【摘要】：本次金融危機(jī)過后,國際金融監(jiān)管機(jī)構(gòu)和各國監(jiān)管當(dāng)局開始反思傳統(tǒng)銀行業(yè)監(jiān)管的缺陷與不足,并達(dá)成共識,認(rèn)為商業(yè)銀行順周期性是導(dǎo)致金融危機(jī)的重要原因,加強(qiáng)宏觀審慎監(jiān)管框架下的銀行業(yè)逆周期政策研究勢在必行。本文通過分析傳統(tǒng)監(jiān)管政策下我國商業(yè)銀行的順周期效應(yīng),找到我國銀行業(yè)逆周期監(jiān)管存在的問題,最后提出完善我國銀行業(yè)逆周期監(jiān)管框架的政策建議,這也是本文的研究目的。本文首先介紹了國內(nèi)外學(xué)者在銀行順周期性和銀行逆周期監(jiān)管政策方面的研究成果以及與金融逆周期監(jiān)管相關(guān)的理論,從而為研究工作奠定了理論基礎(chǔ)。然后,運用大量實證數(shù)據(jù)和模型對我國商業(yè)銀行的順周期性進(jìn)行分析,并得出結(jié)論：內(nèi)部評級法、資本充足率監(jiān)管和公允價值會計準(zhǔn)則都會給我國商業(yè)銀行帶來順周期性。在實證分析的基礎(chǔ)上,本文詳細(xì)論述了我國銀行逆周期監(jiān)管的現(xiàn)狀與問題,認(rèn)為目前我國逆周期監(jiān)管政策還有待完善。緊接著本文又總結(jié)歸納了國內(nèi)外監(jiān)管當(dāng)局在逆周期監(jiān)管領(lǐng)域的實踐經(jīng)驗,包括：動態(tài)撥備制度、逆周期資本緩沖、商業(yè)銀行壓力測試、杠桿率和貸款成數(shù)比率。最后,在前文分析的基礎(chǔ)上提出完善我國銀行業(yè)逆周期監(jiān)管框架的政策建議,之后分別從資本監(jiān)管、會計準(zhǔn)則和比率指標(biāo)方面分別提出逆周期監(jiān)管建議。本文的創(chuàng)新之處主要有三個方面：第一,使用KMV模型分階段地考察我國商業(yè)銀行內(nèi)部評級法的順周期性；第二,發(fā)現(xiàn)平滑因子入可能影響逆周期資本緩沖的作用效果,并確定適合中國的平滑因子取值；第三,提出完善我國銀行業(yè)逆周期監(jiān)管框架的政策建議。
[Abstract]:After the current financial crisis, international financial regulators and national regulatory authorities began to reflect on the shortcomings and deficiencies of traditional banking supervision, and reached a consensus that the pro-cyclical nature of commercial banks was an important cause of the financial crisis. It is imperative to strengthen the research of banking countercyclical policy under the framework of macro-prudential supervision. By analyzing the procyclical effect of Chinese commercial banks under the traditional supervision policy, this paper finds out the problems existing in the countercyclical supervision of China's banking industry, and finally puts forward some policy suggestions on how to perfect the framework of countercyclical supervision in China's banking industry. This is also the purpose of this paper. This paper first introduces the research results of banks' pro-cyclical and countercyclical supervision policies and the theories related to financial countercyclical supervision, which lays a theoretical foundation for the research work. Then, using a large number of empirical data and models to analyze the pro-periodicity of commercial banks in China, and draw a conclusion: internal rating method, capital adequacy regulation and fair value accounting standards will bring pro-cyclical to our commercial banks. On the basis of empirical analysis, this paper discusses in detail the current situation and problems of countercyclical supervision of banks in China, and thinks that the policy of countercyclical supervision in China needs to be improved. Then this paper summarizes the practical experience of domestic and foreign regulatory authorities in the field of countercyclical supervision, including: dynamic reserve system, countercyclical capital buffer, commercial bank stress testing, leverage ratio and loan ratio. Finally, on the basis of the above analysis, the author puts forward some policy suggestions to perfect the countercyclical supervision framework of China's banking industry, and then puts forward the counter-cyclical supervision suggestions from the aspects of capital supervision, accounting standards and ratio index respectively. The innovations of this paper are as follows: first, using the KMV model to investigate the procyclicality of the internal rating method of commercial banks in China in stages; secondly, finding that smooth factor entry may affect the effect of countercyclical capital buffering. And determine the value of the smoothing factor suitable for China. Third, put forward the policy recommendations to improve the countercyclical regulatory framework of China's banking industry.
【學(xué)位授予單位】：天津財經(jīng)大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2013
【分類號】：F832.3

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