本文關(guān)鍵詞： 資本監(jiān)管 順周期性 銀行資本緩沖 銀行信貸 宏觀審慎監(jiān)管　出處：《南開大學(xué)》2013年博士論文　論文類型：學(xué)位論文

【摘要】：全球性金融危機對銀行體系及實體經(jīng)濟的重創(chuàng),引發(fā)了各界對經(jīng)濟金融理論的反思,并帶來了金融監(jiān)管領(lǐng)域的深刻變革。金融監(jiān)管的缺失和乏力被認為是此次全球性金融危機爆發(fā)、擴散、蔓延至全球,并引起全球經(jīng)濟下滑的重要原因之一。2009年以來,許多國際組織和各國政府陸續(xù)推出了一系列研究報告和金融監(jiān)管改革方案,通過對其比較可發(fā)現(xiàn),加強宏觀審慎監(jiān)管、實現(xiàn)其與微觀審慎監(jiān)管的有機結(jié)合,已成為全球金融監(jiān)管未來的主要發(fā)展趨勢。宏觀審慎監(jiān)管這一新的監(jiān)管理念在銀行監(jiān)管領(lǐng)域集中體現(xiàn)在最新頒布的《第三版巴塞爾協(xié)議》(即Basel Ⅲ)中。巴塞爾Ⅲ提出了留存資本緩沖和逆周期資本緩沖兩項新的逆周期政策工具,試圖以監(jiān)管制度的形式促使商業(yè)銀行在經(jīng)濟上行時期計提一定的資本緩沖,以便在經(jīng)濟下滑時吸收損失之用。同時,監(jiān)管當(dāng)局希望能通過資本緩沖這一工具達到限制銀行信貸過度波動的目的,以此減緩資本監(jiān)管和銀行體系的內(nèi)在順周期性。然而,銀行資本緩沖也可能具有周期性,這會影響到銀行的周期性行為。所以,要提高我國銀行資本監(jiān)管的有效性,充分發(fā)揮逆周期監(jiān)管工具的積極作用,維護我國銀行體系的穩(wěn)健運行和經(jīng)濟金融的穩(wěn)定,必不可少的條件是要清楚地認識和理解被監(jiān)管對象的行為特征。鑒于此,本文從銀行資本緩沖這一相對新穎的視角切入,采用理論分析和實證研究相結(jié)合的方法,系統(tǒng)深入地研究了資本監(jiān)管作用下我國商業(yè)銀行周期性行為的相關(guān)問題,并結(jié)合我國實際給出了相應(yīng)的政策建議。 首先,本文基于我國87家商業(yè)銀行的年度數(shù)據(jù),對我國商業(yè)銀行資本緩沖的周期性及其經(jīng)濟效應(yīng)進行了初步的探索,實證結(jié)果發(fā)現(xiàn)：樣本期內(nèi),我國商業(yè)銀行的資本緩沖總體上不具有周期性,值得注意的是,已有針對資本緩沖周期性研究的隱含前提假設(shè)在我國并不一定成立,資本緩沖水平提高未必會導(dǎo)致銀行信貸供給的減少,而資本緩沖水平和銀行信貸供給之間的負向變動關(guān)系,是表明資本緩沖是否具有調(diào)節(jié)信貸供給能力的關(guān)鍵,這一點是已有研究能否借助于資本緩沖與經(jīng)濟周期之間相關(guān)性判定資本緩沖周期性的根本；同時,我們還發(fā)現(xiàn)我國不同類型銀行的資本緩沖具有差異化的周期性特征,特別是大型銀行的資本緩沖表現(xiàn)出明顯的逆周期性,資本緩沖與經(jīng)濟增長之間呈現(xiàn)正相關(guān)關(guān)系,而且資本緩沖與銀行信貸之間呈現(xiàn)負相關(guān),說明大型銀行的資本緩沖通過對信貸供給過度波動的約束作用,能在一定程度上緩解經(jīng)濟的周期性波動。 其次,本文采用2005年1季度-2011年4季度期間我國上市銀行的季度數(shù)據(jù),劃分不同的經(jīng)濟周期階段,進一步探究了經(jīng)濟周期對我國銀行資本緩沖行為的影響。研究發(fā)現(xiàn),在樣本期內(nèi),無論在經(jīng)濟擴張期還是經(jīng)濟衰退期,我國上市銀行的資本緩沖整體上具有逆周期性。而且,資本緩沖對經(jīng)濟周期的敏感性具有非對稱性,在經(jīng)濟衰退期,資本緩沖受經(jīng)濟波動的影響更為強烈。從周期性的驅(qū)動來源看,銀行不僅通過貸款等風(fēng)險加權(quán)資產(chǎn)的變化調(diào)整資本緩沖,資本的變化也是資本緩沖逆周期性的重要動因。分不同銀行類型的研究顯示,大型銀行的資本緩沖具有逆周期性,其主要驅(qū)動因素是資本的周期性調(diào)整,只有較弱的證據(jù)顯示大型銀行會通過主動調(diào)節(jié)貸款的方式來改變資本緩沖。而其他上市銀行的資本緩沖僅在經(jīng)濟衰退期表現(xiàn)出逆周期性,且傾向于通過貸款調(diào)節(jié)的方式來實現(xiàn)。最后,對不同資本充足水平銀行的研究發(fā)現(xiàn),資本充足水平的不同,并未導(dǎo)致上市銀行資本緩沖周期性行為的顯著差異,資本緩沖逆周期性的結(jié)論依然成立,只是資本充足水平較低的銀行不具有前瞻性,在面臨監(jiān)管壓力的情況下,其未能在經(jīng)濟擴張期增加資本緩沖,從而更可能遭受經(jīng)濟衰退的不利沖擊。 最后,巴塞爾委員會制定并頒布了《各國監(jiān)管當(dāng)局實施逆周期資本緩沖的指引》,要求各國監(jiān)管部門據(jù)此在本國開展逆周期資本緩沖的實施工作。本文根據(jù)該框架建議,實證考察了逆周期資本緩沖政策在我國銀行業(yè)應(yīng)用的相關(guān)問題。研究認為,在我國,信貸/GDP比率是能夠較好地用作經(jīng)濟上行期判斷信貸過快增長和系統(tǒng)性風(fēng)險積累的指標(biāo),通常情況下作為我國銀行業(yè)實施逆周期資本緩沖計提的參考基準(zhǔn)具有一定的可靠性,但是仍需注意該指標(biāo)有時可能會存在產(chǎn)生誤導(dǎo)信號風(fēng)險的問題。因此,我們建議我國銀行監(jiān)管當(dāng)局對此須保持警惕,在主要參考該指標(biāo)的同時,應(yīng)對經(jīng)濟金融的運行狀況和銀行體系的信貸波動作進一步的判斷分析,適時地將自我判斷和該參考基準(zhǔn)相結(jié)合,以便更加準(zhǔn)確地做出逆周期資本緩沖的決策。
