本文關(guān)鍵詞： 巴塞爾協(xié)議Ⅲ 杠桿率監(jiān)管 資本充足率 不良貸款率 逆向選擇　出處：《東北財經(jīng)大學(xué)》2013年碩士論文　論文類型：學(xué)位論文

【摘要】：在銀行業(yè)發(fā)展早期,杠桿率指標(biāo)就被廣泛作為微觀監(jiān)管工具。直到1988年,巴塞爾銀行監(jiān)管委員會通過了《巴塞爾協(xié)議Ⅰ》,資本充足率監(jiān)管才取代杠桿率監(jiān)管,進而成為國際銀行業(yè)監(jiān)管的主要指標(biāo)。隨著《巴塞爾協(xié)議Ⅱ》的出臺,復(fù)雜的風(fēng)險權(quán)重模型取代了《巴塞爾協(xié)議Ⅰ》中相對簡單的風(fēng)險權(quán)重法。2008年次貸危機的爆發(fā)引發(fā)了對《巴塞爾協(xié)議Ⅱ》下的監(jiān)管框架有效性的討論,國際社會普遍認為需要加強對銀行風(fēng)險的監(jiān)管。2009年12月,巴塞爾銀行監(jiān)管委員會正式通過了《巴塞爾協(xié)議》,將杠桿率指標(biāo)作為資本充足率指標(biāo)的補充,并規(guī)定了3%的杠桿率標(biāo)準(zhǔn)。我國銀監(jiān)會及時跟進《巴塞爾協(xié)議Ⅲ》,于2011年6月通過了《商業(yè)銀行杠桿率管理辦法》,規(guī)定了杠桿率的計算方法和4%的達標(biāo)值等一系列具體問題。 杠桿率指標(biāo)是否能夠有效地控制銀行的風(fēng)險行為和資產(chǎn)質(zhì)量?杠桿率監(jiān)管在我國的適用性如何?銀監(jiān)會新推出的杠桿率新規(guī)是否符合我國銀行業(yè)當(dāng)前的發(fā)展水平及未來發(fā)展方向?本文試圖回答這些問題。本文通過引入銀行風(fēng)險理論模型,分析了商業(yè)銀行在分別面臨資本充足率約束、杠桿率約束以及同時面對兩種約束時的不同風(fēng)險行為,得出的結(jié)論是：當(dāng)商業(yè)銀行面臨雙重約束時,資產(chǎn)質(zhì)量較高的銀行受到杠桿率的約束更嚴格；而資產(chǎn)質(zhì)量較差的銀行,主要受到資本充足率的約束,杠桿率對其約束作用有限。這種完全不考慮銀行資產(chǎn)質(zhì)量的杠桿率監(jiān)管,只是限制了擁有優(yōu)質(zhì)資產(chǎn)的低風(fēng)險銀行的資本回報率,迫使低風(fēng)險銀行擴大自己的風(fēng)險資產(chǎn),以高風(fēng)險換取高收益,才能在市場上與其他銀行競爭。這與監(jiān)管機構(gòu)希望降低銀行風(fēng)險的監(jiān)管愿望是不符合的。 在理論分析的基礎(chǔ)上,本文根據(jù)《商業(yè)銀行杠桿率管理辦法》的規(guī)定測算了我國上市銀行的杠桿率數(shù)據(jù),分析了商業(yè)銀行的杠桿率達標(biāo)情況。數(shù)據(jù)顯示,我國大中型商業(yè)銀行短期內(nèi)不存在杠桿率達標(biāo)壓力,部分中小型銀行達標(biāo)壓力較大。但結(jié)合我國商業(yè)銀行業(yè)務(wù)發(fā)展模式來看,銀行業(yè)將面臨長期的資本補充壓力,不利于表外業(yè)務(wù)和衍生品創(chuàng)新業(yè)務(wù)的開展。接著,本文通過驗證上市銀行的杠桿率和不良貸款率的關(guān)系,發(fā)現(xiàn)理論分析的結(jié)論在中國銀行業(yè)是基本成立的。杠桿率監(jiān)管內(nèi)在的不公平性會加劇我國銀行業(yè)的不公平競爭,并可能導(dǎo)致資本市場的逆向選擇。接著,本文從傳統(tǒng)存貸款業(yè)務(wù)、表外業(yè)務(wù)及衍生品業(yè)務(wù)三個方面,分別分析了杠桿率監(jiān)管對我國商業(yè)銀行業(yè)務(wù)經(jīng)營的影響。 最后,本文就杠桿率監(jiān)管分別對監(jiān)管當(dāng)局和監(jiān)管對象提出了相應(yīng)的建議。
[Abstract]:In the early days of banking, leverage was widely used as a microregulatory tool. It was not until 1988, when the Basel Committee on Banking Supervision adopted Basel I, that capital adequacy regulation replaced leverage regulation. Then became the main index of international banking supervision. With the introduction of Basel II, The complex risk weighting model replaces the relatively simple risk weighting method in Basel I. The outbreak of the subprime mortgage crisis in 2008 led to a discussion on the effectiveness of the regulatory framework under Basel II. In December 2009, the Basel Committee on Banking Supervision formally adopted the Basel Accord, which uses the leverage ratio index as a complement to the capital adequacy index. In June 2011, the CBRC adopted the measures for the Management of the leverage ratio of Commercial Banks, which stipulated a series of specific problems, such as the calculation method of the leverage ratio and the standard value of 4%. Can leverage ratio indicators effectively control banks' risk behaviour and asset quality? What is the applicability of leverage regulation in China? Does the new leverage ratio regulation of CBRC accord with the current development level and future development direction of China's banking industry? This paper attempts to answer these questions. By introducing the bank risk theory model, this paper analyzes the different risk behaviors of commercial banks under the constraints of capital adequacy ratio, leverage ratio and two constraints at the same time. The conclusion is that when commercial banks face double constraints, banks with higher asset quality are more constrained by leverage ratio, while banks with poor asset quality are mainly constrained by capital adequacy ratio. Leverage is limited. This leverage regulation, which does not take into account the quality of bank assets at all, limits the return on capital of low-risk banks with good assets and forces low-risk banks to expand their risky assets. In order to compete with other banks in the market by bartering high risks for high returns, this is inconsistent with the regulatory desire of regulators to reduce bank risk. On the basis of theoretical analysis, this paper calculates the leverage ratio data of the listed banks in China according to the regulations of "measures for the Management of the leverage ratio of Commercial Banks", and analyzes the situation of the leverage ratio of commercial banks meeting the standards. The data show that the leverage ratio of the commercial banks is up to standard. Large and medium-sized commercial banks in China do not have the pressure to meet the standards of leverage in the short term, but some small and medium-sized banks are under greater pressure to meet the standards. However, in the light of the business development model of commercial banks in China, the banking industry will face long-term pressure on capital replenishment. It is not conducive to the development of off-balance-sheet business and derivatives innovation business. Then, this paper verifies the relationship between leverage ratio and non-performing loan ratio of listed banks. It is found that the conclusion of theoretical analysis is basic in China's banking industry. The inherent unfairness of leverage ratio supervision will aggravate the unfair competition of Chinese banking industry and may lead to adverse selection of capital market. This paper analyzes the influence of leverage ratio supervision on Chinese commercial bank business from three aspects: traditional deposit and loan business, off-balance sheet business and derivatives business. Finally, this paper puts forward the corresponding suggestions to the regulatory authority and the regulatory object on the leverage ratio supervision.
【學(xué)位授予單位】：東北財經(jīng)大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2013
【分類號】：F832.33

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