银行资本、银行信贷与宏观经济波动——基于C-C模型的影响机理分析的拓展研究

发布时间：2018-03-11 11:35

  本文选题：信贷风险　切入点：监管约束　出处：《金融研究》2011年05期 　论文类型：期刊论文

【摘要】：在我国新资本协议即将付诸实施的背景下,本文研究了银行资本、银行信贷与宏观经济波动三者之间的关系,重点在C-C模型的基础上进行了三个方面的拓展:一是加入存贷比约束,二是考虑银行信贷存在信用风险,三是考虑风险权重的可变性。基于这个新的理论框架,我们不仅对比分析了Basel I和BaselⅡ之下,资本松约束和资本紧约束两种情形时宏观经济波动对银行最优行为造成的冲击,同时也研究了银行资本的顺周期性问题,并特别指出:在BaselⅠ之下,信贷风险和存贷比约束具有双重强化银行信贷和银行资本顺周期性的特征;而在BaselⅡ之下,可变的风险权重则在一定程度上弱化资本监管的顺周期性。
[Abstract]:In the context of the implementation of the new capital agreement in China, this paper studies the relationship among bank capital, bank credit and macroeconomic fluctuations. On the basis of the C-C model, three aspects are developed: one is to add the deposit-loan ratio constraint, the other is to consider the credit risk in the bank credit, and the third is to consider the variability of the risk weight. We not only compare and analyze the impact of macroeconomic fluctuation on the optimal behavior of banks under Basel I and Basel II, capital loosening constraints and capital tight constraints, but also study the pro-cyclical problem of bank capital. In particular, it is pointed out that under Basel I, the constraints of credit risk and deposit / loan ratio have the characteristics of double strengthening bank credit and bank capital procyclicality, while under Basel 鈪，

本文编号：1597989