资本充足率对我国宏观经济的影响研究

发布时间：2018-01-07 02:23

本文关键词：资本充足率对我国宏观经济的影响研究　出处：《湖南大学》2014年硕士论文　论文类型：学位论文

【摘要】：在后金融危机时代，巴塞尔资本协议III的出台旨在在长期内增强银行业的抗风险能力，从而确保整个金融体系的稳定。然而在短期内，巴塞尔资本协议III对宏观经济的影响目前还有待讨论，尤其是较为严格资本充足率要求是否会对经济造成较大的影响更是学界争论的焦点。为了更好地量化巴塞尔资本协议III框架下资本充足率对宏观经济的影响，本文建立了一个包含银行微观行为的DSGE模型，通过刻画家庭、厂商、资本品生产者、商业银行以及中央银行的最优行为决策将宏观经济体的其他主要部门联系起来，从而将商业银行资本充足率冲击纳入到整个宏观经济框架进行讨论。通过对DSGE模型进行贝叶斯参数估计和数值模拟分析，本文探讨了随机资本充足率冲击的传导机制，并且引入违约损失率以刻画顺（逆）周期资本监管的宏观经济效应。此外，本文还基于资本充足率的货币政策传导渠道，讨论了不同货币政策规则下资本充足率对宏观经济的不同影响，最终得到如下重要结论：第一、如果资本充足率从8%上升到11.5%，，投资将会出现0.15%程度左右的下降，产出出现0.07%程度左右的下降，这一数值大约是技术冲击对产出影响的1/10。第二、在现实经济环境中，违约损失率冲击会在顺周期资本设定中成倍地放大了其对宏观经济的影响，因此设置逆周期资本规则对实施有效的资本监管至关重要。第三、泰勒规则下的货币政策冲击会抵消一部分由资本充足率变化引起的利率变化，从而减少其对经济体的影响。最后，本文根据得到的结论提出相应的政策建议。
[Abstract]:In the post-crisis era, the Basel Capital Accord (III) was introduced to enhance the banks' ability to resist risks in the long run, thus ensuring the stability of the entire financial system. However, in the short term. The impact of Basel Capital Accord (III) on macro-economy is still to be discussed, especially whether the strict capital adequacy requirements will have a greater impact on the economy. In order to better quantify the impact of the capital adequacy ratio on the macro economy under the framework of Basel Capital Accord (III), this paper establishes a DSGE model which includes the microcosmic behavior of banks. The optimal behaviour decisions of capital goods producers, commercial banks and central banks link other major sectors of the macro economy. Thus, the impact of capital adequacy ratio of commercial banks into the entire macroeconomic framework for discussion. Through Bayesian parameter estimation and numerical simulation analysis of DSGE model, this paper discusses the transmission mechanism of stochastic capital adequacy rate shock. And the loss rate of default is introduced to describe the macro-economic effect of capital supervision in the order (inverse) cycle. In addition, this paper also based on the capital adequacy rate of monetary policy transmission channel. This paper discusses the different effects of capital adequacy ratio on macroeconomic under different monetary policy rules, and finally comes to the following important conclusions: First, if the capital adequacy ratio rises from 8% to 11.5 percent, investment will fall by about 0.15% degrees and output will fall by about 0.07% degrees. This value is about 1 / 10 of the impact of technology shocks on output. Second, in the real economic environment, the impact of default loss rate will multiply its macroeconomic impact in pro-cyclical capital setting. Therefore, the establishment of countercyclical capital rules is essential to the implementation of effective capital supervision. Third, monetary policy shocks under the Taylor rule will offset some changes in interest rates caused by changes in capital adequacy ratios. Thus reducing its impact on the economy. Finally, according to the conclusions obtained, this paper puts forward corresponding policy recommendations.
【学位授予单位】：湖南大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F224;F832.5;F124

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