[Abstract]:Hit the global financial crisis on the banking system and the real economy, triggered a reflection of economic and financial theory, and has brought profound changes to the field of financial supervision and financial supervision. The lack of fatigue is considered to be the outbreak of the global financial crisis, spread, spread to the world, and has been one of the important reasons of.2009 caused by the global economic downturn for years, many international organizations and governments have launched a series of research reports and financial regulatory reform, through the comparison of the findings, strengthen macro prudential supervision, and realize the organic combination of micro prudential supervision, has become the main development trend of global financial regulation in the future. The macro prudential supervision of this new regulatory philosophy focus reflected in the promulgation of the new "third edition of the Basel accord" in the field of banking supervision (Basel III). Basel III proposed retained capital buffer and inverse Cyclical capital two new countercyclical policy tools, trying to urge the supervision system of commercial banks to form the provision of certain capital buffers in a rising economy, in order to absorb losses in the economic downturn. At the same time, the regulatory authorities hope that through capital buffers this tool to limit excessive credit fluctuations, the inherent procyclicality of capital regulation and the banking system in order to slow down. However, bank capital buffers may also have periodic, periodic behavior which will affect the bank. Therefore, to improve China's banking capital regulation is effective, give full play to the positive role of inverse cycle regulatory tools, maintenance of the banking system in China the stable operation and economic and financial stability, the conditions necessary to have a clear knowledge and understanding of the regulated behavior characteristics of the object. In view of this, this article from the bank capital buffer this is a relatively new From the perspective of Ying, we have systematically studied the related issues of China's commercial banks' cyclical behavior under the effect of capital regulation through the combination of theoretical analysis and empirical research, and put forward corresponding policy recommendations combined with the reality of our country.
