我国银行业逆周期监管政策研究

发布时间：2018-10-23 21:03

【摘要】：本次金融危机过后,国际金融监管机构和各国监管当局开始反思传统银行业监管的缺陷与不足,并达成共识,认为商业银行顺周期性是导致金融危机的重要原因,加强宏观审慎监管框架下的银行业逆周期政策研究势在必行。本文通过分析传统监管政策下我国商业银行的顺周期效应,找到我国银行业逆周期监管存在的问题,最后提出完善我国银行业逆周期监管框架的政策建议,这也是本文的研究目的。本文首先介绍了国内外学者在银行顺周期性和银行逆周期监管政策方面的研究成果以及与金融逆周期监管相关的理论,从而为研究工作奠定了理论基础。然后,运用大量实证数据和模型对我国商业银行的顺周期性进行分析,并得出结论：内部评级法、资本充足率监管和公允价值会计准则都会给我国商业银行带来顺周期性。在实证分析的基础上,本文详细论述了我国银行逆周期监管的现状与问题,认为目前我国逆周期监管政策还有待完善。紧接着本文又总结归纳了国内外监管当局在逆周期监管领域的实践经验,包括：动态拨备制度、逆周期资本缓冲、商业银行压力测试、杠杆率和贷款成数比率。最后,在前文分析的基础上提出完善我国银行业逆周期监管框架的政策建议,之后分别从资本监管、会计准则和比率指标方面分别提出逆周期监管建议。本文的创新之处主要有三个方面：第一,使用KMV模型分阶段地考察我国商业银行内部评级法的顺周期性；第二,发现平滑因子入可能影响逆周期资本缓冲的作用效果,并确定适合中国的平滑因子取值；第三,提出完善我国银行业逆周期监管框架的政策建议。
[Abstract]:After the current financial crisis, international financial regulators and national regulatory authorities began to reflect on the shortcomings and deficiencies of traditional banking supervision, and reached a consensus that the pro-cyclical nature of commercial banks was an important cause of the financial crisis. It is imperative to strengthen the research of banking countercyclical policy under the framework of macro-prudential supervision. By analyzing the procyclical effect of Chinese commercial banks under the traditional supervision policy, this paper finds out the problems existing in the countercyclical supervision of China's banking industry, and finally puts forward some policy suggestions on how to perfect the framework of countercyclical supervision in China's banking industry. This is also the purpose of this paper. This paper first introduces the research results of banks' pro-cyclical and countercyclical supervision policies and the theories related to financial countercyclical supervision, which lays a theoretical foundation for the research work. Then, using a large number of empirical data and models to analyze the pro-periodicity of commercial banks in China, and draw a conclusion: internal rating method, capital adequacy regulation and fair value accounting standards will bring pro-cyclical to our commercial banks. On the basis of empirical analysis, this paper discusses in detail the current situation and problems of countercyclical supervision of banks in China, and thinks that the policy of countercyclical supervision in China needs to be improved. Then this paper summarizes the practical experience of domestic and foreign regulatory authorities in the field of countercyclical supervision, including: dynamic reserve system, countercyclical capital buffer, commercial bank stress testing, leverage ratio and loan ratio. Finally, on the basis of the above analysis, the author puts forward some policy suggestions to perfect the countercyclical supervision framework of China's banking industry, and then puts forward the counter-cyclical supervision suggestions from the aspects of capital supervision, accounting standards and ratio index respectively. The innovations of this paper are as follows: first, using the KMV model to investigate the procyclicality of the internal rating method of commercial banks in China in stages; secondly, finding that smooth factor entry may affect the effect of countercyclical capital buffering. And determine the value of the smoothing factor suitable for China. Third, put forward the policy recommendations to improve the countercyclical regulatory framework of China's banking industry.
【学位授予单位】：天津财经大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.3

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