我国商业银行顺周期性及监管研究

发布时间：2018-07-25 09:30

【摘要】：2008年美国次贷危机不仅引发数量众多的金融机构破产倒闭,而且进一步蔓延到实体经济,不但美国、欧洲、日本等发达经济体出现较为严重的经济金融危机,中国等新兴市场国家也因此受到冲击,全球经济出现大幅衰退,时至今日仍然走在缓慢复苏的轨道上。原有的金融监管模式特别是以巴塞尔协议Ⅱ为基础建立的商业银行监管框架受到巨大质疑。关于次贷危机发生的原因,学术界和各政府组织还未达成一致意见,但是相关研究均显示,金融机构和金融系统的顺周期性、对于系统性风险的认识和控制不足与危机的爆发密不可分,原有基于微观审慎的监管框架既无法克服顺周期性,也无力降低金融体系的系统性风险。在原有的微观审慎管理原则下,商业银行具有很强的顺周期性,这种顺周期性一方面体现在现有的监管框架下,作为商业银行经营管理和金融监管核心的缓冲资本(资本充足率)与经济增长之间具有高度的相关性,导致基于微观审慎建立的监管框架失灵,商业银行的缓冲资本未能实现确保商业银行稳健运营的作用；另一方面,信贷投放、资产质量、流动性状况等反映商业银行经营行为的指标也呈现出明显的顺周期性,从而加剧了经济的周期性波动,对实体经济带来了更大的冲击,并加剧金融部门的不稳定性。因此需要科学评估判断商业银行的顺周期性特征,建立基于宏观审慎管理的逆周期的监管框架以削弱并尽力消除金融机构的顺周期性,防范和化解系统性金融风险,减弱商业银行经营对经济周期的正反馈效应。本文通过对宏观审慎和金融机构顺周期性的理论研究,厘清了宏观审慎概念的演变,并进一步研究了顺周期性的概念、内涵与表现。为研究我国商业银行的顺周期性特点,本文以我国16家上市商业银行2004年-2014年的资本充足率净资本收益率、不良贷款率等季度数据为基础,对商业银行的缓冲资本和经营行为等进行了实证分析,通过相关经济理论构建分析模型,运用广义矩估计方法(GMM)动态面板数据方法,分析我国商业银行在既有监管框架下的缓冲资本与经济周期的关联性。同时,运用Jonhanson协整检验和向量误差修正(Vector Error Correction)模型,研究2004年-2014年间我国商业银行信贷投放、资产质量和流动性状况与经济周期之间的长期关系。研究结果显示,无论是缓冲资本,还是信贷投放、资产质量、流动性等经营指标,我国商业银行在既有监管框架下均呈现出明显的顺周期性。而且以季度数据分析得出的商业银行短期内的顺周期性行为,与已有学者使用年度数据分析得出的结论呈现一定的差异。对商业银行缓冲资本和经营活动的全方位实证分析,可以确保得到互为验证的可靠实证结论,而使用数据周期较长的季度数据,使得样本容量远大于以年度数据为样本的实证分析,进一步保证了数据结果的有效性。在实证研究的基础上,本文提出了基于宏观审慎的逆周期监管政策措施,力求进一步完善我国已经初步探索建立的宏观审慎政策框架。
[Abstract]:In 2008, the American subprime crisis not only led to the bankruptcy and bankruptcy of a large number of financial institutions, but also further spread to the real economy. Not only the developed economies such as the United States, Europe, Japan and other developed economies had a serious economic and financial crisis, but the emerging market countries such as China and other emerging markets had been punching, and the global economy had a substantial recession. On a slow recovery track, the existing financial regulatory model, especially the commercial bank regulatory framework based on Basel II, has been greatly questioned. The reasons for the subprime crisis have not yet been agreed by academics and government organizations, but the relevant studies show the CIS cycle of financial institutions and financial systems. The lack of understanding and control of systemic risk is inseparable from the outbreak of the crisis. The original micro prudential regulatory framework can not overcome the cyclicity and the systemic risk of the financial system. Under the original micro Prudential management principle, the commercial bank has a strong CIS cyclical nature, this kind of cyclical side. Under the existing regulatory framework, the buffer capital (capital adequacy ratio), which is the core of commercial bank management and financial supervision, has a high correlation with economic growth, which leads to the failure of the regulatory framework based on micro prudence, and the buffer capital of commercial banks can not achieve the role of ensuring the steady operation of commercial banks. On the other hand, the indicators that reflect the business behavior of commercial banks, such as credit delivery, asset quality and liquidity condition, also show a clear cyclical nature, which aggravates the cyclical fluctuation of the economy, has a greater impact on the real economy and aggravates the instability of the financial sector. Therefore, scientific evaluation and judgment of the CIS week of commercial banks is needed. The regulatory framework of the reverse cycle based on macro Prudential Management is established to weaken and eliminate the cyclical nature of financial institutions, to prevent and dissolve systemic financial risks and to weaken the positive feedback effect of commercial banks' operation on the economic cycle. This paper makes a clear study of macro prudence and the theory of the CIS cycle of financial institutions. In order to study the cyclical characteristics of the commercial banks in China, this paper, based on the quarterly data of the net capital yield of capital adequacy ratio and the bad loan rate of 16 listed commercial banks of China in 2004, is based on the characteristics of the CIS cyclical characteristics of China's commercial banks, and on the basis of the quarterly data of the capital adequacy ratio of capital and the rate of non-performing loans in China's 16 commercial banks in 2004 and the buffer capital and classics of commercial banks. The empirical analysis is carried out, and the analysis model is constructed through the related economic theory and the dynamic panel data method of the generalized moment estimation method (GMM) is used to analyze the relationship between the buffer capital and the economic cycle of China's commercial banks under the existing regulatory framework. At the same time, the Jonhanson cointegration test and the vector error correction (Vector Error Corre) are used. Ction) model, studying the long-term relationship between the loan of commercial banks in China in the period of -2014 in 2004, the quality of assets and the liquidity situation and the economic cycle. The results show that the commercial banks of our country show obvious compliance under the existing regulatory framework, whether it is the buffer capital, the credit, the asset quality, the liquidity and so on. Periodic behavior of commercial banks in the short term based on the analysis of quarterly data shows certain differences with the conclusions obtained by the annual data analysis of the existing scholars. A full empirical analysis of the buffer capital and business activities of commercial banks can ensure the reliable empirical conclusions of mutual validation and the use of data. A long period of quarterly data makes the sample size far larger than the empirical analysis of the annual data as the sample, and further guarantees the effectiveness of the data results. On the basis of the empirical study, this paper puts forward the policy measures based on the macro Prudential reverse cycle supervision, and strives to further improve the macro Prudential administration which has been initially explored and established in China. The policy framework.
【学位授予单位】：中国海洋大学
【学位级别】：硕士
【学位授予年份】：2015
【分类号】：F832.33

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