我国商业银行资本缓冲的周期性特征及经济效应研究
发布时间：2018-07-23 17:42
【摘要】：自美国次贷危机爆发以来,国际金融组织和各国监管当局纷纷着力推进监管框架的改革。此次危机带有的典型的顺周期性特征使各国开始重视逆周期监管,2010年推出的巴塞尔资本协议Ⅲ也提出了逆周期资本缓冲的具体监管措施。然而,对于资本缓冲和经济周期的关系问题,国内外理论界并未达成共识。本文运用我国上市银行2005—2013年的数据对此进行了实证研究,结果发现:我国商业银行的资本缓冲具有逆周期性,但其在经济上行和下行时期的表现又有所不同,在经济下行时期,这种逆周期性表现更为明显;资本缓冲在缓解信贷的顺周期方面没有明显的作用,但资本缓冲水平较低的银行由于面临一定的压力,确实会抑制其信贷增速的过快增长。
[Abstract]:Since the outbreak of the subprime mortgage crisis in the United States, international financial organizations and national regulatory authorities have been pushing forward the reform of the regulatory framework. Because of the typical procyclicality of the crisis, countries began to attach importance to countercyclical regulation. Basel Capital Accord III, which was launched in 2010, also put forward the concrete supervision measures of countercyclical capital buffer. However, there is no consensus at home and abroad on the relationship between capital buffer and business cycle. Based on the data of Chinese listed banks from 2005 to 2013, this paper makes an empirical study. The results show that the capital buffers of Chinese commercial banks are countercyclical, but their performance in the period of economic upward and downward is different. During the economic downturn, this countercyclical performance was more pronounced; capital buffers did not play a significant role in easing the pro-cyclicality of credit, but banks with lower levels of capital buffers faced certain pressures. Indeed, it will curb the excessive growth in credit growth.
【作者单位】： 暨南大学金融研究所金融系;
【基金】：国家自然科学基金(71473103) 教育部人文社会科学基金(10YJA790158)
【分类号】：F832.33
[Abstract]:Since the outbreak of the subprime mortgage crisis in the United States, international financial organizations and national regulatory authorities have been pushing forward the reform of the regulatory framework. Because of the typical procyclicality of the crisis, countries began to attach importance to countercyclical regulation. Basel Capital Accord III, which was launched in 2010, also put forward the concrete supervision measures of countercyclical capital buffer. However, there is no consensus at home and abroad on the relationship between capital buffer and business cycle. Based on the data of Chinese listed banks from 2005 to 2013, this paper makes an empirical study. The results show that the capital buffers of Chinese commercial banks are countercyclical, but their performance in the period of economic upward and downward is different. During the economic downturn, this countercyclical performance was more pronounced; capital buffers did not play a significant role in easing the pro-cyclicality of credit, but banks with lower levels of capital buffers faced certain pressures. Indeed, it will curb the excessive growth in credit growth.
【作者单位】： 暨南大学金融研究所金融系;
【基金】：国家自然科学基金(71473103) 教育部人文社会科学基金(10YJA790158)
【分类号】：F832.33
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