我国商业银行资本缓冲与经济波动关系研究

发布时间：2019-06-14 04:16

【摘要】：2008年的金融危机引起了人们对银行资本监管的反思。学术界普遍认为巴塞尔资本协议Ⅱ潜在的顺周期性是造成危机产生的一个不可忽视的原因。由此,实施逆周期资本监管成为了各国监管当局的共识。巴塞尔资本协议Ⅲ于2010年正式出台,其中明确提出银行业应实施逆周期资本缓冲机制。即银行应当在经济高涨时期多计提资本缓冲,进而抑制信贷投放的过度扩张；而当经济出现衰退时,银行应适当减少资本缓冲,以便维护其正常的信贷供给能力,从而缓解经济下滑趋势。虽然目前逆周期资本缓冲工具在积极尝试之中,但学术界对于资本缓冲与经济周期之间的关系并没有统一的结论,并且我国对于该问题的探讨也比较局限。所以明确我国商业银行资本缓冲与经济周期的关系,有助于合理运用资本缓冲调节机制进行监管,对提升逆周期资本监管的有效性具有重要意义。本文主要采用理论分析和实证研究相结合的方法,对我国商业银行资本缓冲与经济波动的关系进行研究。结合国内外相关研究,文章从银行持有资本缓冲的动机、最优资本缓冲的决定模型、资本缓冲对经济波动的影响这三个方面进行理论分析,特别是通过分析监管约束下资本缓冲变化对经济影响的直接和间接渠道,明确了当资本缓冲与经济波动同向变化时,可以缓解资本监管的顺周期性,减小经济波动程度,反之亦然。在理论分析的基础上,文章选取我国14家上市银行2005-2012年的半年度数据进行实证研究,考察全体样本银行、不同类型银行和不同资本充足率银行的资本缓冲周期性行为,并从“分子”和“分母”角度分析资本缓冲周期性行为的推动因素,同时结合我国银行业的发展情况,对实证结果给予解释。文章在最后部分提出相关政策建议。本文主要结论：第一,在整个研究期间,我国上市商业银行资本缓冲具有明显的逆周期性特征,该特征主要是由分子效应即银行资本的调整推动形成的,并且银行资本中的核心资本又在其中起到主导作用,而分母效应即风险加权资产的周期性特征并不明显。总的来说,该逆周期特征主要源于我国银行业特殊的市场环境及发展背景。第二,国有大型银行资本缓冲的逆周期性特征比股份制银行更加明显,并且其资本和风险加权资产二者的变化也都体现出强于股份制银行的逆周期特征。第三,资本缓冲水平较高的银行比资本缓冲水平较低的银行呈现出更明显的逆周期特征。前者资本的变动体现出强于后者的逆周期特征,而风险加权资产变化的周期性特征并不明显；而后者风险加权资产的变动呈现出明显的顺周期性。
[Abstract]:The financial crisis in 2008 caused people to reflect on the capital supervision of banks. It is widely believed that the potential pro-periodicity of Basle II is a cause of crisis that can not be ignored. As a result, the implementation of countercyclical capital supervision has become the consensus of regulatory authorities in various countries. Basle III was officially issued in 2010, which clearly states that the banking industry should implement countercyclical capital buffer mechanism. That is to say, banks should raise more capital buffers in the period of economic upsurge, so as to curb the excessive expansion of credit investment, and when the economy is in recession, banks should appropriately reduce capital buffers in order to maintain their normal credit supply capacity, so as to alleviate the downward trend of the economy. Although countercyclical capital buffering tools are actively trying, there is no unified conclusion on the relationship between capital buffering and economic cycle in academic circles, and the discussion on this issue in our country is also relatively limited. Therefore, it is of great significance to clarify the relationship between capital buffering and economic cycle of commercial banks in China, which is helpful to the rational use of capital buffer adjustment mechanism for supervision and control, and is of great significance to improve the effectiveness of countercyclical capital supervision. This paper mainly uses the method of theoretical analysis and empirical research to study the relationship between capital buffer and economic fluctuation of commercial banks in China. Combined with the relevant research at home and abroad, this paper makes a theoretical analysis from three aspects: the motivation of banks to hold capital buffers, the decision model of optimal capital buffers and the impact of capital buffers on economic fluctuations, especially by analyzing the direct and indirect channels of the impact of capital buffering changes on the economy under regulatory constraints, and makes it clear that when capital buffers and economic fluctuations change in the same direction, the periodicity of capital supervision can be alleviated. Reduce the degree of economic volatility, and vice versa. On the basis of theoretical analysis, this paper selects the semi-annual data of 14 listed banks in China from 2005 to 2012 to carry out empirical research, investigates the capital buffer periodicity behavior of all sample banks, different types of banks and banks with different capital adequacy ratios, and analyzes the driving factors of capital buffer periodicity behavior from the perspective of "molecule" and "denominator". At the same time, combined with the development of China's banking industry, the empirical results are explained. In the last part of the article, the relevant policy recommendations are put forward. The main conclusions of this paper are as follows: first, during the whole research period, the capital buffer of listed commercial banks in China has obvious countercyclical characteristics, which are mainly formed by the adjustment of molecular effect, that is, bank capital, and the core capital in bank capital plays a leading role in it, while the cyclical characteristics of denominator effect, that is, risk-weighted assets, are not obvious. Generally speaking, the inverse cycle characteristics mainly come from the special market environment and development background of China's banking industry. Secondly, the countercyclical characteristics of capital buffering of large state-owned banks are more obvious than those of joint-stock banks, and the changes of capital and risk-weighted assets are also stronger than those of joint-stock banks. Third, the banks with higher capital buffers show more obvious countercyclical characteristics than those with lower capital buffers. The change of capital in the former is stronger than that in the latter, but the cyclical characteristic of the change of risk-weighted assets is not obvious, while the change of risk-weighted assets in the latter is obviously pro-cyclical.
【学位授予单位】：南京财经大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.33;F124

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