我国商业银行资本监管顺周期性研究

发布时间：2018-03-24 04:05

  本文选题：商业银行　切入点：资本监管　出处：《西北大学》2012年硕士论文

【摘要】：2008年美国次贷危机引发的全球金融危机,引起各国对金融体系顺周期性的高度重视,而作为对金融业稳健具有重要意义的资本监管,其顺周期性更是得到广泛关注。目前,我国银行业处于改革深化阶段,国际化进程逐步加快,极易受到全球金融危机的影响,监管当局正积极改革现有监管制度,积极推广实施新的监管要求,如何有效监管成为讨论的难点和热点之一。因此,研究我国银行资本监管顺周期性的存在性、传导机制以及效应程度,对我国有效的资本监管框架的建立及银行业稳健运营都具有重要意义。 本论文采用比较分析、定性定量等研究方法,借鉴国外相关理论模型,对我国资本监管顺周期性进行研究。具体内容方面,文章首先在梳理国内外相关研究文献的基础上,引进国外理论模型对资本监管顺周期性进行解释,并得出三个顺周期性传导渠道,然后结合巴塞尔协议不同阶段的资本监管要求,对不同渠道下的传导机制进行比较分析,最终得出超额资本渠道研究的重要意义,为后面的实证模型选择及检验奠定理论根基。其次,结合我国具体情况,分阶段回顾我国资本监管的发展历程,并对资本监管的现状进行分析,为文章的数据选取、样本选择及模型修订等提供现实依据。最后,在以上两方面的基础上,参照国外相关实证模型,选择我国15家上市银行2004-2010年的而板数据,对我国资本监管顺周期性的存在性及特征进行探讨,并根据实证结论提出相关的政策建议。 本文的主要结论包括如下：(1)资本监管顺周期性主要从银行资本、监管资本、超额资本三个渠道传导。其中,超额资本对资本监管是否存在顺周期性具有决定意义。(2)不同的巴塞尔协议下,资本监管顺周期性传导渠道和效应不同,引入信用评级的巴塞尔协议,传导渠道增多,顺周期性增强。(3)我国资本监管确实存在顺周期性,超额资本的持有随着经济周期变化而变化,通过信贷渠道进一步加剧经济周期的波动程度。(4)超额资本持有与不良贷款率及资产收益率等因素有关。
[Abstract]:In 2008 the U.S. subprime mortgage crisis triggered a global financial crisis, caused various countries to shun periodic attaches great importance to the financial system, and as the sound has important significance for financial capital regulation, the procyclicality is widely concerned. At present, China's banking industry in the reform stage, the internationalization process gradually accelerate easily affected by the global financial crisis, the regulatory authorities are actively reform the existing supervision system, and actively promote the implementation of the new regulatory requirements, how effective supervision has become one of the difficult and hot discussion. Therefore, research on China's banking capital regulation along the existence of periodic, transmission mechanism and effect degree, is of great significance to establish sound operation the bank and the effective capital supervision framework in China.
This paper uses the comparative analysis, qualitative and quantitative research methods, foreign related theoretical model, conducts the research to our country the procyclicality of capital requirements. The specific contents, firstly, based on summarizing the relevant research literature on the theoretical model for the interpretation of the introduction of foreign capital procyclicality, and reached three periodic transmission channel, and then combined with the Basel protocol in different stages of the regulatory capital requirement, a comparative analysis of the conduction mechanism of different channels, finally obtains the important significance of the excess capital channel, for choosing and checking the empirical model to lay the theoretical foundation. Secondly, combined with the specific situation in our country, the development stages of review capital regulation in China, and analyzes the status quo of capital regulation is analyzed, for the selection of the data, sample selection and model revision to provide realistic basis. Finally, in order to On the basis of the above two aspects, referring to the relevant empirical models abroad, we select 2004-2010 listed data of 15 listed banks in China, and discuss the existence and characteristics of China's capital regulatory Pro cyclical, and put forward relevant policy recommendations based on the empirical conclusions.
The main conclusions of this paper are as follows: (1) the procyclicality of capital requirements mainly from bank capital, regulatory capital, excess capital three channel. Among them, the excess capital decisive procyclicality of capital regulation exists. (2) different Basel agreement, the procyclicality of capital requirements and the effect of transmission channels different, the introduction of the credit rating of the Basel protocol, the transmission channel increased procyclicality increased. (3) China's capital regulation is indeed Pro cyclical, holding excess capital changes with changes in the economic cycle, volatility through the credit channel further exacerbated the economic cycle. (4) hold excess capital related factors of non-performing loans and the rate of return on assets.

【学位授予单位】：西北大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.1

【参考文献】

中国期刊全文数据库 前10条

1 刘百花;亲周期性与国际政策协调的可行性研究——兼论我国实施BaselⅡ的相关问题[J];财经研究;2003年09期

2 朱红;;我国银行业资本监管亲周期效应研究[J];财会月刊;2011年18期

3 叶良艺;商业银行资本充足性管制的紧缩效应探析[J];金融论坛;2002年09期

4 王胜邦;陈颖;;中国商业银行资本监管:制度变迁和效果评价[J];国际金融研究;2009年05期

5 罗平;;资本监管制度的顺周期性及其补救方法[J];国际金融研究;2009年06期

6 国务院发展研究中心课题组;巴曙松;雷薇;;中国资本监管制度及监管指标的现状与问题[J];发展研究;2011年08期

7 刘湘勤;;我国银行业资本监管改革及其影响分析[J];海南金融;2011年12期

8 温信祥;;银行资本监管顺周期性及其对经济波动的影响[J];经济问题探索;2006年04期

9 曾刚;万志宏;;巴塞尔新协议顺周期性特征研究评述[J];经济学动态;2010年02期

10 高国华;潘英丽;;我国商业银行资本充足率顺周期效应研究[J];经济与管理研究;2010年12期

中国博士学位论文全文数据库 前1条

1 朱元倩;顺周期性下的银行风险管理与监管[D];中国科学技术大学;2010年

中国硕士学位论文全文数据库 前3条

1 卢金满;商业银行资本监管顺周期性探究[D];山东大学;2009年

2 林_g辰;我国银行资本充足率监管亲周期效应研究[D];江西财经大学;2009年

3 曾省存;金融监管顺周期性问题浅析[D];中国社会科学院研究生院;2010年

，

本文编号：1656615