本文選題：信貸風(fēng)險　切入點：監(jiān)管約束　出處：《金融研究》2011年05期 　論文類型：期刊論文

【摘要】：在我國新資本協(xié)議即將付諸實施的背景下,本文研究了銀行資本、銀行信貸與宏觀經(jīng)濟波動三者之間的關(guān)系,重點在C-C模型的基礎(chǔ)上進行了三個方面的拓展:一是加入存貸比約束,二是考慮銀行信貸存在信用風(fēng)險,三是考慮風(fēng)險權(quán)重的可變性。基于這個新的理論框架,我們不僅對比分析了Basel I和BaselⅡ之下,資本松約束和資本緊約束兩種情形時宏觀經(jīng)濟波動對銀行最優(yōu)行為造成的沖擊,同時也研究了銀行資本的順周期性問題,并特別指出:在BaselⅠ之下,信貸風(fēng)險和存貸比約束具有雙重強化銀行信貸和銀行資本順周期性的特征;而在BaselⅡ之下,可變的風(fēng)險權(quán)重則在一定程度上弱化資本監(jiān)管的順周期性。
[Abstract]:In the context of the implementation of the new capital agreement in China, this paper studies the relationship among bank capital, bank credit and macroeconomic fluctuations. On the basis of the C-C model, three aspects are developed: one is to add the deposit-loan ratio constraint, the other is to consider the credit risk in the bank credit, and the third is to consider the variability of the risk weight. We not only compare and analyze the impact of macroeconomic fluctuation on the optimal behavior of banks under Basel I and Basel II, capital loosening constraints and capital tight constraints, but also study the pro-cyclical problem of bank capital. In particular, it is pointed out that under Basel I, the constraints of credit risk and deposit / loan ratio have the characteristics of double strengthening bank credit and bank capital procyclicality, while under Basel 鈪，

本文編號：1597989