First of all, the annual data of 87 commercial banks in China based on, has carried on the preliminary exploration period our country commercial bank capital buffer and its economic effects, the empirical results show that: the sample period, the overall capital buffers of commercial banks in China is not cyclical, it is worth noting that the existing Research on capital buffer periodic implicit premise assumption is not necessarily established in our country, to improve the level of capital buffers would not necessarily lead to reduced supply of bank credit, and between capital buffer level and bank credit supply negative relationship is that capital buffers is the key regulation of credit supply capacity, the existing research can based on the correlation between the capital buffer and the economic cycle to determine fundamental capital buffers periodically; at the same time, we also found that in different types of bank capital buffers have the difference The periodic characteristics, especially large bank capital buffers showed inverse obvious periodicity, there is a positive correlation between capital buffer and economic growth, but also between capital buffer and bank credit showed a negative correlation, indicating large bank capital buffers through to restrain excessive volatility of credit supply, can ease the cyclical fluctuations the economy in a certain extent.
Secondly, the 1 quarter of 2005 -2011 during the 4 quarter of China's listed banks quarterly data, divided into different stages of the economic cycle, to further explore the impact of economic cycle on the capital buffer behavior of the banks in China. The study found that in the sample period, both in the period of economic expansion or recession in the whole China listed bank capital buffers with countercyclical capital buffer. Moreover, sensitivity of the economic cycle is asymmetrical, during the period of economic recession, the impact of capital buffer is more strongly affected by economic fluctuations. From the driving source of cyclical, not only through the change of bank loan risk weighted assets adjusted capital buffers of capital change is an important reason of periodic reverse capital buffers. Different types of banks research shows that large bank capital buffer is counter cyclical, the main driving factor is the capital of the week During the period of adjustment, only weak evidence that large banks will take the initiative to adjust the loan through the way to change the capital buffer. While the other listed banks capital buffers only in the period of economic recession showed a reverse cycle, and the tendency to that achieved by adjustment of loan way. Finally, the research findings of different level of capital adequacy of banks. The different level of capital adequacy, did not lead to significant differences of listed bank capital buffers cyclical behavior, counter cyclical capital buffers the conclusion is still valid, but the capital adequacy level lower bank not forward-looking, in the face of regulatory pressure, it failed to increase capital buffers in the period of economic expansion, the adverse impact and are more likely to suffer a recession.
Finally, the Basel Committee has formulated and promulgated the "national regulatory authorities to implement countercyclical capital buffer guidelines, requirements of national regulatory authorities carried out the implementation of countercyclical capital buffer in the country. According to the framework suggested that empirical study of counter cyclical capital policy related problems in the application of China's banking industry. The research results indicate that the and in China, the credit ratio of /GDP is better for the economy upward judgment index of credit growth and the accumulation of systemic risk, usually as the implementation of China's banking industry reference counter cyclical capital provision has a certain reliability, but still need to pay attention to the index sometimes there may be misleading the risk of the signal. Therefore, we suggest that China's banking regulatory authorities have to be vigilant in the main reference index at the same time, dealing with the economic financial operation line A further judgement and analysis of the credit wave action of the banking system and the timely combination of self judgement and the reference standard will help to make the decision of the countercyclical capital buffer more accurately.

【學(xué)位授予單位】：南開大學(xué)
【學(xué)位級別】：博士
【學(xué)位授予年份】：2013
【分類號】：F832.33

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