资本监管下我国商业银行的周期性行为研究

发布时间：2018-01-26 19:39

本文关键词： 资本监管顺周期性银行资本缓冲银行信贷宏观审慎监管　出处：《南开大学》2013年博士论文　论文类型：学位论文

【摘要】：全球性金融危机对银行体系及实体经济的重创,引发了各界对经济金融理论的反思,并带来了金融监管领域的深刻变革。金融监管的缺失和乏力被认为是此次全球性金融危机爆发、扩散、蔓延至全球,并引起全球经济下滑的重要原因之一。2009年以来,许多国际组织和各国政府陆续推出了一系列研究报告和金融监管改革方案,通过对其比较可发现,加强宏观审慎监管、实现其与微观审慎监管的有机结合,已成为全球金融监管未来的主要发展趋势。宏观审慎监管这一新的监管理念在银行监管领域集中体现在最新颁布的《第三版巴塞尔协议》(即Basel Ⅲ)中。巴塞尔Ⅲ提出了留存资本缓冲和逆周期资本缓冲两项新的逆周期政策工具,试图以监管制度的形式促使商业银行在经济上行时期计提一定的资本缓冲,以便在经济下滑时吸收损失之用。同时,监管当局希望能通过资本缓冲这一工具达到限制银行信贷过度波动的目的,以此减缓资本监管和银行体系的内在顺周期性。然而,银行资本缓冲也可能具有周期性,这会影响到银行的周期性行为。所以,要提高我国银行资本监管的有效性,充分发挥逆周期监管工具的积极作用,维护我国银行体系的稳健运行和经济金融的稳定,必不可少的条件是要清楚地认识和理解被监管对象的行为特征。鉴于此,本文从银行资本缓冲这一相对新颖的视角切入,采用理论分析和实证研究相结合的方法,系统深入地研究了资本监管作用下我国商业银行周期性行为的相关问题,并结合我国实际给出了相应的政策建议。首先,本文基于我国87家商业银行的年度数据,对我国商业银行资本缓冲的周期性及其经济效应进行了初步的探索,实证结果发现：样本期内,我国商业银行的资本缓冲总体上不具有周期性,值得注意的是,已有针对资本缓冲周期性研究的隐含前提假设在我国并不一定成立,资本缓冲水平提高未必会导致银行信贷供给的减少,而资本缓冲水平和银行信贷供给之间的负向变动关系,是表明资本缓冲是否具有调节信贷供给能力的关键,这一点是已有研究能否借助于资本缓冲与经济周期之间相关性判定资本缓冲周期性的根本；同时,我们还发现我国不同类型银行的资本缓冲具有差异化的周期性特征,特别是大型银行的资本缓冲表现出明显的逆周期性,资本缓冲与经济增长之间呈现正相关关系,而且资本缓冲与银行信贷之间呈现负相关,说明大型银行的资本缓冲通过对信贷供给过度波动的约束作用,能在一定程度上缓解经济的周期性波动。其次,本文采用2005年1季度-2011年4季度期间我国上市银行的季度数据,划分不同的经济周期阶段,进一步探究了经济周期对我国银行资本缓冲行为的影响。研究发现,在样本期内,无论在经济扩张期还是经济衰退期,我国上市银行的资本缓冲整体上具有逆周期性。而且,资本缓冲对经济周期的敏感性具有非对称性,在经济衰退期,资本缓冲受经济波动的影响更为强烈。从周期性的驱动来源看,银行不仅通过贷款等风险加权资产的变化调整资本缓冲,资本的变化也是资本缓冲逆周期性的重要动因。分不同银行类型的研究显示,大型银行的资本缓冲具有逆周期性,其主要驱动因素是资本的周期性调整,只有较弱的证据显示大型银行会通过主动调节贷款的方式来改变资本缓冲。而其他上市银行的资本缓冲仅在经济衰退期表现出逆周期性,且倾向于通过贷款调节的方式来实现。最后,对不同资本充足水平银行的研究发现,资本充足水平的不同,并未导致上市银行资本缓冲周期性行为的显著差异,资本缓冲逆周期性的结论依然成立,只是资本充足水平较低的银行不具有前瞻性,在面临监管压力的情况下,其未能在经济扩张期增加资本缓冲,从而更可能遭受经济衰退的不利冲击。最后,巴塞尔委员会制定并颁布了《各国监管当局实施逆周期资本缓冲的指引》,要求各国监管部门据此在本国开展逆周期资本缓冲的实施工作。本文根据该框架建议,实证考察了逆周期资本缓冲政策在我国银行业应用的相关问题。研究认为,在我国,信贷/GDP比率是能够较好地用作经济上行期判断信贷过快增长和系统性风险积累的指标,通常情况下作为我国银行业实施逆周期资本缓冲计提的参考基准具有一定的可靠性,但是仍需注意该指标有时可能会存在产生误导信号风险的问题。因此,我们建议我国银行监管当局对此须保持警惕,在主要参考该指标的同时,应对经济金融的运行状况和银行体系的信贷波动作进一步的判断分析,适时地将自我判断和该参考基准相结合,以便更加准确地做出逆周期资本缓冲的决策。
[Abstract]:Hit the global financial crisis on the banking system and the real economy, triggered a reflection of economic and financial theory, and has brought profound changes to the field of financial supervision and financial supervision. The lack of fatigue is considered to be the outbreak of the global financial crisis, spread, spread to the world, and has been one of the important reasons of.2009 caused by the global economic downturn for years, many international organizations and governments have launched a series of research reports and financial regulatory reform, through the comparison of the findings, strengthen macro prudential supervision, and realize the organic combination of micro prudential supervision, has become the main development trend of global financial regulation in the future. The macro prudential supervision of this new regulatory philosophy focus reflected in the promulgation of the new "third edition of the Basel accord" in the field of banking supervision (Basel III). Basel III proposed retained capital buffer and inverse Cyclical capital two new countercyclical policy tools, trying to urge the supervision system of commercial banks to form the provision of certain capital buffers in a rising economy, in order to absorb losses in the economic downturn. At the same time, the regulatory authorities hope that through capital buffers this tool to limit excessive credit fluctuations, the inherent procyclicality of capital regulation and the banking system in order to slow down. However, bank capital buffers may also have periodic, periodic behavior which will affect the bank. Therefore, to improve China's banking capital regulation is effective, give full play to the positive role of inverse cycle regulatory tools, maintenance of the banking system in China the stable operation and economic and financial stability, the conditions necessary to have a clear knowledge and understanding of the regulated behavior characteristics of the object. In view of this, this article from the bank capital buffer this is a relatively new From the perspective of Ying, we have systematically studied the related issues of China's commercial banks' cyclical behavior under the effect of capital regulation through the combination of theoretical analysis and empirical research, and put forward corresponding policy recommendations combined with the reality of our country.
