资本缓冲对银行信贷顺周期释缓作用的实证分析

发布时间：2018-05-01 09:28

本文选题：资本缓冲 + 逆周期性　；参考：《西南财经大学》2013年硕士论文

【摘要】：由于金融体系本身存在着脆弱性,历次经历的经济危机让人们认识到提高金融系统的稳定性的重要性,于是巴塞尔委员会更是颁布了《巴塞尔协议Ⅰ》和《巴塞尔协议Ⅱ》,通过这两个协议来对全球金融体系形成监管。然而2007年美国爆发的次贷危机最终演变成全球的金融危机,这让人们反思巴塞尔协议Ⅰ和巴塞尔协议Ⅱ本身存在的缺陷,尤其是巴塞尔Ⅱ的资本监管本身就存在着很强的顺周期性,并且在一定程度上助长了经济的周期波动。于是,无论是学术界还是各国监管部门连同巴塞尔委员会都纷纷探讨怎样克服新资本协议的缺陷,建立起更为有效的监管措施,2010年9月12日,巴塞尔银行监管委员会宣布,各方代表就《巴塞尔协议Ⅲ》对逆周期宏观审慎监管的基本原则和框架达成一致。巴塞尔Ⅲ提出建立逆周期的资本缓冲,希望此举能缓解银行信贷的顺周期性从而减小经济的波动。在这样的背景下,很多学者开始转向了对资本缓冲这一课题的研究,但总的来看关于资本缓冲方面的研究比较少,关于金融监管方面的研究大多数是从资本充足率监管、银行信贷和宏观经济方面的角度来分析的。国外关于资本缓冲的研究以实证较多,基本都是验证资本缓冲的周期性行为,所得出的结果也各不相同。国内关于资本缓冲的研究就更少了,现有的研究也是实证检验资本缓冲在我国的周期性,不同的数据和样本得到的结果也不一样。本文在前人研究的基础上,借鉴了国内外学者的实证模型,扩大了研究的样本,采用面板数据通过计量回归的实证分析方法,探讨了我国银行业间资本缓冲的周期性,更重要的是,本文还在研究了资本缓冲的周期性后用计量回归的实证方法着重探讨了资本缓冲对银行信贷的影响作用。试图找出我国资本缓冲是否存在周期性行为以及资本缓冲对银行信贷的影响。最后在前面研究的基础上,提出了我国加强资本缓冲逆周期监管以及其他方面加强逆周期监管效果的建议。本文一共分为三个部分。第一部分是绪论,这部分首先介绍了本文的写作背景,研究的目的；接下来介绍了本文研究的方法和写作的框架；最后一部分是论文的创新和存在的不足。第二部分是文献综述部分。主要对国内外银行信贷顺周期和资本缓冲方面的理论进行梳理和简要评述。第三部分关于商业银行信贷顺周期的内涵和理论。这一部分首先介绍了商业银行信贷顺周期的内涵,它包涵商业银行的信贷顺应经济周期波动和银行信贷放大经济周期波动两层含义。其次介绍了商业银行信贷顺周期的理论。主要分为两个方面：一是信贷顺周期的内生性方面的理论研究,主要有以微观经济学为基础的信息不对称导致的信贷顺周期理论；以行为金融学为出发点的灾难近视假说和羊群效应来解释银行信贷的顺周期；还有基于公司制度理论的委托代理问题和扭曲的薪酬激励导致的顺周期。另一个是从银行业的外部监管这一外生性的角度来说明银行信贷的顺周期,主要有内部评级法的顺周期、公允价值的顺周期和拨备的顺周期。第四部分是巴塞尔Ⅲ的资本缓冲逆周期监管框架与资本缓冲影响银行信贷周期性的定性分析。这一部分先介绍了巴塞尔Ⅲ的资本缓冲逆周期监管框架,接着主要从监管初衷、资本缓冲对银行投资组合的影响、信息不对称和银行股利发放等角度定性分析了资本缓冲对银行信贷的影响。第五部分是资本缓冲对我国银行信贷顺周期释缓作用的实证分析。这部分首先对实证分析的样本做了一个简单描述；接着简要的通过数量图表分析了我国银行建立资本缓冲的现状；再接下来分别对资本缓冲的周期性和资本缓冲对银行信贷的影响两个方面进行实证研究。在对资本缓冲周期性的实证过程中,本文将样本分成两个部分,分别对全样本和剔除了五大国有银行的小样本进行回归,得到的结果显示,无论是全样本还是小样本,资本缓冲对于其滞后项正相关；对于总体样本资本缓冲与资本收益率正相关且非常显著,而小样本确是负相关的,但这种相关性并不显著；不良贷款率与资本缓冲负相关,这对总体样本银行和小样本银行都成立；银行规模与资本缓冲的关系在大样本和小样本之间也不尽相同,总体样本银行的规模与资本缓冲正相关,资产规模越大的银行资本缓冲反而越高,但对于小样本银行确是呈现出负相关的,但这并不显著：最后总体样本银行的国内生产总值的增长率与资本缓冲正相关,并且在统计回归上非常显著,这说明在我国银行系统资本缓冲是逆周期的,GDP增长越快资本缓冲计提越多,但小样本的实证结果却表现出顺周期性。在实证分析资本缓冲影响银行信贷的过程中,发现信贷增长与GDP增长高度正相关,同时与利率也正相关,对于关键变量资本缓冲,本文发现资本缓冲与银行信贷增长是负相关的,这种负相关性非常显著,但回归估计的参数却非常小,这说明虽然资本缓冲能够对银行信贷起到负面的抑制作用,这样资本缓冲能够对银行信贷的顺周期起到一定的释缓效应,但资本缓冲对银行信贷的影响非常有限,这种逆周期释缓作用非常微小。最后,本章对实证的结果进行了分析。关于资本缓冲的周期性,含有五大国有银行的总体样本表现出逆周期性,以中小银行为样本的回归结果却是顺周期的。后面关于信贷的实证结果显示资本缓对信贷顺周期的释缓作用非常微小,本文大胆推测,中国银行业资本缓冲整体呈现出逆周期是由国有银行资本缓冲逆周期造成的,而国有银行资本缓冲的逆周期是表面的,是由于资本补充的周期性造成的,而不是出于银行主动想要控制风险建立的,这说明了在我国实行资本缓冲逆周期监管的效果将会并不理想。