经济周期和监管变化对我国上市银行资本缓冲、风险和绩效的影响

发布时间：2018-01-09 02:11

本文关键词：经济周期和监管变化对我国上市银行资本缓冲、风险和绩效的影响　出处：《重庆大学》2014年硕士论文　论文类型：学位论文

【摘要】：爆发于2008年的金融危机让人们认识到银行监管的重要性，为此巴塞尔委员会颁布了《巴塞尔协议Ⅲ》，提出了逆周期监管政策来应对银行固有的亲周期性，并要求银行保留逆周期资本缓冲。银行在经济繁荣期增加超额资本充足要求—动态调整资本充足率，以备在经济萧条期应对资本充足率下滑的情况，也就是让银行在经济上行周期计提资本缓冲，以满足下行周期吸收损失的需要。在本次金融危机中，我国商业银行受到较小的冲击，我国银行系统的表现要好于西方发达经济国家。那么，我国银行业的资本缓冲是否与国外银行有所不同，资本缓冲的周期性是否不同于国外的顺周期性？我国银行的风险和绩效是否与经济周期相关？我国在2004年颁布《商业银行资本充足率管理办法》开始对银行资本进行硬性监管，并且在金融危机后发布了一系列的银行资本监管措施，那么我国实施资本监管对银行资本缓冲、风险、绩效有没有影响，实施资本监管是否取得了预期的效果？本文首先说明了研究的背景、意义和创新点，，然后对国内外的相关研究进行了综述，接着对相关理论进行了系统的梳理，最后对我国上市银行进行了实证研究，并提出了对策建议。本文使用使用国内16家上市银行2002-2012年的年度非平衡面板数据，利用单步系统GMM估计法，研究了经济周期和监管变化对银行资本缓冲、风险和绩效的影响。本文通过研究得出：我国银行资本缓冲与经济周期呈现正相关关系，即我国银行的资本缓冲具有逆周期性，并且资本监管的变化使得银行资本缓冲呈现出更强的逆周期性；我国银行风险的周期效应不明显，监管变化显著影响银行风险，使银行风险表现出逆周期性；我国银行绩效的周期效应不明显，资本监管的变化对绩效影响不显著；资本缓冲会显著增加银行的绩效，而其对银行风险影响不明显。
[Abstract]:The outbreak of the financial crisis in 2008 to make people aware of the importance of banking supervision, the Basel Committee issued the "Basel III >, put forward counter cyclical regulatory policy to deal with the inherent procyclicality of banks, and require banks to retain countercyclical capital buffer. The banks to increase capital adequacy ratio in excess of capital adequacy requirements - dynamic adjustment in the economy the boom for the decline in the economic recession with the capital adequacy ratio of the bank, also is to let the economic upward cycle in the provision of capital buffer, in order to meet the needs of downward cycle absorption loss.
In this financial crisis, China's commercial banks have a small impact, China's banking system is better than the western developed countries. So, China's banking industry is capital buffers and foreign banks are different, whether cyclical capital buffers is different from the foreign procyclicality? Whether the banks in our country risk and performance associated with the economic cycle? China promulgated in 2004, "measures for the administration of the capital adequacy ratio of commercial banks to start hard > regulation on banks' capital, and has issued a series of measures of bank capital regulation in the wake of the financial crisis, the implementation of China's capital regulation risk on bank capital buffer, the performance has no effect the implementation of capital regulation has achieved the desired results?
This paper first describes the background, significance and innovation, and the related research at home and abroad were reviewed, and then conducted a systematic review of the relevant theory, finally makes an empirical study of the listed banks in China, and puts forward the countermeasures and suggestions. This paper use the annual domestic 16 listed banks in non 2002-2012 balanced panel data, using the method of single step GMM estimation system, studied the economic cycle and regulatory changes on bank capital buffer, risk and performance. This paper studies: present positive correlation between China's banking capital buffers and the economic cycle, namely our country bank capital buffers is counter cyclical, and changes in capital regulation the bank capital buffer showed a reverse cycle stronger; cycle effect our country bank risk is not obvious, regulatory changes significantly affect bank risk, the bank risk show Contrary to periodicity, the cyclical effect of bank performance in China is not obvious. The change of capital regulation has no significant impact on performance. Capital buffering will significantly increase bank performance, and its impact on bank risk is not obvious.

【学位授予单位】：重庆大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.33;F830.42

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