我國銀行業(yè)逆周期監(jiān)管政策研究
發(fā)布時間：2018-10-23 21:03
【摘要】：本次金融危機過后,國際金融監(jiān)管機構和各國監(jiān)管當局開始反思傳統銀行業(yè)監(jiān)管的缺陷與不足,并達成共識,認為商業(yè)銀行順周期性是導致金融危機的重要原因,加強宏觀審慎監(jiān)管框架下的銀行業(yè)逆周期政策研究勢在必行。本文通過分析傳統監(jiān)管政策下我國商業(yè)銀行的順周期效應,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外學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)管相關的理論,從而為研究工作奠定了理論基礎。然后,運用大量實證數據和模型對我國商業(yè)銀行的順周期性進行分析,并得出結論：內部評級法、資本充足率監(jiān)管和公允價值會計準則都會給我國商業(yè)銀行帶來順周期性。在實證分析的基礎上,本文詳細論述了我國銀行逆周期監(jiān)管的現狀與問題,認為目前我國逆周期監(jiān)管政策還有待完善。緊接著本文又總結歸納了國內外監(jiān)管當局在逆周期監(jiān)管領域的實踐經驗,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、杠桿率和貸款成數比率。最后,在前文分析的基礎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、會計準則和比率指標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)銀行內部評級法的順周期性；第二,發(fā)現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.
【學位授予單位】：天津財經大學
【學位級別】：碩士
【學位授予年份】：2013
【分類號】：F832.3
本文編號：2290455
[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.
【學位授予單位】：天津財經大學
【學位級別】：碩士
【學位授予年份】：2013
【分類號】：F832.3
【參考文獻】
相關期刊論文 前10條
1 唐梅;林友緒;;后危機時代公允價值會計順周期效應研究:中國的經驗數據[J];財會通訊;2011年33期
2 韓俊華;;金融危機中的順周期效應并非公允價值計量所致[J];財會月刊;2011年05期
3 鹿波;;中國上市公司違約率的順周期效應實證研究——評估巴塞爾協議Ⅱ順周期效應的初步嘗試[J];金融論壇;2009年03期
4 徐明東;陳學彬;;動態(tài)撥備模式的國際比較與中國模式探討[J];復旦學報(社會科學版);2012年01期
5 晏艷陽;張貞貞;;我國上市公司違約率的順周期效應分析[J];南方金融;2011年04期
6 羅平;;資本監(jiān)管制度的順周期性及其補救方法[J];國際金融研究;2009年06期
7 鐘偉;謝婷;;巴塞爾協議Ⅲ的新近進展及其影響初探[J];國際金融研究;2011年03期
8 方芳;劉鵬;;中國金融順周期效應的經濟學分析[J];國際貿易問題;2010年08期
9 高國華;潘英麗;;我國商業(yè)銀行資本充足率順周期效應研究[J];經濟與管理研究;2010年12期
10 李文泓;;關于宏觀審慎監(jiān)管框架下逆周期政策的探討[J];金融研究;2009年07期
，本文編號：2290455
本文鏈接：http://sikaile.net/guanlilunwen/bankxd/2290455.html
