我国商业银行杠杆率的顺周期性的实证研究

发布时间：2018-02-27 03:10

本文关键词： 商业银行杠杆率顺周期性　出处：《江西财经大学》2015年硕士论文　论文类型：学位论文

【摘要】：2008年,国际金融危机全面爆发。在危机之前,欧美国家的主要商业银行都保持着较高的资本充足率,但并没有因此而逃脱金融危机的冲击,损失严重。在危机中乃至危机后,绝大多数金融机构采取了去杠杆化策略,即提高资本在总资产中的比例,以降低风险。同时,国际社会对当时的资本监管制度进行了深刻的反思,得出衡量并监督商业银行的系统性风险仅靠资本充足率指标是不完全的这一结论。因此,在2010年12月,巴塞尔委员会颁布了第三版巴塞尔协议(BaselⅢ),该协议首次提出了杠杆率指标,并明确了杠杆率指标在《巴塞尔协议Ⅲ》的资本监管体系中的重要地位。杠杆率的提出在一定程度上弥补了资本充足率在资本监管方面存在的不足。中国银监会依据《巴塞尔协议Ⅲ》的相关内容,借鉴国外实施杠杆率监管国家的实践经验,并结合我国银行业发展的实际情况,于2011年6月,颁布了《商业银行杠杆率管理办法》。该办法阐述了我国银行业的杠杆率监管体系,并对杠杆率的计算与监管原则进行了说明。所以,杠杆率在资本监管中的地位不容忽视。因此,对我国商业银行杠杆率进行相关研究是非常有必要且有重大意义的。本文将对我国商业银行杠杆率的顺周期性进行实证研究。国外有关银行杠杆率是否为顺周期的文献多为实证研究,并且主要以加拿大、土耳其、美国等国家的金融机构为研究对象。银行的杠杆率具有顺周期性这一结论是这些文献的普遍观点。另外,还有不少文献得出了不同类型的银行,其杠杆率的顺周期性存在差异这一结论。而国内对杠杆率是否为顺周期的研究非常少,我国对杠杆率的研究主要集中于杠杆率监管对我国银行业的影响,有关杠杆率的顺周期性的实证研究很少。因此,很有必要从实证的角度来详细分析该问题。首先,本文对相关概念进行了简要的阐述,并从资产负债表入手分析了银行杠杆率顺周期性的形成机制。其次,本文回顾了我国资本监管的历程,剖析了我国银行杠杆率的现状,并分析了我国银行杠杆率增长率与GDP增长率以及出口总额增长率之间的关系,分析结果显示我国商业银行杠杆率具有顺周期性的特点。然后,本文以我国1999—2013年151家商业银行年度数据为样本,采用面板数据方法检验了我国商业银行杠杆率是否具有顺周期性。实证结果表明,我国商业银行的杠杆率具有顺周期性特征。银行在同业拆借市场上的地位不同,其杠杆率的顺周期性表现也不同。非上市银行的顺周期性表现不如上市银行明显。大型商业银行杠杆率的顺周期性表现最强,城市商业银行次之,农村商业银行最弱。在2008年金融危机之后,我国商业银行杠杆率的顺周期性表现较危机之前更为明显。最后,本文从银行自身、监管当局以及货币政策三个角度提出缓解杠杆率顺周期性的对策。为能更好地运用杠杆率这一指标,银行与监管部门有必要继续关注并深入研究杠杆率。为应对杠杆率的顺周期性,银行自身应该构建逆周期机制。同时,监管部门应该出台相关政策,在一定程度上弥补银行自身机制的不足,更要在一定程度上限制银行的冒险行为,最终减少顺周期性对整个经济的不良影响。在我国,制定、实施杠杆率的相关监管政策应该以中国银行业的特征为基本点,即采用符合中国银行业行情的监管手段与标准。由于我国不同类型银行的杠杆率的顺周期性存在不小的差异,所以针对不同类型的银行,建议实施差异化的标准。
[Abstract]:In 2008, the outbreak of the international financial crisis. Before the crisis, the major commercial banks in Europe and the United States have maintained a higher capital adequacy ratio, but it did not escape the impact of the financial crisis, serious losses. In the crisis and after the crisis, the vast majority of financial institutions take the deleveraging strategy is to increase the proportion of capital in the in the total assets, in order to reduce the risk. At the same time, the international community had a profound reflection on the capital supervision system, and the supervision of the commercial bank system risk on capital adequacy ratio index of this conclusion is incomplete. Therefore, in December 2010, the Basel Committee issued the third edition of the Basel protocol (Basel III this protocol is proposed for the first time), the leverage ratio, and the important position of the leverage ratio in < Basel 3 > the capital supervision system. Leverage provided in a certain range Make up for deficiencies in the capital regulation on the capital adequacy ratio. Chinese CBRC according to relevant content of < Basel 3 >, from the implementation of national supervision leveraged foreign experience, combined with the actual situation, the development of China's banking industry in June 2011, promulgated the "leverage ratio of commercial banks. The management measures describes the way the leverage ratio of Chinese banking supervision system, and the calculation and supervision principle of leverage are described. Therefore, the leverage ratio in the capital supervision status can not be ignored. Therefore, to our country commercial bank leverage in the related research is very necessary and has great