我国商业银行逆周期资本缓冲监管：有效性与对策研究

发布时间：2018-04-06 22:02

本文选题：巴塞尔协议Ⅲ　切入点：宏观审慎监管框架　出处：《首都经济贸易大学》2017年硕士论文

【摘要】：国际金融危机之后,各国金融监管当局意识到了银行业顺周期性很容易导致系统性风险的积累,开始重视宏观审慎监管。巴塞尔协议Ⅲ将逆周期资本缓冲纳入到了宏观审慎监管的框架当中。我国银行业存在着明显的顺周期性,适时地引入逆周期资本缓冲机制,对于防止系统性风险积累,维护金融稳定发展,构建与国际接轨的宏观审慎监管框架十分有意义。因此,本文对逆周期资本缓冲机制在我国的有效性展开研究。主要进行了以下几方面的工作:首先,从银行业的顺周期性和逆周期资本缓冲监管两方面对现有国内外研究进行了综述。详细分析了银行业顺周期性形成的内因及外因。其次,回顾了巴塞尔协议Ⅲ中的新内容、新变化,重点介绍了宏观审慎监管的框架;逆周期资本缓冲的计提方法和实施原则。然后结合我国银行业当前在资产负债总量、资本充足率、信贷资产规模与质量三个方面的现状分析了我国实施逆周期资本缓冲的必要性,并对我国在执行巴塞尔协议Ⅲ最新监管标准,引入逆周期资本缓冲工具的进程进行了梳理。随后,依据巴塞尔协议Ⅲ给出的逆周期资本缓冲计提方法,对我国2002-2016年的季度数据进行了试算。并就试算结果与我国宏观经济和银行业发展现状进行了对比,认为单靠信贷/GDP这一个指标来触发逆周期资本缓冲计提会与实际情况出现偏差。就此,探讨在信贷/GDP这一挂钩变量的基础上,构建一个更加准确的指标体系。借助Stata12.0软件对2009-2016年我国银行业实际经营数据进行了实证研究,结果发现制造业采购经理人指数、上证综合指数和不良贷款率这三个指标对于监测逆周期资本缓冲具有显著性。最后本文认为应当加快构建准确的逆周期资本缓冲指标体系,同时不能只以指标规则进行决策,要兼顾我国的宏观经济政策相机抉择;并针对不同规模的银行探索构建差异化的监管方案以免过多计提逆周期资本缓冲造成经济增长动力不足。
[Abstract]:After the international financial crisis, the financial regulatory authorities in various countries realized that banking procyclicality could easily lead to the accumulation of systemic risk, and began to attach importance to macro-prudential supervision.Basel III brings countercyclical capital buffering into the framework of macro-prudential regulation.There is obvious procyclicality in our banking industry. It is very meaningful to introduce countercyclical capital buffer mechanism in time to prevent systemic risk accumulation, maintain the stable development of finance, and build a macro-prudential regulatory framework in line with international standards.Therefore, this paper studies the effectiveness of countercyclical capital buffer mechanism in China.The main work is as follows: firstly, this paper summarizes the existing domestic and foreign researches from the two aspects of pro-cyclical and counter-cyclical capital buffer supervision.The internal and external causes of banking pro-cyclical formation are analyzed in detail.Secondly, the paper reviews the new contents and changes of Basel III, focuses on the framework of macro-prudential supervision, the methods of calculating countercyclical capital buffers and the implementation principles.Then the necessity of countercyclical capital buffering in China is analyzed according to the current situation of China's banking industry in three aspects: total assets and liabilities, capital adequacy ratio, scale and quality of credit assets.In addition, the process of introducing countercyclical capital buffers into the implementation of the latest Basel III regulatory standards in China is reviewed.Then, based on the countercyclical capital buffer method proposed by Basel III, the quarterly data from 2002 to 2016 in China are calculated.The results of trial calculation are compared with the present situation of China's macro economy and banking industry. It is concluded that relying on the index of credit / GDP alone to trigger a countercyclical capital buffer will deviate from the actual situation.In this paper, we discuss how to construct a more accurate index system based on the linked variable of credit / GDP.This paper makes an empirical study on the actual operating data of China's banking industry from 2009 to 2016 with the help of Stata12.0 software. The results show that the purchasing manager index of manufacturing industry, the composite index of Shanghai Stock Exchange and the ratio of non-performing loans are significant in monitoring countercyclical capital buffers.Finally, the author thinks that we should speed up the construction of an accurate countercyclical capital buffer index system, and at the same time, we should take into account the macro economic policy decision of our country.And aiming at banks of different sizes, the paper explores the construction of differentiated regulatory schemes to avoid excessive countercyclical capital buffers resulting in insufficient economic growth momentum.
【学位授予单位】：首都经济贸易大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.33

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