本文選題：資本緩沖 + 逆周期性��； 參考：《西南財經(jīng)大學》2013年碩士論文

【摘要】：由于金融體系本身存在著脆弱性,歷次經(jīng)歷的經(jīng)濟危機讓人們認識到提高金融系統(tǒng)的穩(wěn)定性的重要性,于是巴塞爾委員會更是頒布了《巴塞爾協(xié)議Ⅰ》和《巴塞爾協(xié)議Ⅱ》,通過這兩個協(xié)議來對全球金融體系形成監(jiān)管。然而2007年美國爆發(fā)的次貸危機最終演變成全球的金融危機,這讓人們反思巴塞爾協(xié)議Ⅰ和巴塞爾協(xié)議Ⅱ本身存在的缺陷,尤其是巴塞爾Ⅱ的資本監(jiān)管本身就存在著很強的順周期性,并且在一定程度上助長了經(jīng)濟的周期波動。于是,無論是學術界還是各國監(jiān)管部門連同巴塞爾委員會都紛紛探討怎樣克服新資本協(xié)議的缺陷,建立起更為有效的監(jiān)管措施,2010年9月12日,巴塞爾銀行監(jiān)管委員會宣布,各方代表就《巴塞爾協(xié)議Ⅲ》對逆周期宏觀審慎監(jiān)管的基本原則和框架達成一致。巴塞爾Ⅲ提出建立逆周期的資本緩沖,希望此舉能緩解銀行信貸的順周期性從而減小經(jīng)濟的波動。 在這樣的背景下,很多學者開始轉向了對資本緩沖這一課題的研究,但總的來看關于資本緩沖方面的研究比較少,關于金融監(jiān)管方面的研究大多數(shù)是從資本充足率監(jiān)管、銀行信貸和宏觀經(jīng)濟方面的角度來分析的。國外關于資本緩沖的研究以實證較多,基本都是驗證資本緩沖的周期性行為,所得出的結果也各不相同。國內(nèi)關于資本緩沖的研究就更少了,現(xiàn)有的研究也是實證檢驗資本緩沖在我國的周期性,不同的數(shù)據(jù)和樣本得到的結果也不一樣。本文在前人研究的基礎上,借鑒了國內(nèi)外學者的實證模型,擴大了研究的樣本,采用面板數(shù)據(jù)通過計量回歸的實證分析方法,探討了我國銀行業(yè)間資本緩沖的周期性,更重要的是,本文還在研究了資本緩沖的周期性后用計量回歸的實證方法著重探討了資本緩沖對銀行信貸的影響作用。試圖找出我國資本緩沖是否存在周期性行為以及資本緩沖對銀行信貸的影響。最后在前面研究的基礎上,提出了我國加強資本緩沖逆周期監(jiān)管以及其他方面加強逆周期監(jiān)管效果的建議。 本文一共分為三個部分。第一部分是緒論,這部分首先介紹了本文的寫作背景,研究的目的；接下來介紹了本文研究的方法和寫作的框架；最后一部分是論文的創(chuàng)新和存在的不足。 第二部分是文獻綜述部分。主要對國內(nèi)外銀行信貸順周期和資本緩沖方面的理論進行梳理和簡要評述。 第三部分關于商業(yè)銀行信貸順周期的內(nèi)涵和理論。這一部分首先介紹了商業(yè)銀行信貸順周期的內(nèi)涵,它包涵商業(yè)銀行的信貸順應經(jīng)濟周期波動和銀行信貸放大經(jīng)濟周期波動兩層含義。其次介紹了商業(yè)銀行信貸順周期的理論。主要分為兩個方面：一是信貸順周期的內(nèi)生性方面的理論研究,主要有以微觀經(jīng)濟學為基礎的信息不對稱導致的信貸順周期理論；以行為金融學為出發(fā)點的災難近視假說和羊群效應來解釋銀行信貸的順周期；還有基于公司制度理論的委托代理問題和扭曲的薪酬激勵導致的順周期。另一個是從銀行業(yè)的外部監(jiān)管這一外生性的角度來說明銀行信貸的順周期,主要有內(nèi)部評級法的順周期、公允價值的順周期和撥備的順周期。 第四部分是巴塞爾Ⅲ的資本緩沖逆周期監(jiān)管框架與資本緩沖影響銀行信貸周期性的定性分析。這一部分先介紹了巴塞爾Ⅲ的資本緩沖逆周期監(jiān)管框架,接著主要從監(jiān)管初衷、資本緩沖對銀行投資組合的影響、信息不對稱和銀行股利發(fā)放等角度定性分析了資本緩沖對銀行信貸的影響。 第五部分是資本緩沖對我國銀行信貸順周期釋緩作用的實證分析。這部分首先對實證分析的樣本做了一個簡單描述；接著簡要的通過數(shù)量圖表分析了我國銀行建立資本緩沖的現(xiàn)狀；再接下來分別對資本緩沖的周期性和資本緩沖對銀行信貸的影響兩個方面進行實證研究。