significance. This paper will the empirical Research on China's commercial banks leverage procyclicality. Foreign bank leverage is procyclical for empirical research and literature, mainly in Canada, Turkey, the United States and other countries. Financial institutions as the research object. The bank's leverage along with this conclusion periodic view of the literature. In addition, there are a lot of literatures show different types of banks, this conclusion leverage procyclical differences. While in China, the leverage ratio is very little research period. China's study on leverage mainly focused on the leverage effect of supervision on China's banking industry, the leverage ratio along the few empirical studies periodic. Therefore, it is necessary from the perspective of empirical analysis with the problem. Firstly, the relevant concepts are discussed, and from the assets the balance sheet of bank leverage along the formation mechanism of periodic. Secondly, this paper reviews the history of China's capital regulation, analyzes the present situation of our bank leverage, and analyzed our country bank leverage growth rate and GDP growth The rate of growth in total exports and the relationship between the rate of analysis, the results show that China's leverage ratio of commercial banks has pro cyclical characteristics. Then, based on China's 1999 2013 151 commercial banks annual data, using the panel data model to test our commercial bank leverage rate is procyclical empirical. The results show that China's commercial banks leverage procyclical characteristics. Different position of banks in the interbank market, its leverage procyclicality was also different. Non listed bank procyclicality as the performance of listed banks significantly. Large commercial banks leverage procyclicality strongest performance, commercial city bank, rural commercial bank is the weakest. In the wake of the 2008 financial crisis, the pro cyclical performance than before the crisis is more obvious in the leverage ratio of commercial banks in our country. Finally, this article from the bank itself, supervision Three aspects of monetary policy authorities and proposed to alleviate the leverage suggestions periodically. In order to use the index of leverage ratio better, banks and regulators need to pay attention and in-depth study of the leverage ratio. To cope with the leverage of procylicality, banks should establish a counter cyclical mechanism. At the same time, regulators should the introduction of relevant policies, to make up the lack of the bank's own mechanism to a certain extent, but also to limit the bank to a certain extent of risk-taking behavior, ultimately reducing harmful effects to the whole economic cycle. In the development of our country, the implementation of the relevant regulatory policy, leverage should be based on characteristics of China banking industry as the basic point, by means of supervision and standard Chinese banking market. Because of our different types of bank leverage along vary periodically, so for different types of banks, suggestion The standard of dissimilation.

【学位授予单位】：江西财经大学
【学位级别】：硕士
【学位授予年份】：2015
【分类号】：F832.33

【参考文献】