| The outbreak of the US subprime mortgage crisis in 2008 evolved into a global financial crisis and then Basel Committee proposed the importance of a counter-cyclical regulatory mechanism for bank capital buffer in Basel III,which emphasized banks’ ability to focus on their own capital quality and improve their ability to withstand cyclical risks.With the improvement of financial marketization,the promotion of interest rate marketization and fierce market competition,the business model of China’s banking industry has shifted from relying on traditional deposit and loan business mainly to diversified interest revenue and increased proportion of non-interest revenue.The relationship between revenue diversification and risk,performance has changed the capital structure and loan quality of banks to a certain extent.Therefore,It is of great practical significance to study the impact of revenue diversification on China’s capital buffer and its cyclical characteristics,changing its capital buffer behavior decision-making in the context of income diversification and developing differentiated counter-cyclical policies for banks with different degree of revenue diversification.The paper uses the balanced panel data of 16 listed banks in China from 2004 to 2014 as samples.The one-step GMM estimation method is used to examine the impact of macroeconomic fluctuation and bank revenue diversification on capital buffer,further exploring the impact of the diversification of bank revenue on the counter-cyclical behavior of capital buffer.The results show that:(1)The macroeconomic fluctuations is positively correlated with the capital buffer.It means the banks’ capital buffer behaves in a counter-cyclical way,and different ownership or capital adequacy level also has asymmetric influence in expansion and slack time.(2)The non-interest revenue of bank has a significant negative impact on capital buffer and its periodicity.Not only reduces the bank’s capital buffer level,but also weakens the counter-cyclical characteristics of capital buffer.(3)The revenue diversification structure of the bank with higher capital adequacy ratio has no obvious effect on the the counter-cyclical characteristics of capital buffer. |