第六部分是对逆周期监管的建议。针对上一章的实证结果,提出完善资本缓冲建议,这其中一方面建议监管机构选择触发资本缓冲提取和释放的信号变量时不仅要考虑宏观性的系统变量,也要考虑到银行的个体差别,从这两个方面建立逆周期指标。另一方面在确定调整系数时应该注意最低值和最高值的设定以及资本缓冲与变量指标之间线性关系的斜率。通过这两方面更科学合理的安排可以使资本缓冲逆周期监管更为科学有效。实证显示资本缓冲逆周期释缓信贷顺周期的效果并不理想,所以在除了加强逆周期的资本缓冲监管的同时还应该加强杠杆率监管和建立前瞻性的动态拨备制度来加强逆周期监管。加强杠杆率监管,应该特别注意杠杆率的计算,关键是表外资产的转换,金融衍生产品的风险和价值计算,还要要特别注意银行的监管套利。’建立前瞻性的动态拨备制度,可以考虑建立变动的风险调整权重,在经济繁荣期加大风险权重,在经济衰退期降低风险权重,从而调整银行的资本要求达到缓解信贷顺周期的效果。以上是本文研究的角度和内容,文章的创新之处在于采用更完全和广泛的样本,同时对资本缓冲的周期性的研究更是将样本分开,分别研究了总体样本和只含中小银行的小样本,对此进行对比分析,更为深入的探讨了我国银行业资本缓冲的行为特征,本文更是对资本缓冲影响信贷这一论题进行了实证分析,探讨资本缓冲逆周期监管是否对银行信贷的顺周期产生释缓效应,或者说资本缓冲在多大程度上能够缓解银行信贷的顺周期行为,从而得出在我国资本缓冲监管的有效性。本文的研究是监管理论研究的一小部分,逆周期的监管还有很多需要研究的地方,希望本文关于逆周期资本缓冲的研究能够对我国的监管者提供一点借鉴意义。另外本文在很多方面也存在不足,在能得到更为全面的数据时本文对的实证模型还可以再改进,研究的角度来可以往更深入的空间挖掘,加强逆周期资本监管的方法还可以再完善,总之文章很多地方还值得继续探讨和研究,希望后来的研究能在本文的基础上更深入和完善。
[Abstract]:Because of the fragility of the financial system itself, the economic crisis of successive experiences has made people realize the importance of improving the stability of the financial system, so the Basel Committee has promulgated the Basel agreement I and the Basel agreement II, to regulate the global financial system through these two agreements. However, the United States broke out in 2007. The subprime crisis eventually evolved into a global financial crisis, which makes people reflect on the shortcomings of the Basel agreement I and the Basel agreement II itself, especially the Basel II capital regulation itself, which has a strong Pro cyclical nature, and to a certain extent it has contributed to the periodic fluctuation of the economy. The regulatory authorities, together with the Basel Committee, have discussed how to overcome the defects of the new capital agreement and establish more effective regulatory measures. In September 12, 2010, the Basel Banking Regulatory Commission announced that all representatives agreed on the basic principles and frameworks of the "Basel Agreement III" on the macro prudential regulation of the counter cycle. Basel III proposed The establishment of counter cyclical capital buffers is hoped that this will ease the pro cyclical nature of bank credit and reduce economic fluctuations.
