巴塞尔协议Ⅲ下我国商业银行资本缓冲的周期性及对信贷行为的影响分析

发布时间：2018-06-26 03:13

本文选题：资本缓冲 + 巴塞尔协议Ⅲ　；参考：《复旦大学》2014年硕士论文

【摘要】：资本缓冲的周期性,是指在经济不同周期阶段,商业银行资本缓冲随经济波动而发生相应变动,从而对银行信贷和经济周期波动产生影响。而资本监管政策可能是放大资本缓冲周期性的原因之一。为了克服现有资本监管体系的缺陷,减少顺周期的问题,2010年12月巴塞尔委员会推出了巴塞尔协议Ⅲ,提出宏观审慎监管的新理念,希望通过逆周期机制提高商业银行的信贷行为应对经济冲击的稳健性,并促使银行在经济上升时具有前瞻性地计提资本缓冲,以便在经济衰退时吸收损失,缓解商业银行信贷的顺周期性对实体经济波动造成的负面影响。本文在对关于资本缓冲周期性形成机制、实证结果、对信贷影响等方面的国内外文献回顾的基础上,将巴塞尔协议监管框架和我国银行资本监管标准中对资本缓冲的要求进行梳理后,根据巴塞尔协议Ⅲ计算并预测我国商业银行需要计提的逆周期资本缓冲,分析了资本缓冲顺周期性的形成机制和对信贷行为的传导渠道,并结合我国实际国情做出资本缓冲逆周期的推测。构建动态面板数据模型,采用广义矩估计GMM对我国48家商业银行2003至2012年的样本数据进行实证,对上市银行和非上市银行分开检验资本缓冲的周期性和对信贷行为的影响。研究结果表明,我国商业银行资本缓冲与经济周期波动呈现正相关,即资本缓冲具有逆周期性,且2013年《商业银行资本管理办法(试行)》投入实施后加强了银行资本缓冲的逆周期性,而货币供应量增多则会显著减弱银行资本缓冲的逆周期性。提高资本缓冲可以降低银行信贷的增速,可见逆周期资本缓冲的调节可以平滑信贷和经济周期波动。最后,为充分把握和发挥资本缓冲的作用,本文有针对性的从商业银行和监管当局两方面提出了政策建议,商业银行应提高风险管理能力,增加内源融资,监管当局应合理设置资本监管机制,并注意与货币政策的协调。
[Abstract]:The periodicity of capital buffers refers to the corresponding changes of capital buffers of commercial banks with economic fluctuations in different economic cycles, which have an impact on bank credit and economic cycle fluctuations. And the capital supervision policy may be one of the reasons for amplifying the capital buffer cycle. In order to overcome the defects of the existing capital supervision system and reduce the pro-cycle problem, in December 2010, the Basel Committee launched the Basel Accord III, which put forward a new concept of macro-prudential supervision. Desiring to improve the soundness of credit behaviour of commercial banks in response to economic shocks through a counter-cyclical mechanism and to encourage banks to take forward capital buffers in times of economic growth in order to absorb losses in times of economic recession, To alleviate the negative impact of the pro-cyclical credit of commercial banks on the real economy fluctuations. Based on the review of domestic and foreign literature on the formation mechanism of capital buffering cycle, empirical results, credit impact, etc. After combing the requirements for capital buffering in the Basel Accord regulatory framework and the capital supervision standards of Chinese banks, the countercyclical capital buffers required by commercial banks in China are calculated and predicted according to Basel III. This paper analyzes the pro-cyclical formation mechanism of capital buffer and the transmission channel of credit behavior, and makes the conjecture of countercyclical capital buffer according to the actual situation of our country. The dynamic panel data model is constructed and the sample data of 48 commercial banks in China from 2003 to 2012 are tested by generalized moment estimation. The periodicity of capital buffers and the impact on credit behavior of listed and unlisted banks are examined separately. The results show that there is a positive correlation between the capital buffer and the fluctuation of the economic cycle in China's commercial banks, that is, the capital buffer is countercyclical. After the implementation of the Capital Management measures for Commercial Banks (trial) in 2013, the countercyclical nature of bank capital buffers is strengthened, while the increase of money supply significantly weakens the countercyclical nature of bank capital buffers. Increasing capital buffers can reduce the growth rate of bank credit, so the adjustment of countercyclical capital buffers can smooth credit and economic cycle fluctuations. Finally, in order to fully grasp and play the role of capital buffering, this paper puts forward policy recommendations from commercial banks and regulatory authorities, commercial banks should improve risk management capacity, increase endogenous financing, The regulatory authority should set up the capital supervision mechanism reasonably and pay attention to the coordination with monetary policy.
【学位授予单位】：复旦大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.33

【共引文献】