我国商业银行资本充足率的顺周期性及逆周期监管策略研究

发布时间：2018-03-20 01:23

本文选题：商业银行　切入点：顺周期性　出处：《南昌大学》2017年硕士论文　论文类型：学位论文

【摘要】：在2008年国际金融危机爆发之前,全球经济看似正处于上行区间的良好运行态势实则是危机暗涌,金融体系内存在着严重的流动性过剩,不断扩张的银行信贷规模,过度和无序使用的金融衍生产品等最终致使了本次金融危机的爆发和迅速蔓延。在这次金融危机过后,在世界范围内广泛讨论了金融体系的顺周期性以及金融监管的乏力问题。《巴塞尔协议III》和我国银监会发布的《商业银行资本管理办法》都提出需要缓解顺周期性和加强逆周期监管。在监管改革新背景下,研究我国商业银行资本充足率的顺周期性与逆周期监管策略有着现实意义。本文在阐述顺周期性相关理论的基础上,分析了资本充足率的顺周期性产生的原因以及影响。然后,介绍了我国商业银行资本充足率的现状并选用我国12家商业银行2005年—2014年的面板数据利用固定效应回归方法分析我国商业银行资本充足率的顺周期性。实证结果表明,我国商业银行资本充足率同经济增长率之间有着逆向波动关系,资本充足率会随经济增长率的提高而下降,会随着经济增长的减缓而提升。接着本文还介绍了西班牙和英国对资本充足率实施逆周期监管的实践。最后建议相关监管机构从逆周期监管策略如缓解最低资本要求顺周期性的波动、建立资本缓冲、计提动态拨备以及监管杠杆率来缓解资本充足率有着顺周期性的问题。
[Abstract]:Before the outbreak of the international financial crisis in 2008, the good operating situation of the global economy, which appeared to be in an upward range, was actually a crisis surges, a serious excess of liquidity in the financial system, and an ever-expanding scale of bank credit. Excessive and disorderly use of financial derivatives eventually led to the outbreak and rapid spread of the financial crisis. After this financial crisis, In this paper, the problems of the procyclicality of the financial system and the weakness of financial supervision are extensively discussed in the world. The Basel Accord III and the Capital Management measures of Commercial Banks issued by the Banking Regulatory Commission of China both put forward the need to alleviate the procyclicality. And strengthening countercyclical regulation. In the new context of regulatory reform, It is of practical significance to study the pro-cyclical and counter-cyclical supervision strategies of the capital adequacy ratio of commercial banks in China. Based on the exposition of the theory of pro-cyclicality, this paper analyzes the causes and effects of the procyclicality of the capital adequacy ratio. This paper introduces the present situation of the capital adequacy ratio of commercial banks in China and uses the panel data of 12 commercial banks from 2005 to 2014 to analyze the procyclicality of the capital adequacy ratio of commercial banks in China by using the fixed effect regression method. There is a reverse fluctuation relationship between the capital adequacy ratio and the economic growth rate of commercial banks in China, and the capital adequacy ratio will decrease with the increase of the economic growth rate. This article also introduces the practice of countercyclical regulation of capital adequacy ratio in Spain and Britain. Finally, it suggests that relevant regulators should start from countercyclical regulatory strategies such as mitigating minimum capital. Requiring pro-cyclical fluctuations, Establishing capital buffers, making dynamic provisions, and regulating leverage are pro-cyclical problems.
【学位授予单位】：南昌大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.33;F830.42

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