In this context, many scholars have turned to the research on capital buffer, but in general, there are few studies on capital buffer. Most of the research on financial supervision is analyzed from the perspective of capital adequacy regulation, bank credit and macro economy. The research on capital buffer is also different. The domestic research on capital buffer is less, the existing research is also the empirical test of the periodicity of capital buffer in China, and the results from different data and samples are different. This paper is the basis of previous research. On the basis of the empirical model of domestic and foreign scholars, we expand the sample of the research, and use the panel data through the empirical analysis method of econometric regression to discuss the periodicity of the capital buffer between the banks in China, and more importantly, this paper has also studied the capital buffer by the empirical method of econometric regression after the periodicity of capital buffer. The impact of the impact on bank credit is to try to find out whether there is periodic behavior in China's capital buffer and the effect of capital buffer on bank credit. Finally, on the basis of the previous research, some suggestions are put forward to strengthen the reverse cycle supervision of capital buffer and to strengthen the effect of reverse cycle supervision in other aspects.
This article is divided into three parts. The first part is the introduction, which first introduces the background of the writing, the purpose of the study, and then introduces the methods and the framework of the study, and the last part is the innovation and the deficiency of the paper.
The second part is the literature review. It mainly reviews and comments on the theories of Pro cyclical and capital buffering at home and abroad.
The third part is about the connotation and theory of the credit CIS cycle of commercial banks. This part first introduces the connotation of the credit CIS cycle of commercial banks, which includes two meanings of commercial bank credit adaptation to economic cycle fluctuation and bank credit enlargement cycle fluctuation. Secondly, it introduces the theory of credit CIS cycle of commercial banks. The two aspects: first, the theoretical research on the endogenous nature of the credit CIS cycle, mainly the theory of credit CIS cycle caused by the asymmetric information based on microeconomics, the disaster myopia hypothesis and the herd effect of behavioral finance as the starting point to explain the CIS period of bank credit; and the entrustment based on the theory of the company system. The other is to explain the CIS cycle of bank credit from the external supervision of the banking industry, which mainly includes the CIS cycle of the internal rating law, the CIS cycle of fair value and the cycle of provision.
The fourth part is the Basel III capital buffer reverse cycle regulatory framework and the qualitative analysis of the impact of capital buffer on the periodicity of bank credit. This part first introduces the reverse cycle regulatory framework of capital buffer in Basel III, and then mainly from the original intention of supervision, the impact of capital buffer on the bank portfolio, information asymmetry and the dividend issuance of banks. The influence of capital buffer on bank credit is qualitatively analyzed.
