流动性视角下我国商业银行资本缓冲的实证研究

发布时间：2018-05-21 17:50

本文选题：资本缓冲 + 流动性创造　；参考：《东北财经大学》2012年硕士论文

【摘要】：2008年全球金融危机的发生凸现了金融监管框架的种种缺陷。为了完善金融监管体系,巴塞尔委员会于2010年12月正式提出了新的监管框架《巴塞尔协议Ⅲ》,该协议提出要加强对现有资本金的持续监管,提出了银行资本监管改革措施和全球银行业流动性监管标准同步进行并重点监管,其中资本监管改革中的一项内容就是建立逆周期资本缓冲。那么从宏观审慎监管的角度,根据新《巴塞尔协议Ⅲ》的监管重点,从流动性的视角研究其对资本缓冲的影响对于我国建立和完善逆周期资本缓冲机制将会有一定的参考作用。本文首先引入了资本缓冲的动态模型,将我国2003年-2011年23家商业银行的面板数据对资本缓冲进行回归,结果表明：我国商业银行资本缓冲与流动性之间显著地呈负相关关系,由此不仅确定了巴塞尔协议Ⅲ提出的将流动性风险指标纳入资本监管体系中这一宏观审慎的监管原则对我国具有的适用性；也说明流动性因素也是影响资本缓冲的重要因素,因此我国监管机构在建立逆周期资本缓冲机制的时候可以考虑流动性预期,以进一步完善我国的资本监管体系。其次,在基础模型的基础上,本文对银行资本缓冲与流动性创造进行了非对称分析。在这里,所谓的非对称分析其实就是将样本银行按我国银行性质划分为三类：国有商业银行、全国性股份制商业银行和区域性城市商业银行,使用相同的回归模型进行回归,主要用来考察对于不同性质的商业银行,银行资本缓冲与流动性的关系是否有所不同。如果三类不同性质的银行的流动性创造的回归结果跟总体样本银行一致,就说明资本缓冲对流动性创造不存在非对称影响,否则,则存在非对称的影响。这个非对称分析为我国金融监管机构在针对我国不同性质的商业银行完善逆周期资本缓冲机制提供了可参考的实证和理论依据。本文共分为五个部分：第一章对本文的选题理论意义和实用价值进行了概述,并介绍了有关资本缓冲的研究以及商业银行资本缓冲和流动性关系的外国文献和国内文献,最后对本文的研究思路、方法和文章结构进行阐述。第二章主要介绍了银行资本缓冲和流动性的衡量指标。首先介绍了我国商业银行对于资本缓冲的定义和本文对于资本缓冲的衡量指标的选取及计算,接着介绍了流动性的定义及本文对于流动性指标的衡量与计算。第三章主要介绍了银行资本缓冲和流动性关系的理论分析、模型中样本选择和其它解释变量以及本文所采用的回归方法介绍。本文借鉴了本文借鉴了资本动态监管模型,结合了中国的实际情况并综合了各种影响资本缓冲的因素,从最基本的反映实际投资的简单等式出发来建立回归方程。样本包括2003年-2011年之间23家商业银行。然后本文根据回归方程和样本,选择的回归方法是广义矩法(GMM)。第四章主要对对资本缓冲模型进行回归和解释。首先对该方程的23个样本进行回归,结果表明我国商业银行资本缓冲与流动性之间显著地呈负相关关系。其次,将样本银行按照银行性质分为三类：国有银行、全国性股份制商业银行和城市商业银行,以此进行资本缓冲与流动性的关系的非对称研究,得出了不同性质的商业银行的资本缓冲与流动性之间的关系存在非对称性。得出的结论是：国有商业银行的流动性创造的系数都为正,符合“风险吸收理论”。对于全国性股份制商业银行和区域性商业银行来说,流动性创造的系数都为负,都符合“金融脆弱挤出效应”假说,即银行的资本充足水平与流动性呈负相关的关系,说明流动性不仅是影响资本缓冲的因素之一,而且对于我国不同性质的商业银行其影响还具有非对称性。第五章主要是根据以上的回归结果对我国如何完善资本监管体系提出政策建议以及未来研究方向。
[Abstract]:In order to improve the financial regulatory framework, the Basel Committee formally proposed a new regulatory framework, "Basel Agreement III", in December 2010, in order to improve the financial regulatory framework. In order to improve the financial supervision system, the Basel Committee proposed to strengthen the continuous supervision of the existing capital, and put forward the reform measures and the whole bank capital supervision and control measures. The liquidity regulatory standards of the banking industry are synchronized and focused on. One of the contents of the reform of capital supervision is the establishment of a countercyclical capital buffer. From the perspective of macro prudential supervision, according to the regulatory focus of the new "Basel Protocol III", the study on the impact of the capital buffer on the capital buffer from the perspective of liquidity is established and completed in China. This paper introduces the dynamic model of capital buffer. This paper first introduces the dynamic model of capital buffer, and returns the capital buffer with the panel data of 23 commercial banks in -2011 in 2003. The result shows that the capital buffer and liquidity of China's commercial banks have a significant negative correlation, thus not only the capital buffer and liquidity of China's commercial banks have a negative correlation. The applicability of the macro prudential regulation principle of liquidity risk index into the capital supervision system is determined by the Basel Agreement III, and the liquidity factor is also an important factor affecting the capital buffer. Therefore, our regulators can consider the flow of capital in the establishment of the reverse cycle capital buffer mechanism. In order to further improve our country's capital supervision system. Secondly, on the basis of the basic model, this paper makes an asymmetric analysis of bank capital buffer and liquidity creation. Here, the so-called asymmetric analysis is to divide the sample banks into three categories according to the nature of our country's banks: state owned commercial banks, national shares. Commercial banks and