我国商业银行资本充足率的顺周期问题研究

发布时间：2018-03-11 01:15

本文选题：顺周期性　切入点：资本充足率　出处：《华南理工大学》2014年硕士论文　论文类型：学位论文

【摘要】：2008年的金融危机引发了全球范围内关于金融体系顺周期性和金融监管不足的讨论。在新一轮监管改革中，缓解顺周期性，计提逆周期资本缓冲成为各方共识，《巴塞尔协议Ⅲ》及我国《商业银行资本管理办法（试行）》都提出了加强逆周期监管，构建宏观审慎监管体系的要求。在新的政策背景下，分析我国商业银行资本充足率的顺周期性具有现实指导意义。在理论方面，本文从内生和外生两个方面解释了商业银行资本充足率顺周期性形成的原因，并重点对巴塞尔协议Ⅰ和巴塞尔协议Ⅱ框架下资本监管所造成的顺周期性进行了分析。在实证上，本文利用我国14家商业商业银行2004——2012年的面板数据分析我国商业银行资本充足率和经济周期的关系，实证结果表明，资本充足率和经济增长率之间存在同向波动关系，即是说我国商业银行的资本充足率具有逆周期性的特征。在对样本银行分类进行实证分析后，发现我国城市商业银行资本充足率的逆周期性最强。本文认为虽然我国商业银行的资本充足率具有一定的逆周期特征，但是这是我国特定时期和特定的环境所造成的，我国应该趁此机会建立逆周期监管机制。在对逆周期监管工具的选取上，本文重点研究了逆周期资本缓冲这一工具，并对国际清算银行所推荐的挂钩变量——信贷/GDP的缺口（credit/GDP GAP）在我国的适用性进行了分析，通过使用2000年-2013年我国的历史数据进行试算，发现通过该指标所计算出的逆周期资本缓冲能较好的缓解我国商业银行在信贷扩张期风险的累积，验证了该挂钩变量在我国是一个合适的指标。最后，本文对监管部门完善我国逆周期资本缓冲机制提出了建议，并对我国商业银行如何适应新的监管环境提出了几项对策。对商业银行而言，新政策下面临的资本监管压力增加，就应该提高盈利能力，提升风险管控能力，拓展资本补充渠道，加强流动性管理；对监管部门来说，则要提高监管水平，在实践中对逆周期资本缓冲的挂钩变量进行完善，，注重逆周期资本缓冲机制与其他宏观调控工具的相互配合，建立宏观审慎监管框架。
[Abstract]:In 2008, the financial crisis triggered a worldwide debate about the pro-cyclical and underregulated financial system. It has become the consensus of all parties that the capital buffer against the cycle has become a consensus. Both Basel III and China's Capital Management measures for Commercial Banks (try out) have put forward the requirements of strengthening countercyclical supervision and establishing a macro-prudential supervision system. Under the new policy background, it is necessary to establish a macro-prudential supervision system. It is of practical significance to analyze the procyclicality of capital adequacy ratio of commercial banks in China. In theory, this paper explains the reasons for the pro-cyclical formation of capital adequacy ratio in commercial banks from both endogenous and exogenous aspects. It also focuses on the analysis of the procyclicality caused by capital supervision under the framework of Basel I and Basel II. Based on the panel data of 14 commercial banks in China from 2004 to 2012, this paper analyzes the relationship between the capital adequacy ratio and the economic cycle of Chinese commercial banks. The empirical results show that the capital adequacy ratio and the economic growth rate are in the same direction. That is to say, the capital adequacy ratio of commercial banks in China has the characteristics of countercyclical. After the empirical analysis of sample banks, it is found that the reverse periodicity of capital adequacy ratio of urban commercial banks in China is the strongest. This paper holds that although the capital adequacy ratio of commercial banks in China has some counter-cyclical characteristics, it is caused by the specific period and environment of our country. China should take advantage of this opportunity to establish a counter-cyclical regulatory mechanism. In the selection of counter-cyclical regulatory tools, this paper focuses on the countercyclical capital buffering tool. The applicability of credit / GDP gap between credit and GDP recommended by the Bank for International Settlements (BIS) in China is analyzed. By using the historical data from 2000 to 2013, It is found that the countercyclical capital buffer calculated by this index can alleviate the risk accumulation of Chinese commercial banks in the period of credit expansion, which proves that the linked variable is an appropriate index in China. Finally, this paper puts forward some suggestions on how to perfect the countercyclical capital buffer mechanism of our country, and puts forward some countermeasures on how to adapt to the new regulatory environment. If the pressure on capital supervision is increased under the new policy, we should improve our profitability, enhance our ability to control risks, expand the channels for capital replenishment, and strengthen liquidity management; for the regulatory authorities, we should raise the level of supervision. In practice, the linked variables of countercyclical capital buffering are perfected, the coordination of countercyclical capital buffering mechanism and other macro-control tools is emphasized, and the framework of macro-prudential supervision is established.
【学位授予单位】：华南理工大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.33;F830.42

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