The fifth part is an empirical analysis of the effect of capital buffer on the release of bank credit in China. This part first gives a simple description of the samples of the empirical analysis, and then briefly analyzes the current situation of the capital buffering in China's banks through quantitative charts, and then the periodicity and capital buffer of capital buffer. In the empirical study of the two aspects of the impact of bank credit. In the empirical process of the cyclical capital buffer, this paper divides the sample into two parts, and returns the small sample of the total sample and the five state-owned banks respectively. The results show that the capital buffer is lagging behind, whether it is the full sample or the small sample, and the capital buffer is lagging behind. The overall sample capital buffer is positively correlated with the capital yield, while the small sample is negatively correlated, but the correlation is not significant; the NPL is negatively related to the capital buffer, which is established for both the overall sample bank and the small sample bank; the relationship between the bank size and the capital buffer is large and small. The size of the overall sample bank is positively related to the capital buffer. The higher the capital buffer is, the higher the bank capital buffer, but it is negatively related to the small sample banks, but it is not significant. Finally, the growth rate of the gross domestic product of the total sample bank is positively related to the capital buffer, and the statistical return is statistically back. It is very obvious that the capital buffer of the bank system in China is reverse cycle, the faster the GDP growth is, the more capital buffer is raised, but the empirical results of the small sample show a cyclical.
In the process of empirical analysis of the impact of capital buffer on bank credit, it is found that credit growth is positively related to GDP growth and is also positively related to interest rates. For key variable capital buffer, this paper finds that capital buffer is negatively related to bank credit growth, and this negative correlation is not common, but the parameters of regression estimation are very small. Although capital buffer can play a negative inhibitory effect on bank credit, capital buffer can play a certain release effect on the CIS cycle of bank credit, but the effect of capital buffer on bank credit is very limited, and this reverse period release effect is very small.
At the end of this chapter, the empirical results are analyzed. On the periodicity of capital buffer, the overall sample of the five large state-owned banks shows the reverse periodicity. The regression results of the small and medium banks as the sample are CIS cyclical. The empirical results on credit show that the slow release effect of capital slow on the credit CIS cycle is very small, this paper It is presumed that the reverse cycle of the capital buffer in China's banking industry is caused by the reverse cycle of the capital buffer of the state-owned banks, while the reverse cycle of the capital buffer of the state-owned banks is surface, which is caused by the periodicity of the capital supplement, not the bank's initiative to control the risk, which shows that the capital is slow in our country. The effect of cyclical regulation will not be ideal.
The sixth part is a proposal for the reverse cycle regulation. In the light of the empirical results of the previous chapter, we propose a proposal to improve the capital buffer. On the one hand, it is suggested that the regulators choose not only the macro system variables but also the individual differences of the banks when selecting the signal variables to trigger the extraction and release of capital buffer. On the other hand, we should pay attention to the setting of the minimum value and the maximum value and the slope of the linear relationship between the capital buffer and the variable index in determining the adjustment coefficient. The more scientific and reasonable arrangement of these two aspects can make the reverse cycle supervision of capital buffer more scientific and effective.
The empirical results show that the effect of the reverse cycle of capital buffer is not ideal, so we should strengthen the regulation of leverage ratio and establish a forward-looking dynamic reserve system to strengthen the reverse cycle regulation in addition to strengthening the reverse cycle of capital buffer regulation. The conversion of assets outside the table, the risk and value calculation of financial derivatives, and special attention should be paid to the regulatory arbitrage of the banks. "Establishing a forward-looking and dynamic allocation system can consider setting up a variable weight of risk adjustment, increasing the weight of risk in the economic boom, reducing the weight of risk in the period of economic decline, and thus adjusting the capital requirements of the bank. To achieve the effect of easing the credit cycle.
The above is the angle and content of this study. The innovation of the article lies in the use of more complete and extensive samples, and the periodicity of the capital buffer is separated from the sample, and the overall sample and small samples containing only small and medium banks are studied. This paper makes an empirical analysis on the issue of capital buffer impact on credit, and discusses whether the reverse cycle regulation of capital buffer has a slow release effect on the CIS cycle of bank credit, or how much the capital buffer can alleviate the CIS period behavior of bank credit, and thus the capital buffer regulation in China is obtained. Effectiveness.
The research of this paper is a small part of the research on the theory of supervision, and there are many places to be studied in the reverse cycle supervision. I hope this paper can provide some reference for the supervisors of our country. In addition, there are also shortcomings in many aspects in this paper, and this paper is true when we can get more comprehensive data. The model can be further improved, the research angle can be further excavated in the space, and the methods of strengthening the regulation of the reverse cycle capital can be further improved. In a word, many parts of the article still deserve to be discussed and studied, and the future research will be more thorough and perfect on the basis of this article.

【学位授予单位】：西南财经大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.4;F224

【参考文献】