中国上市银行资本缓冲周期性行为及其信贷影响研究

发布时间：2018-05-23 18:56

本文选题：资本缓冲 + 逆周期　；参考：《浙江工商大学》2014年硕士论文

【摘要】：从2007年美国次贷危机爆发开始,各个国际组织连同各国金融监管部门纷纷对监管可能存在的问题进行深入探讨,研究结果显示资本监管的顺周期性是系统性金融危机的诱因。因此,资本监管的周期性行为成为人们广泛关注的焦点。为了能够更好的对金融系统的顺周期性进行监管,2010年,引入了逆周期机制的巴塞尔协议Ⅲ出台。中国银监会也在2011年发布了《中国银行业实施新监管标准指导意见》,我国正式引入逆周期的资本监管框架。本文对国内外关于资本缓冲周期性研究和资本缓冲如何影响银行信贷行为这两方面的相关文献进行了回顾与梳理,并在巴塞尔协议Ⅱ的框架下阐述了商业银行顺周期行为的形成机理；此外,还从理论上解释了资本缓冲是如何对银行信贷行为产生影响的。随后,利用中国上市商业银行2004年—2012年的数据,建立动态面板模型,运用GMM估计方法对我国上市商业银行资本缓冲的周期性行为进行实证检验,并分析其驱动因素；考虑到宏观审慎监管对货币政策传导的影响,文章还运用随机面板模型对我国上市商业银行资本缓冲的信贷影响进行实证检验。结果表明,中国上市商业银行的资本缓冲拥有显著的逆周期行为,银行规模对资本缓冲水平存在显著的正向影响；银行信贷扩张行为与其自身的资本缓冲行为负相关,“银行资本渠道”对信贷行为产生显著的正向影响,而“银行信贷渠道”对银行信贷行为并没有显著的影响。
[Abstract]:Since the outbreak of the subprime mortgage crisis in the United States in 2007, various international organizations and financial regulatory authorities of various countries have conducted in-depth discussions on the possible problems of supervision. The results show that the procyclicality of capital regulation is the cause of the systemic financial crisis. Therefore, the cyclical behavior of capital supervision has become the focus of widespread concern. In order to better supervise the procyclicality of the financial system, Basel III was introduced into the countercyclical mechanism in 2010. China Banking Regulatory Commission (CBRC) also issued the "guidance on the implementation of New Supervision Standards for China's Banking sector" in 2011. China formally introduced a counter-cyclical capital regulatory framework. This paper reviews and combs the domestic and foreign literatures on the periodicity of capital buffering and how capital buffers affect bank credit behavior. The formation mechanism of the pro-cyclical behavior of commercial banks is expounded under the framework of Basel II, and the influence of capital buffer on bank credit behavior is also explained theoretically. Then, using the data of China's listed commercial banks from 2004 to 2012, the dynamic panel model is established, and the GMM estimation method is used to empirically test the cyclical behavior of capital buffers of listed commercial banks in China, and the driving factors are analyzed. Considering the influence of macro-prudential supervision on the transmission of monetary policy, this paper also uses the stochastic panel model to test the credit impact of capital buffering of listed commercial banks in China. The results show that the capital buffer of listed commercial banks in China has a significant countercyclical behavior, the size of banks has a significant positive impact on the capital buffer level, and the bank credit expansion behavior is negatively correlated with its own capital buffer behavior. The "bank capital channel" has a significant positive impact on the credit behavior, while the "bank credit channel" has no significant impact on the bank credit behavior.
【学位授予单位】：浙江工商大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.4

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