我国银行业资本约束下的信贷亲周期性研究

发布时间：2018-04-29 22:35

本文选题：巴塞尔协议 + 资本监管　；参考：《首都经济贸易大学》2014年硕士论文

【摘要】：资本监管是银行监管的核心，它规定了商业银行的最低资本要求，增强了商业银行抵御风险的能力，是督促商业银行可持续发展的有效监管手段。然而随着金融危机的爆发，巴塞尔协议在金融监管中的作用遭到了各界的质疑；同时，商业银行监管的亲周期性也被认为是引发危机的重要原因之一。后危机时代，国际理论界和各国政府开始对银行亲周期效应进行重新审视，并就“逆周期宏观审慎”监管理念达成共识。2009年中国正式加入了巴塞尔委员会，因此，研究我国商业银行的信贷亲周期效应、提出切实可行的监管办法有利于在制定银行监管国际标准时更好地维护我国银行业的利益，提升我国银行业国际化水平。文章回顾了巴塞尔资本协定的历史演进，此部分重点分析《巴塞尔协议Ⅱ》资本要求的缺陷及《巴塞尔协议Ⅲ》对资本管理要求的改进，为阐述我国银行监管现状打下理论基础。关于资本监管的顺周期性原因，本文主要从资本要求、信用评级、贷款损失拨备制度、公允价值会计准则四个角度进行探讨。实证方面，，本文利用我国14家上市商业银行2000-2012年的面板数据，得出我国银行业具有亲周期性的结论，并在此基础上提出了缓解信贷亲周期性的政策建议。
[Abstract]:Capital supervision is the core of bank supervision, which stipulates the minimum capital requirement of commercial banks, strengthens the ability of resisting risks, and is an effective means to supervise and urge the sustainable development of commercial banks. However, with the outbreak of the financial crisis, the role of Basel Accord in financial regulation has been questioned by all walks of life. At the same time, the pro-periodicity of commercial bank regulation is considered to be one of the important causes of the crisis. In the post-crisis era, the international theorists and governments began to re-examine the pro-cyclical effect of banks, and reached a consensus on the concept of "counter-cyclical macro-prudential" regulation. In 2009, China formally joined the Basel Committee, so, This paper studies the pro-cyclical effect of credit in Chinese commercial banks, and puts forward some feasible supervision methods which can better safeguard the interests of China's banking industry and enhance the international level of banking industry in China when formulating the international standards of banking supervision. This paper reviews the historical evolution of the Basel Capital Accord, which focuses on the analysis of the defects of the Basel II capital requirements and the improvement of the Basel III capital management requirements. It lays a theoretical foundation for expounding the present situation of banking supervision in China. On the pro-cyclical reasons of capital supervision, this paper mainly discusses from four angles: capital requirement, credit rating, loan loss provision system and fair value accounting standard. Based on the panel data of 14 listed commercial banks in China from 2000 to 2012, this paper draws a conclusion that the banking industry in China is pro-cyclical, and puts forward some policy suggestions to alleviate the pro-cyclical credit.
【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

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