杠杆率监管新规对我国上市银行业务经营的影响

发布时间：2018-02-26 12:48

本文关键词： 巴塞尔协议Ⅲ 杠杆率监管资本充足率不良贷款率逆向选择　出处：《东北财经大学》2013年硕士论文　论文类型：学位论文

【摘要】：在银行业发展早期,杠杆率指标就被广泛作为微观监管工具。直到1988年,巴塞尔银行监管委员会通过了《巴塞尔协议Ⅰ》,资本充足率监管才取代杠杆率监管,进而成为国际银行业监管的主要指标。随着《巴塞尔协议Ⅱ》的出台,复杂的风险权重模型取代了《巴塞尔协议Ⅰ》中相对简单的风险权重法。2008年次贷危机的爆发引发了对《巴塞尔协议Ⅱ》下的监管框架有效性的讨论,国际社会普遍认为需要加强对银行风险的监管。2009年12月,巴塞尔银行监管委员会正式通过了《巴塞尔协议》,将杠杆率指标作为资本充足率指标的补充,并规定了3%的杠杆率标准。我国银监会及时跟进《巴塞尔协议Ⅲ》,于2011年6月通过了《商业银行杠杆率管理办法》,规定了杠杆率的计算方法和4%的达标值等一系列具体问题。杠杆率指标是否能够有效地控制银行的风险行为和资产质量?杠杆率监管在我国的适用性如何?银监会新推出的杠杆率新规是否符合我国银行业当前的发展水平及未来发展方向?本文试图回答这些问题。本文通过引入银行风险理论模型,分析了商业银行在分别面临资本充足率约束、杠杆率约束以及同时面对两种约束时的不同风险行为,得出的结论是：当商业银行面临双重约束时,资产质量较高的银行受到杠杆率的约束更严格；而资产质量较差的银行,主要受到资本充足率的约束,杠杆率对其约束作用有限。这种完全不考虑银行资产质量的杠杆率监管,只是限制了拥有优质资产的低风险银行的资本回报率,迫使低风险银行扩大自己的风险资产,以高风险换取高收益,才能在市场上与其他银行竞争。这与监管机构希望降低银行风险的监管愿望是不符合的。在理论分析的基础上,本文根据《商业银行杠杆率管理办法》的规定测算了我国上市银行的杠杆率数据,分析了商业银行的杠杆率达标情况。数据显示,我国大中型商业银行短期内不存在杠杆率达标压力,部分中小型银行达标压力较大。但结合我国商业银行业务发展模式来看,银行业将面临长期的资本补充压力,不利于表外业务和衍生品创新业务的开展。接着,本文通过验证上市银行的杠杆率和不良贷款率的关系,发现理论分析的结论在中国银行业是基本成立的。杠杆率监管内在的不公平性会加剧我国银行业的不公平竞争,并可能导致资本市场的逆向选择。接着,本文从传统存贷款业务、表外业务及衍生品业务三个方面,分别分析了杠杆率监管对我国商业银行业务经营的影响。最后,本文就杠杆率监管分别对监管当局和监管对象提出了相应的建议。
[Abstract]:In the early days of banking, leverage was widely used as a microregulatory tool. It was not until 1988, when the Basel Committee on Banking Supervision adopted Basel I, that capital adequacy regulation replaced leverage regulation. Then became the main index of international banking supervision. With the introduction of Basel II, The complex risk weighting model replaces the relatively simple risk weighting method in Basel I. The outbreak of the subprime mortgage crisis in 2008 led to a discussion on the effectiveness of the regulatory framework under Basel II. In December 2009, the Basel Committee on Banking Supervision formally adopted the Basel Accord, which uses the leverage ratio index as a complement to the capital adequacy index. In June 2011, the CBRC adopted the measures for the Management of the leverage ratio of Commercial Banks, which stipulated a series of specific problems, such as the calculation method of the leverage ratio and the standard value of 4%. Can leverage ratio indicators effectively control banks' risk behaviour and asset quality? What is the applicability of leverage regulation in China? Does the new leverage ratio regulation of CBRC accord with the current development level and future development direction of China's banking industry? This paper attempts to answer these questions. By introducing the bank risk theory model, this paper analyzes the different risk behaviors of commercial banks under the constraints of capital adequacy ratio, leverage ratio and two constraints at the same time. The conclusion is that when commercial banks face double constraints, banks with higher asset quality are more constrained by leverage ratio, while banks with poor asset quality are mainly constrained by capital adequacy ratio. Leverage is limited. This leverage regulation, which does not take into account the quality of bank assets at all, limits the return on capital of low-risk banks with good assets and forces low-risk banks to expand their risky assets. In order to compete with other banks in the market by bartering high risks for high returns, this is inconsistent with the regulatory desire of regulators to reduce bank risk. On the basis of theoretical analysis, this paper calculates the leverage ratio data of the listed banks in China according to the regulations of "measures for the Management of the leverage ratio of Commercial Banks", and analyzes the situation of the leverage ratio of commercial banks meeting the standards. The data show that the leverage ratio of the commercial banks is up to standard. Large and medium-sized commercial banks in China do not have the pressure to meet the standards of leverage in the short term, but some small and medium-sized banks are under greater pressure to meet the standards. However, in the light of the business development model of commercial banks in China, the banking industry will face long-term pressure on capital replenishment. It is not conducive to the development of off-balance-sheet business and derivatives innovation business. Then, this paper verifies the relationship between leverage ratio and non-performing loan ratio of listed banks. It is found that the conclusion of theoretical analysis is basic in China's banking industry. The inherent unfairness of leverage ratio supervision will aggravate the unfair competition of Chinese banking industry and may lead to adverse selection of capital market. This paper analyzes the influence of leverage ratio supervision on Chinese commercial bank business from three aspects: traditional deposit and loan business, off-balance sheet business and derivatives business. Finally, this paper puts forward the corresponding suggestions to the regulatory authority and the regulatory object on the leverage ratio supervision.
【学位授予单位】：东北财经大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.33

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