中国上市银行贷款损失拨备的周期性研究

发布时间：2018-04-01 14:43

本文选题：银行监管　切入点：贷款损失拨备　出处：《暨南大学》2014年硕士论文

【摘要】：商业银行内在的亲周期性被认为是导致次贷危机的重要原因，它通过加剧经济周期的波动幅度对全球金融系统及实体经济造成重创。危机之后各国监管当局纷纷以减轻商业银行周期性、防范系统性危机为目的推出了多项监管措施，，《巴塞尔协议Ⅲ》却未对商业银行贷款损失拨备的实施路径与实现时间提供明确的指导。然而逆周期的贷款损失拨备是防范银行系统风险的有效手段，也是逆周期宏观审慎监管手段中不可或缺的部分。本文分析了商业银行贷款损失拨备不同组成成分的周期性，并对中国商业银行贷款损失拨备的计提方式及影响因素进行了详细分析，之后本文以中国16家上市银行2001年至2012年的数据为样本，采用广义矩阵估计，实证研究了中国上市银行贷款损失拨备的周期性。实证研究结果显示，中国上市银行的贷款损失拨备具有逆周期性与前瞻性；中国实行的宏观经济政策，尤其是货币政策，将加强上市银行贷款损失拨备的逆周期性。同时，实证结果还表明，针对中国商业银行的监管政策，比如资本充足率监管与贷款损失拨备监管之间，存在着非协调性。在此基础上，本文就在中国实施逆周期拨备监管提出了政策建议。
[Abstract]:The inherent pro-cyclical nature of commercial banks is considered to be an important cause of the subprime mortgage crisis, which has caused heavy damage to the global financial system and the real economy by exacerbating the volatility of the economic cycle.In the wake of the crisis, national regulators have tried to reduce the periodicity of commercial banks.For the purpose of preventing systemic crisis, several supervision measures have been put forward, but Basel III has not provided clear guidance on the implementation path and the time of realization of loan loss provisions for commercial banks.However, countercyclical loan loss provision is an effective means to prevent the risk of banking system and an indispensable part of countercyclical macro-prudential supervision.In this paper, the periodicity of different components of loan loss provisions of commercial banks is analyzed, and the ways of making provision for loan losses of Chinese commercial banks and the influencing factors are analyzed in detail.Based on the data of 16 Chinese listed banks from 2001 to 2012, this paper empirically studies the periodicity of loan loss provisions of Chinese listed banks by using generalized matrix estimation.The empirical results show that the loan loss provisions of the listed banks in China are countercyclical and forward-looking, and the macroeconomic policies, especially the monetary policies, will strengthen the countercyclical nature of the loan loss provisions of the listed banks.At the same time, the empirical results also show that there is a disharmony between the regulatory policies of Chinese commercial banks, such as capital adequacy regulation and loan loss provisions regulation.On this basis, this paper puts forward some policy suggestions on countercyclical provisions regulation in China.
【学位授予单位】：暨南大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.4

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