银行资本监管的顺周期效应研究
发布时间：2018-09-13 09:45
【摘要】：资本监管作为银行审慎监管的核心,通过规定商业银行最低资本要求,提升了银行抵御外部风险冲击的能力,使银行能够及时冲销经营过程中各种不确定性所带来的损失,从而起到保护存款人利益,降低银行清算破产概率,最终实现金融乃至整个实体经济体系的稳定的重要作用。正是由于银行资本监管在商业银行经营过程中发挥着举足轻重的作用,所以,在2008年金融海啸中,其所暴露出的顺周期效应受到了监管当局和学术界的广泛关注和讨论。本文正是在这一背景下,对资本监管中的顺周期效应进行了深入的探讨和分析。 本文在现有研究的基础上,首先从一般性的角度,运用理论和数量分析两种方法对巴塞尔协议下的资本监管的顺周期效应进行了探讨。文章在K.T. Jacques模型的基础上,从留存收益渠道、总负债渠道、信用等级迁移渠道以及超额资本缓冲渠道四个方面进行了分析,然后建立起一个两阶段的银企关系贷款模型,利用静态比较法与数值模拟法进行了更深一步的讨论,结果显示巴塞尔协议下的一般资本监管存在顺周期效应,在经济上行期会推动经济进一步繁荣,而经济衰退期则会产生信贷紧缩,影响经济的复苏。 紧接着,本文进一步探讨了我国资本监管的顺周期效应问题。利用我国资本充足率、不良贷款率、GDP增长率等数据进行面板回归后,发现我国银行资本监管呈现出显著的顺周期效应。根据这一实证结果,文章进一步分析了产生这一特征的原因。 最后,根据上述讨论和分析的结果,文章从商业银行与监管当局两个层面提出了应对资本监管顺周期效应和资本监管改革的相关政策建议。
[Abstract]:As the core of bank prudential supervision, capital supervision improves the ability of banks to resist external risk shocks by stipulating the minimum capital requirements of commercial banks, and enables banks to write off the losses caused by various uncertainties in the course of operation in a timely manner. Thus, it plays an important role in protecting depositors' interests, reducing the probability of bank liquidation and bankruptcy, and finally realizing the stability of the financial system and the whole real economy system. It is precisely because the bank capital supervision plays an important role in the commercial bank management process, therefore, in the 2008 financial tsunami, its exposed procyclical effect has been widely concerned and discussed by the regulatory authorities and academic circles. Under this background, this paper makes a deep discussion and analysis on the pro-cyclical effect of capital supervision. On the basis of the existing research, this paper first discusses the pro-cyclical effect of capital regulation under Basel Accord from the general point of view, using two methods of theoretical and quantitative analysis. Based on K.T. Jacques model, this paper analyzes the retained earnings channel, the total debt channel, the credit grade migration channel and the excess capital buffer channel, and then establishes a two-stage bank enterprise relationship loan model. By using static comparison method and numerical simulation method, the results show that the general capital supervision under Basel Accord has a pro-cyclical effect, which will promote the economic prosperity in the upward period. The recession will produce a credit crunch, affecting the economic recovery. Then, this paper further discusses the pro-cyclical effect of capital supervision in China. By using the data of capital adequacy ratio, non-performing loan rate and GDP growth rate, we find that the banking capital supervision in China has a significant pro-cyclical effect. According to the empirical results, the paper further analyzes the causes of this feature. Finally, based on the results of the above discussion and analysis, this paper puts forward some policy suggestions on the pro-cyclical effect of capital supervision and the reform of capital supervision from the two aspects of commercial banks and regulatory authorities.
【学位授予单位】：湖南大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.1
本文编号：2240810
[Abstract]:As the core of bank prudential supervision, capital supervision improves the ability of banks to resist external risk shocks by stipulating the minimum capital requirements of commercial banks, and enables banks to write off the losses caused by various uncertainties in the course of operation in a timely manner. Thus, it plays an important role in protecting depositors' interests, reducing the probability of bank liquidation and bankruptcy, and finally realizing the stability of the financial system and the whole real economy system. It is precisely because the bank capital supervision plays an important role in the commercial bank management process, therefore, in the 2008 financial tsunami, its exposed procyclical effect has been widely concerned and discussed by the regulatory authorities and academic circles. Under this background, this paper makes a deep discussion and analysis on the pro-cyclical effect of capital supervision. On the basis of the existing research, this paper first discusses the pro-cyclical effect of capital regulation under Basel Accord from the general point of view, using two methods of theoretical and quantitative analysis. Based on K.T. Jacques model, this paper analyzes the retained earnings channel, the total debt channel, the credit grade migration channel and the excess capital buffer channel, and then establishes a two-stage bank enterprise relationship loan model. By using static comparison method and numerical simulation method, the results show that the general capital supervision under Basel Accord has a pro-cyclical effect, which will promote the economic prosperity in the upward period. The recession will produce a credit crunch, affecting the economic recovery. Then, this paper further discusses the pro-cyclical effect of capital supervision in China. By using the data of capital adequacy ratio, non-performing loan rate and GDP growth rate, we find that the banking capital supervision in China has a significant pro-cyclical effect. According to the empirical results, the paper further analyzes the causes of this feature. Finally, based on the results of the above discussion and analysis, this paper puts forward some policy suggestions on the pro-cyclical effect of capital supervision and the reform of capital supervision from the two aspects of commercial banks and regulatory authorities.
【学位授予单位】：湖南大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.1
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，本文编号：2240810
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