银行资本监管的经济波动效应

发布时间：2018-01-06 11:32

本文关键词：银行资本监管的经济波动效应　出处：《系统工程理论与实践》2013年02期 　论文类型：期刊论文

【摘要】：基于中国隐性存款保险制度背景,将风险资本要求和监管惩罚因子植入银行目标利润函数中,构建新的理论模型,探讨巴塞尔新资本协议框架下银行资本监管影响宏观经济波动的内在机理,理论研究表明:风险资本要求的提高或惩罚力度的增强会使最优贷款供给对利率的敏感度减少,当融资市场不完全时,IS曲线将变得更为陡峭并向左下方移动,从而降低了宏观经济的均衡产出.在此基础上,采用动态面板数据模型的GMM方法进行实证检验,估计结果显示:2001-2008年期间,资本监管在我国具有信贷紧缩效应,通过信贷行为的传导对经济增长有显著负面影响,特别是在经济衰退时期资本监管会加剧宏观经济波动.
[Abstract]:Based on the background of China's implicit deposit insurance system, this paper puts venture capital requirements and regulatory penalty factors into the target profit function of banks and constructs a new theoretical model. This paper probes into the internal mechanism of the influence of bank capital supervision on macroeconomic fluctuation under the framework of the Basel New Capital Accord. Theoretical studies show that: the increase of venture capital requirements or punishment will reduce the sensitivity of the optimal loan supply to the interest rate, when the financing market is incomplete. The is curve will become steeper and move to the lower left, thus reducing the macroeconomic equilibrium output. Based on this, the GMM method of dynamic panel data model is used to carry out empirical test. The results show that during the period of 2001-2008, capital supervision has a credit tightening effect in China, and the transmission of credit behavior has a significant negative impact on economic growth. Especially in the economic recession, capital supervision will exacerbate macroeconomic fluctuations.
【作者单位】：浙江工商大学金融学院;西安交通大学经济与金融学院;
【基金】：国家自然科学基金(71103158) 浙江省教育厅项目(Y201119608) 浙江省高校人文社会科学重点研究基地(金融学)项目
【分类号】：F832.1;F224
【正文快照】： 1引言资本监管的目的在于降低银行的风险承担行为，，稳定金融市场，然而2007年9月美国次贷危机的产生和蔓延，充分暴露出此前银行资本监管体系存在诸多不足.对微观审慎监管的过度倾斜在一定程度上使得各银行的资产负债结构、风险承受能力和风险偏好趋于同质化，客观上成为宏观

【共引文献】