First of all, the annual data of 87 commercial banks in China based on, has carried on the preliminary exploration period our country commercial bank capital buffer and its economic effects, the empirical results show that: the sample period, the overall capital buffers of commercial banks in China is not cyclical, it is worth noting that the existing Research on capital buffer periodic implicit premise assumption is not necessarily established in our country, to improve the level of capital buffers would not necessarily lead to reduced supply of bank credit, and between capital buffer level and bank credit supply negative relationship is that capital buffers is the key regulation of credit supply capacity, the existing research can based on the correlation between the capital buffer and the economic cycle to determine fundamental capital buffers periodically; at the same time, we also found that in different types of bank capital buffers have the difference The periodic characteristics, especially large bank capital buffers showed inverse obvious periodicity, there is a positive correlation between capital buffer and economic growth, but also between capital buffer and bank credit showed a negative correlation, indicating large bank capital buffers through to restrain excessive volatility of credit supply, can ease the cyclical fluctuations the economy in a certain extent.
Secondly, the 1 quarter of 2005 -2011 during the 4 quarter of China's listed banks quarterly data, divided into different stages of the economic cycle, to further explore the impact of economic cycle on the capital buffer behavior of the banks in China. The study found that in the sample period, both in the period of economic expansion or recession in the whole China listed bank capital buffers with countercyclical capital buffer. Moreover, sensitivity of the economic cycle is asymmetrical, during the period of economic recession, the impact of capital buffer is more strongly affected by economic fluctuations. From the driving source of cyclical, not only through the change of bank loan risk weighted assets adjusted capital buffers of capital change is an important reason of periodic reverse capital buffers. Different types of banks research shows that large bank capital buffer is counter cyclical, the main driving factor is the capital of the week During the period of adjustment, only weak evidence that large banks will take the initiative to adjust the loan through the way to change the capital buffer. While the other listed banks capital buffers only in the period of economic recession showed a reverse cycle, and the tendency to that achieved by adjustment of loan way. Finally, the research findings of different level of capital adequacy of banks. The different level of capital adequacy, did not lead to significant differences of listed bank capital buffers cyclical behavior, counter cyclical capital buffers the conclusion is still valid, but the capital adequacy level lower bank not forward-looking, in the face of regulatory pressure, it failed to increase capital buffers in the period of economic expansion, the adverse impact and are more likely to suffer a recession.
Finally, the Basel Committee has formulated and promulgated the "national regulatory authorities to implement countercyclical capital buffer guidelines, requirements of national regulatory authorities carried out the implementation of countercyclical capital buffer in the country. According to the framework suggested that empirical study of counter cyclical capital policy related problems in the application of China's banking industry. The research results indicate that the and in China, the credit ratio of /GDP is better for the economy upward judgment index of credit growth and the accumulation of systemic risk, usually as the implementation of China's banking industry reference counter cyclical capital provision has a certain reliability, but still need to pay attention to the index sometimes there may be misleading the risk of the signal. Therefore, we suggest that China's banking regulatory authorities have to be vigilant in the main reference index at the same time, dealing with the economic financial operation line A further judgement and analysis of the credit wave action of the banking system and the timely combination of self judgement and the reference standard will help to make the decision of the countercyclical capital buffer more accurately.

【学位授予单位】：南开大学
【学位级别】：博士
【学位授予年份】：2013
【分类号】：F832.33

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