商业银行信贷活动的顺周期性及其监管建议

发布时间：2017-12-31 12:05

本文关键词：商业银行信贷活动的顺周期性及其监管建议　出处：《首都经济贸易大学》2014年硕士论文　论文类型：学位论文

【摘要】：研究表明，商业银行的信贷活动具有明显的顺周期波动特征，而这种顺周期性可能导致信贷周期、资本周期以及风险周期都与经济周期表现出明显的相关性。我国商业银行的信贷活动也具有明显的顺周期性波动特征，虽然2008年的金融风暴早已过去，但在经济危机暴露出的银行信贷系统的薄弱也引起了包括学术界和政府监管部门工作者们的广泛关注，关于商业银行信贷活动的顺周期性的研究非常丰富，分析视角也不断多元化。基于这样的背景，，本文从的经济学原理出发，通过银行负债渠道以及资产负债表渠道两种路径，从理论上对我国商业银行信贷活动的顺周期性进行了阐述说明。并使用实证方法，通过近几年上市银行的财务报表分析验证了顺周期性在我国商业银行信贷活动中确实存在，探讨可能存在风险演变规律。针对目前我国的信用风险管理和流动性风险管理现状，提出现有问题，针对该问题，从商业银行监管部门的角度，设计了一套包括动态资本充足率、前瞻性的动态资本损失金率以及多元化的监管指标的三个方面组成的方案和方法，并初步探讨其可行性，具有比较重要的现实意义。
[Abstract]:The research shows that the credit activity of commercial banks has the characteristic of pro-cyclical fluctuation, which may lead to the credit cycle. Both the capital cycle and the risk cycle have obvious correlation with the economic cycle. The credit activities of commercial banks in China also have the characteristic of pro-cyclical fluctuation, although the financial storm in 2008 has long passed. However, the weakness of the bank credit system exposed in the economic crisis has also aroused the widespread concern of the academic and government regulatory workers. The research on the pro-cyclical nature of commercial bank credit activities is very rich. The perspective of analysis is also constantly diversified. Based on this background, this paper from the economic principles, through the bank debt channel and balance sheet channel two ways. In this paper, the pro-cyclicality of the credit activities of commercial banks in China is explained theoretically, and the empirical method is used. Through the analysis of the financial statements of listed banks in recent years, it is proved that the pro-cyclicality does exist in the credit activities of commercial banks in China. In view of the current situation of credit risk management and liquidity risk management in China, this paper puts forward the existing problems, aiming at this problem, from the perspective of commercial bank supervision department. Designed a set of dynamic capital adequacy ratio, forward-looking dynamic capital loss rate and diversified regulatory indicators of the three aspects of the program and methods, and explore its feasibility. It has important practical significance.
【学位授予单位】：首都经济贸易大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.4

【引证文献】