regional commercial banks, using the same regression model, are used to examine whether the relationship between bank capital buffer and liquidity is different for different commercial banks. If the regression results of the liquidity creation of three different types of banks are consistent with the overall sample bank, it will be explained. Capital buffering does not have asymmetric effects on liquidity creation, otherwise, there is an asymmetric effect. This asymmetric analysis provides an empirical and theoretical basis for China's financial regulators to improve the reverse cycle capital buffer mechanism for different commercial banks in China. This paper is divided into five parts:
The first chapter summarizes the theoretical significance and practical value of this article, and introduces the foreign literature and domestic literature about the research of capital buffer and the relationship between capital buffer and liquidity of commercial banks. Finally, this paper expounds the research ideas, methods and structure of this article.
The second chapter mainly introduces the measure index of bank capital buffer and liquidity. Firstly, it introduces the definition of capital buffer and the selection and calculation of the measure index of capital buffer in the Commercial Bank of China. Then it introduces the definition of liquidity and the measurement and calculation of liquidity index.
The third chapter mainly introduces the theoretical analysis of bank capital buffer and liquidity relationship, sample selection and other explanatory variables in the model, and the regression method introduced in this paper. This paper draws lessons from the capital dynamic regulation model, combines the actual situation in China and synthesizes various factors that affect capital buffer, from the most important factors. Basically reflecting the simple equation of real investment, the regression equation is set up. The sample includes 23 commercial banks between 2003 -2011 years. Then this paper, based on the regression equation and sample, chooses the generalized moment method (GMM).
The fourth chapter is mainly to return and explain the capital buffer model. First, 23 samples of the equation are regressed. The results show that the capital buffer and liquidity of the commercial banks in China have a significant negative correlation. Secondly, the sample banks are divided into three types according to the bank nature: state-owned banks, national joint-stock commercial banks and cities. The city commercial bank, based on the asymmetric study of the relationship between capital buffer and liquidity, draws a conclusion that the relationship between capital buffer and liquidity of different commercial banks is asymmetric. The conclusion is that the coefficient of liquidity creation of the state-owned commercial banks is positive and conforms to the "risk absorption theory". Both joint-stock commercial banks and regional commercial banks have negative factors of liquidity creation, which are all in line with the hypothesis of "financial fragile extrusion effect", that is, the relationship between capital adequacy and liquidity is negatively related to the liquidity, which indicates that liquidity is not only one of the factors that affect capital buffer, but also to commercial banks of different nature in China. The effect is also asymmetrical.
The fifth chapter is mainly based on the above regression results, and puts forward policy recommendations and future research directions on how to improve the capital regulatory system in China.
【学位授予单位】：东北财经大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.33;F224

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