中国逆周期资本缓冲计提指标选择与机制构建——基于巴塞尔标准计提模型的扩展与检验

发布时间：2018-10-20 09:08

【摘要】：作为巴塞尔协议Ⅲ的重要组成部分,逆周期资本缓冲旨在通过"以丰补歉"的形式熨平经济周期波动,减缓系统性风险积聚,以实现宏观审慎目标。截至目前,中国逆周期资本缓冲计提规则尚未落地,计提模型的细节验证、参考指标的筛选设计等问题仍有待探索。本文在总结巴塞尔委员会提出的逆周期资本缓冲计提标准和国际实践的基础上,对比测算单边和双边HP滤波方法的潜在影响,采用主成分分析与回归分析对逆周期资本缓冲建立期的附加参考指标进行筛选与检验。结果表明,双边HP滤波方法在银行部门信贷风险积聚的预警方面更具解释力。此外,反映宏观经济状况、资本市场、银行压力状况及市场价格波动的指标也具备较强的预警能力,能够为中国逆周期资本缓冲机制的设计提供参考。
[Abstract]:As an important part of Basel III, countercyclical capital buffer aims to reduce the accumulation of systemic risk and achieve the goal of macroprudential by ironing the fluctuation of economic cycle in the form of "abundant supplement and apology". Up to now, the rules of countercyclical capital cushioning in China have not yet come to the ground, the detailed verification of the model and the selection and design of reference indexes are still to be explored. On the basis of summarizing the countercyclical capital buffer standards and international practice proposed by the Basel Committee, this paper compares the potential effects of unilateral and bilateral HP filtering methods. Principal component analysis (PCA) and regression analysis are used to screen and test the additional reference indexes in the establishment period of countercyclical capital buffer. The results show that the bilateral HP filtering method is more explanatory in the early warning of credit risk accumulation in the banking sector. In addition, indicators reflecting macroeconomic conditions, capital markets, bank pressure conditions and market price fluctuations also have strong early-warning capabilities, which can provide a reference for the design of countercyclical capital buffering mechanisms in China.
【作者单位】：中国银行业协会;香港交易所;中国人民大学财政金融学院;南开大学经济学院;
【分类号】：F124;F832

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