在對資本緩沖周期性的實證過程中,本文將樣本分成兩個部分,分別對全樣本和剔除了五大國有銀行的小樣本進行回歸,得到的結果顯示,無論是全樣本還是小樣本,資本緩沖對于其滯后項正相關；對于總體樣本資本緩沖與資本收益率正相關且非常顯著,而小樣本確是負相關的,但這種相關性并不顯著；不良貸款率與資本緩沖負相關,這對總體樣本銀行和小樣本銀行都成立；銀行規(guī)模與資本緩沖的關系在大樣本和小樣本之間也不盡相同,總體樣本銀行的規(guī)模與資本緩沖正相關,資產(chǎn)規(guī)模越大的銀行資本緩沖反而越高,但對于小樣本銀行確是呈現(xiàn)出負相關的,但這并不顯著：最后總體樣本銀行的國內(nèi)生產(chǎn)總值的增長率與資本緩沖正相關,并且在統(tǒng)計回歸上非常顯著,這說明在我國銀行系統(tǒng)資本緩沖是逆周期的,GDP增長越快資本緩沖計提越多,但小樣本的實證結果卻表現(xiàn)出順周期性。 在實證分析資本緩沖影響銀行信貸的過程中,發(fā)現(xiàn)信貸增長與GDP增長高度正相關,同時與利率也正相關,對于關鍵變量資本緩沖,本文發(fā)現(xiàn)資本緩沖與銀行信貸增長是負相關的,這種負相關性非常顯著,但回歸估計的參數(shù)卻非常小,這說明雖然資本緩沖能夠對銀行信貸起到負面的抑制作用,這樣資本緩沖能夠對銀行信貸的順周期起到一定的釋緩效應,但資本緩沖對銀行信貸的影響非常有限,這種逆周期釋緩作用非常微小。 最后,本章對實證的結果進行了分析。關于資本緩沖的周期性,含有五大國有銀行的總體樣本表現(xiàn)出逆周期性,以中小銀行為樣本的回歸結果卻是順周期的。后面關于信貸的實證結果顯示資本緩對信貸順周期的釋緩作用非常微小,本文大膽推測,中國銀行業(yè)資本緩沖整體呈現(xiàn)出逆周期是由國有銀行資本緩沖逆周期造成的,而國有銀行資本緩沖的逆周期是表面的,是由于資本補充的周期性造成的,而不是出于銀行主動想要控制風險建立的,這說明了在我國實行資本緩沖逆周期監(jiān)管的效果將會并不理想。 第六部分是對逆周期監(jiān)管的建議。針對上一章的實證結果,提出完善資本緩沖建議,這其中一方面建議監(jiān)管機構選擇觸發(fā)資本緩沖提取和釋放的信號變量時不僅要考慮宏觀性的系統(tǒng)變量,也要考慮到銀行的個體差別,從這兩個方面建立逆周期指標。另一方面在確定調整系數(shù)時應該注意最低值和最高值的設定以及資本緩沖與變量指標之間線性關系的斜率。通過這兩方面更科學合理的安排可以使資本緩沖逆周期監(jiān)管更為科學有效。 實證顯示資本緩沖逆周期釋緩信貸順周期的效果并不理想,所以在除了加強逆周期的資本緩沖監(jiān)管的同時還應該加強杠桿率監(jiān)管和建立前瞻性的動態(tài)撥備制度來加強逆周期監(jiān)管。加強杠桿率監(jiān)管,應該特別注意杠桿率的計算,關鍵是表外資產(chǎn)的轉換,金融衍生產(chǎn)品的風險和價值計算,還要要特別注意銀行的監(jiān)管套利。’建立前瞻性的動態(tài)撥備制度,可以考慮建立變動的風險調整權重,在經(jīng)濟繁榮期加大風險權重,在經(jīng)濟衰退期降低風險權重,從而調整銀行的資本要求達到緩解信貸順周期的效果。 以上是本文研究的角度和內(nèi)容,文章的創(chuàng)新之處在于采用更完全和廣泛的樣本,同時對資本緩沖的周期性的研究更是將樣本分開,分別研究了總體樣本和只含中小銀行的小樣本,對此進行對比分析,更為深入的探討了我國銀行業(yè)資本緩沖的行為特征,本文更是對資本緩沖影響信貸這一論題進行了實證分析,探討資本緩沖逆周期監(jiān)管是否對銀行信貸的順周期產(chǎn)生釋緩效應,或者說資本緩沖在多大程度上能夠緩解銀行信貸的順周期行為,從而得出在我國資本緩沖監(jiān)管的有效性。 本文的研究是監(jiān)管理論研究的一小部分,逆周期的監(jiān)管還有很多需要研究的地方,希望本文關于逆周期資本緩沖的研究能夠對我國的監(jiān)管者提供一點借鑒意義。另外本文在很多方面也存在不足,在能得到更為全面的數(shù)據(jù)時本文對的實證模型還可以再改進,研究的角度來可以往更深入的空間挖掘,加強逆周期資本監(jiān)管的方法還可以再完善,總之文章很多地方還值得繼續(xù)探討和研究,希望后來的研究能在本文的基礎上更深入和完善。
[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.

【學位授予單位】：西南財經(jīng)大學
【學位級別】：碩士
【學位授予年份】：2013
【分類號】：F832.4;F224

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