动态拨备制度的西班牙实践及在中国的应用分析

发布时间：2018-06-29 00:36

  本文选题：贷款损失拨备 + 顺周期　； 参考：《华中科技大学》2013年硕士论文

【摘要】：美国次贷危机表明，现行国际会计准则下基于已发生损失模型的拨备计提方法具有明显的顺周期性，加剧了本次金融危机的波动。近年来，国际上的监管组织开始研究引入动态拨备制度，而且研究表明，动态拨备能够提高银行体系的风险缓冲能力，可以作为危机后抑制银行顺周期行为的逆周期监管工具。西班牙是较早实行动态拨备制度的国家之一，有着较为成熟的操作经验。西班牙于2000年引入了动态拨备制度，并在2004年对制度进行了一次修正，虽然动态拨备制度的引进在一定时期内降低了西班牙国内银行的市场竞争力，但是它对于西班牙对抗2008年金融危机，，实现经济的迅速回升有着不可忽略的功绩。本文运用案例分析的方法详尽的分析了西班牙动态拨备制度原理、内容、操作实践以及实际表现，并运用MATLAB编程方法模拟动态拨备的模型运行结果，分析拨备各部分的逆周期性表现。结论发现动态拨备制度下的拨备存量变化能够很好的克服经济的周期性。客观上说，动态拨备制度并不能消除银行系统内的顺周期性，但是它可以在一定程度上减弱顺周期性的影响，降低危机中的损失程度。 随着我国金融业与国际接轨，银行系统内的陈旧的拨备计提制度使得我国信贷累积了巨大的潜在损失风险，得益于金融的开放程度较低，这些风险并没有在本次金融危机中爆发出来，但是借鉴国际上先进的经验来完善自身制度对于日益开放的我国金融业有着十分重要的意义。文章中借鉴西班牙的制度模型和操作经验，并结合《巴塞尔协议Ⅲ》指引中的指示变量的设定，对于不同经济形势下的拨备政策作出参数上的调整，设计出我国实施动态拨备制度的模型，并结合中国银行业近几年的拨备数据运用MATLAB软件模拟计算对应的动态拨备数量，分析我国当前信贷系统中的潜在风险的大小，并从税收、会计、数据来源和部门协调监管方面提出建议。
[Abstract]:The subprime mortgage crisis in the United States shows that the current international accounting standards based on the model of incurred losses have a clear pro-cyclical provisions, which has exacerbated the volatility of the financial crisis. In recent years, international regulatory organizations have begun to study the introduction of dynamic reserve system, and the research shows that dynamic reserve can improve the risk buffering ability of the banking system, and can be used as a counter-cyclical regulatory tool to restrain the pro-cyclical behavior of banks after the crisis. Spain is one of the countries that implemented the dynamic reserve system earlier and has more mature operation experience. Spain introduced the dynamic reserve system in 2000 and revised the system in 2004, although the introduction of the dynamic provision system reduced the market competitiveness of the Spanish domestic banks for a certain period of time. But it has a remarkable contribution to Spain's rapid recovery from the 2008 financial crisis. In this paper, the principle, content, operation practice and actual performance of Spanish dynamic reserve system are analyzed in detail by the method of case analysis, and MATLAB programming method is used to simulate the model operation result of dynamic reserve. The counter-periodic performance of each part of the provision is analyzed. It is found that the change of reserve stock under dynamic reserve system can overcome the periodicity of economy. Objectively speaking, dynamic reserve system can not eliminate the procyclicality in the banking system, but it can weaken the procyclical effect to a certain extent and reduce the loss degree in the crisis. With China's financial industry in line with international standards, the antiquated provisions and provisions system in the banking system has accumulated huge potential loss risks for credit in China, and benefited from the low degree of financial openness. These risks did not erupt in the current financial crisis, but it is of great significance to improve our financial system by learning from the international advanced experience. This paper draws lessons from Spain's institutional model and operational experience, and adjusts the parameters of the reserve policy under different economic situations, combining with the setting up of the indicator variables in the Basel Accord 鈪

本文编号：2080051