资本监管和流动性监管双重约束下商业银行资本调整行为研究

发布时间：2018-03-20 23:47

本文选题：商业银行　切入点：资本动态调整　出处：《浙江工商大学》2015年硕士论文　论文类型：学位论文

【摘要】：资本和流动性作为银行应对外部风险冲击的两道重要防线,两者相互补充,共同维护银行的稳健经营。但回顾巴塞尔监管框架的演化过程,不难发现资本监管长期扮演重要角色,而流动性监管却未受到足够重视。2008年席卷全球的金融危机,对全球金融体系和实体经济产生了极大冲击,凸显出传统金融监管的诸多缺陷,为此巴塞尔委员会决定全面改革现行监管制度,于2010年推出《巴塞尔协议Ⅲ》和《流动性风险计量、标准和监测的国际框架》等一系列新监管政策,开启了未来全球金融监管的新方向和新标准。虽然我国经受住了此次金融危机的考验,表现出较强的风险抵御能力,但并不是因为我国监管制度完美无瑕,而是因为我国金融开放程度和发达程度远不及欧美国家。但随着我国逐渐推行利率市场化和金融市场的对外放开,认真总结国际银行监管既有经验教训,对于提升我国监管的有效性,更好的发挥银行服务实体经济、维护金融稳定等都具有重要的启示作用。以往对资本调整行为的研究,大都基于资本监管单方面约束下的静态研究,没有突出资本调整的动态行为,且没有重视流动性监管对资本调整行为以及对资本监管传导有效性的影响。因此,本文基于资本监管和流动性监管双重约束条件,构建了以银行利润最大化为经营目标的理论模型,同时引入惩罚函数,理论分析资本监管、流动性监管对资本动态调整行为的影响。分析发现：资本监管的强化对资本调整有正向激励作用,而流动性监管对资本调整的影响取决于银行对债券和贷款持有量的权衡；进一步,本文还分析了监管惩罚措施对资本调整弹性的影响,发现严格执行惩罚时,资本调整速度明显加快；最后,本文分析了资本监管和流动性监管的协调作用对资本调整行为的影响,发现流动性监管加强了资本调整行为对资本监管压力的正向敏感性。为了更好地反映中国商业银行实际资本的动态调整行为,本文基于系统GMM回归方法,选取中国61家商业银行2004—2014年非平衡面板数据,实证回归分析资本监管压力、流动性监管压力、惩罚措施对资本动态调整行为的影响,其次对资本补充渠道进行分析,最后讨论资本和流动性监管的协调作用对资本动态调整的影响。实证检验结果表明：(1)资本监管和流动性监管压力均对促进资本增长有积极作用,且惩罚措施越严格,银行资本调整速度越快,说明监管压力和惩罚措施的实施对银行具有很强的震慑作用。(2)流动性监管加强了银行资本对资本监管压力的正向敏感性,表明流动性监管是资本监管的有效补充。(3)核心资本和附属资本对总资本增长均有显著正向影响,且前者对总资本增长的贡献明显大于后者,说明银行在资本补充渠道上更倾向于权益类资本融资方式。
[Abstract]:Capital and liquidity are two important lines of defence for banks to deal with external risk shocks. They complement each other and jointly maintain the sound operation of banks. However, we review the evolution of the Basel regulatory framework, It is not difficult to find that capital regulation has played an important role for a long time, but liquidity regulation has not been given enough attention. The financial crisis sweeping the world in 2008 has had a great impact on the global financial system and the real economy. Therefore, the Basel Committee decided to reform the current regulatory system in an all-round way. In 2010, the Basel Accord III and liquidity risk measures were introduced. A series of new regulatory policies, such as standards and the international framework for monitoring, have opened up a new direction and new standards for global financial regulation in the future. Although China has withstood the test of the financial crisis, it has shown a strong ability to withstand risks. However, it is not because our regulatory system is perfect, but because the degree of financial openness and development in our country is far less than that in Europe and the United States. However, with the gradual implementation of marketization of interest rates and liberalization of the financial market, Summing up the experience and lessons of international banking supervision has important enlightenments for improving the effectiveness of supervision in our country, giving full play to the real economy of banking services and maintaining financial stability, etc. In the past, the research on the behavior of capital adjustment has been carried out. Most of them are based on the static research under the unilateral constraint of capital supervision, and do not emphasize the dynamic behavior of capital adjustment, and do not attach importance to the influence of liquidity regulation on capital adjustment behavior and the transmission effectiveness of capital supervision. Based on the dual constraints of capital supervision and liquidity regulation, this paper constructs a theoretical model with the aim of maximizing bank profits, and introduces a penalty function to analyze the capital supervision theoretically. The analysis shows that the strengthening of capital supervision has a positive incentive effect on capital adjustment, while the influence of liquidity regulation on capital adjustment depends on the balance between bond and loan holdings. Furthermore, this paper also analyzes the impact of regulatory measures on the flexibility of capital adjustment. It is found that the speed of capital adjustment is obviously accelerated when the punishment is strictly enforced. This paper analyzes the influence of the coordination function of capital supervision and liquidity supervision on the capital adjustment behavior. It is found that liquidity regulation strengthens the positive sensitivity of capital adjustment behavior to the pressure of capital supervision. In order to better reflect the dynamic adjustment behavior of Chinese commercial banks' actual capital, this paper bases on the systematic GMM regression method. Based on the non-equilibrium panel data of 61 commercial banks in China from 2004 to 2014, this paper makes empirical regression analysis on the influence of capital supervision pressure, liquidity supervision pressure and punishment measures on the capital dynamic adjustment behavior, and then analyzes the channels of capital replenishment. The empirical results show that both capital supervision and liquidity supervision pressure have a positive effect on promoting capital growth, and the more strict the punishment measures are, The faster the rate of capital adjustment in banks, the stronger deterrent effect of regulatory pressure and punitive measures on banks.) liquidity supervision has strengthened the positive sensitivity of banks' capital to capital supervision pressures. It shows that liquidity supervision is an effective supplement to capital supervision. (3) both core capital and subsidiary capital have significant positive effects on total capital growth, and the former contributes more to total capital growth than the latter. It shows that banks are more inclined to equity capital financing in capital supplementary channels.
【学位授予单位】：浙江工商大学
【学位级别】：硕士
【学位授予年份】：2015
【分类号】：F832.33;F830.42

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