
recommendations for the sustainable development of the banking system.
After sorting out and studying relevant literature about leverage at home and
abroad ratio supervision and commercial bank loan asset allocation behavior, this article
finds that there are relatively few studies on the influence of leverage ratio supervision
on loan asset allocation behavior of commercial banks, and there is a lack of research
depth. Analysis of the heterogeneity of regulatory pressure. Therefore, this article first
introduces the development status of leverage ratio supervision indicators, bank loan
asset allocation, capital adequacy ratio levels and asset scale levels , and finds that there
is a correlation between the changing trends of these indicators under the leverage ratio
control. Subsequently, this paper uses the information asymmetry theory, the
supervision cost hypothesis and the supervision pressure hypothesis to analyze the
theoretical mechanism of the impact of leverage ratio supervision on bank asset
allocation behavior, and conducts a more in-depth discussion on the subsequent
heterogeneity effects. Put forward four hypotheses to be verified. Finally, this paper
further uses the dynamic panel data model to carry out empirical tests. It mainly selects
the unbalanced panel data of 90 commercial banks in my country from 2012 to 2018.
The threshold characteristic analysis is used to divide the regulatory pressure. The
empirical research concludes The conclusions are as follows: (1) Leverage ratio
regulation enables commercial banks to significantly reduce loan asset allocation
II

behavior. (2) For banks with different levels of leverage, leverage regulation has
different effects on bank loan asset allocation behavior. For banks in a moderately
regulated zone, leverage regulation can significantly reduce bank loan asset allocation;
while in a regulatory low pressure zone and high regulatory pressure District banks
have no significant impact. (3) In terms of bank scale, the leverage ratio supervision of
banks with smaller asset scales has significantly reduced the bank's loan asset allocation,
while banks with larger asset scales are not significant. (4) In terms of bank capital
adequacy ratios, banks with higher capital adequacy ratio can greatly reduce the asset
allocation of bank loans under the supervision of leverage ratio, while lower capital
adequacy ratios do not have such a significant impact.
Key words: commercial banks; leverage ratio supervision; loan asset allocation
behavior; dynamic panel model
III
。。。以下略