我国宏观经济周期及收入结构变化对银行资本缓冲的影响研究

发布时间：2018-05-11 08:02

本文选题：资本缓冲 + 宏观经济周期　；参考：《复旦大学》2014年硕士论文

【摘要】：美国次贷危机引起全球经济衰退后,为了规避资本监管协议的顺周期问题,巴塞尔委员会在巴塞尔协议Ⅲ中要求银行在特定情况下提取逆周期资本缓冲,于是银行资本缓冲与宏观经济周期到底呈怎样的相关关系再次引起了学者们的关注。本文以此为出发点,考虑到近年来我国银行非利息收入增长迅速,在Ayuso(2004)提出的模型中增加了重要的收入结构变量,对我国16家上市银行2004年第四季度-2013年第二季度的半年度数据进行了GMM估计。研究发现,我国上市银行的资本缓冲水平与宏观经济周期显著正相关,GDP增长率每提高1个百分点,银行的资本缓冲水平会提高0.21个百分点,对股份制银行来说这一特征更为明显。非利息收入的快速增长带来的收入结构多元化与银行的资本缓冲水平负相关,非利息收入占比每提高1个百分点,银行的资本缓冲水平将会降低0.035个百分点。银行资本缓冲最重要的决定因素是上期的资本缓冲水平,该变量与当期资本缓冲水平正相关。在净资产收益率(ROE)对银行资本缓冲的影响中,收入效应比成本效应更加明显。代表风险的不良贷款率和银行规模对样本银行资本缓冲的影响并不显著。对我国商业银行来说,可以保持资本缓冲逆周期变动的趋势,这有利于平滑宏观经济周期的波动。监管机构也应当结合我国的具体情况来制定逆周期资本缓冲的实施细则。非利息收入占比与我国银行资本缓冲负相关,银行合理地拓展中间业务具有非常大的战略意义,但在拓展业务的过程中应注意各种问题。由于银行资本缓冲最重要的决定因素是上一期的资本缓冲水平,所以监管当局有必要完善资本动态监控机制,这有助于及时发现问题。不同因素对不同所有制银行资本缓冲水平的影响有一些差异,监管部门可以考虑对各类银行实施有针对性的监管政策。
[Abstract]:After the global economic recession caused by the subprime mortgage crisis in the United States, in order to avoid the pro-cyclical problem of capital supervision agreement, the Basel Committee in Basel III requires banks to withdraw countercyclical capital buffers under certain circumstances. So the relationship between bank capital buffer and macroeconomic cycle has attracted the attention of scholars again. Taking this as a starting point, considering the rapid growth of non-interest income of Chinese banks in recent years, an important variable of income structure has been added to the model proposed by Ayuso 2004. The semi-annual data of 16 listed banks in China from the fourth quarter of 2004 to the second quarter of 2013 are estimated by GMM. It is found that the capital buffer level of the listed banks in China is significantly positively correlated with the macroeconomic cycle. If the GDP growth rate increases by 1 percentage point, the capital buffer level of the banks will increase by 0.21 percentage points. To share-stock system bank this one characteristic is more obvious. The diversification of income structure brought by the rapid growth of non-interest income is negatively related to the capital buffer level of banks. For each percentage point increase of non-interest income, the capital buffer level of banks will be reduced by 0.035 percentage points. The most important determinant of bank capital buffer is the capital buffer level of the previous period, which is positively correlated with the current capital buffer level. The income effect is more obvious than the cost effect. The influence of non-performing loan ratio and bank size on the capital buffer of sample banks is not significant. For Chinese commercial banks, the trend of countercyclical capital buffering can be maintained, which is conducive to smooth the fluctuation of macroeconomic cycle. Regulators should also work out implementing rules for countercyclical capital buffers according to China's specific conditions. The proportion of non-interest income is negatively related to the capital buffer of Chinese banks. It is of great strategic significance for banks to expand their intermediary business reasonably, but attention should be paid to various problems in the process of expanding their business. Since the most important determinant of bank capital buffers is the level of capital buffers in the previous period, it is necessary for regulators to improve the monitoring mechanism of capital movements, which helps to detect problems in time. The influence of different factors on the capital buffer level of banks with different ownership has some differences.
【学位授予单位】：复旦大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.33;F124

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