本文關(guān)鍵詞： 商業(yè)銀行 杠桿率 順周期性　出處：《江西財經(jīng)大學(xué)》2015年碩士論文　論文類型：學(xué)位論文

【摘要】：2008年,國際金融危機全面爆發(fā)。在危機之前,歐美國家的主要商業(yè)銀行都保持著較高的資本充足率,但并沒有因此而逃脫金融危機的沖擊,損失嚴(yán)重。在危機中乃至危機后,絕大多數(shù)金融機構(gòu)采取了去杠桿化策略,即提高資本在總資產(chǎn)中的比例,以降低風(fēng)險。同時,國際社會對當(dāng)時的資本監(jiān)管制度進(jìn)行了深刻的反思,得出衡量并監(jiān)督商業(yè)銀行的系統(tǒng)性風(fēng)險僅靠資本充足率指標(biāo)是不完全的這一結(jié)論。因此,在2010年12月,巴塞爾委員會頒布了第三版巴塞爾協(xié)議(BaselⅢ),該協(xié)議首次提出了杠桿率指標(biāo),并明確了杠桿率指標(biāo)在《巴塞爾協(xié)議Ⅲ》的資本監(jiān)管體系中的重要地位。杠桿率的提出在一定程度上彌補了資本充足率在資本監(jiān)管方面存在的不足。中國銀監(jiān)會依據(jù)《巴塞爾協(xié)議Ⅲ》的相關(guān)內(nèi)容,借鑒國外實施杠桿率監(jiān)管國家的實踐經(jīng)驗,并結(jié)合我國銀行業(yè)發(fā)展的實際情況,于2011年6月,頒布了《商業(yè)銀行杠桿率管理辦法》。該辦法闡述了我國銀行業(yè)的杠桿率監(jiān)管體系,并對杠桿率的計算與監(jiān)管原則進(jìn)行了說明。所以,杠桿率在資本監(jiān)管中的地位不容忽視。因此,對我國商業(yè)銀行杠桿率進(jìn)行相關(guān)研究是非常有必要且有重大意義的。本文將對我國商業(yè)銀行杠桿率的順周期性進(jìn)行實證研究。國外有關(guān)銀行杠桿率是否為順周期的文獻(xiàn)多為實證研究,并且主要以加拿大、土耳其、美國等國家的金融機構(gòu)為研究對象。銀行的杠桿率具有順周期性這一結(jié)論是這些文獻(xiàn)的普遍觀點。另外,還有不少文獻(xiàn)得出了不同類型的銀行,其杠桿率的順周期性存在差異這一結(jié)論。而國內(nèi)對杠桿率是否為順周期的研究非常少,我國對杠桿率的研究主要集中于杠桿率監(jiān)管對我國銀行業(yè)的影響,有關(guān)杠桿率的順周期性的實證研究很少。因此,很有必要從實證的角度來詳細(xì)分析該問題。首先,本文對相關(guān)概念進(jìn)行了簡要的闡述,并從資產(chǎn)負(fù)債表入手分析了銀行杠桿率順周期性的形成機制。其次,本文回顧了我國資本監(jiān)管的歷程,剖析了我國銀行杠桿率的現(xiàn)狀,并分析了我國銀行杠桿率增長率與GDP增長率以及出口總額增長率之間的關(guān)系,分析結(jié)果顯示我國商業(yè)銀行杠桿率具有順周期性的特點。然后,本文以我國1999—2013年151家商業(yè)銀行年度數(shù)據(jù)為樣本,采用面板數(shù)據(jù)方法檢驗了我國商業(yè)銀行杠桿率是否具有順周期性。實證結(jié)果表明,我國商業(yè)銀行的杠桿率具有順周期性特征。銀行在同業(yè)拆借市場上的地位不同,其杠桿率的順周期性表現(xiàn)也不同。非上市銀行的順周期性表現(xiàn)不如上市銀行明顯。大型商業(yè)銀行杠桿率的順周期性表現(xiàn)最強,城市商業(yè)銀行次之,農(nóng)村商業(yè)銀行最弱。在2008年金融危機之后,我國商業(yè)銀行杠桿率的順周期性表現(xiàn)較危機之前更為明顯。最后,本文從銀行自身、監(jiān)管當(dāng)局以及貨幣政策三個角度提出緩解杠桿率順周期性的對策。為能更好地運用杠桿率這一指標(biāo),銀行與監(jiān)管部門有必要繼續(xù)關(guān)注并深入研究杠桿率。為應(yīng)對杠桿率的順周期性,銀行自身應(yīng)該構(gòu)建逆周期機制。同時,監(jiān)管部門應(yīng)該出臺相關(guān)政策,在一定程度上彌補銀行自身機制的不足,更要在一定程度上限制銀行的冒險行為,最終減少順周期性對整個經(jīng)濟的不良影響。在我國,制定、實施杠桿率的相關(guān)監(jiān)管政策應(yīng)該以中國銀行業(yè)的特征為基本點,即采用符合中國銀行業(yè)行情的監(jiān)管手段與標(biāo)準(zhǔn)。由于我國不同類型銀行的杠桿率的順周期性存在不小的差異,所以針對不同類型的銀行,建議實施差異化的標(biāo)準(zhǔn)。
[Abstract]:In 2008, the outbreak of the international financial crisis. Before the crisis, the major commercial banks in Europe and the United States have maintained a higher capital adequacy ratio, but it did not escape the impact of the financial crisis, serious losses. In the crisis and after the crisis, the vast majority of financial institutions take the deleveraging strategy is to increase the proportion of capital in the in the total assets, in order to reduce the risk. At the same time, the international community had a profound reflection on the capital supervision system, and the supervision of the commercial bank system risk on capital adequacy ratio index of this conclusion is incomplete. Therefore, in December 2010, the Basel Committee issued the third edition of the Basel protocol (Basel III this protocol is proposed for the first time), the leverage ratio, and the important position of the leverage ratio in < Basel 3 > the capital supervision system. Leverage provided in a certain range Make up for deficiencies in the capital regulation on the capital adequacy ratio. Chinese CBRC according to relevant content of < Basel 3 >, from the implementation of national supervision leveraged foreign experience, combined with the actual situation, the development of China's banking industry in June 2011, promulgated the "leverage ratio of commercial banks. The management measures describes the way the leverage ratio of Chinese banking supervision system, and the calculation and supervision principle of leverage are described. Therefore, the leverage ratio in the capital supervision status can not be ignored. Therefore, to our country commercial bank leverage in the related research is very necessary and has great significance. This paper will the empirical Research on China's commercial banks leverage procyclicality. Foreign bank leverage is procyclical for empirical research and literature, mainly in Canada, Turkey, the United States and other countries. Financial institutions as the research object. The bank's leverage along with this conclusion periodic view of the literature. In addition, there are a lot of literatures show different types of banks, this conclusion leverage procyclical differences. While in China, the leverage ratio is very little research period. China's study on leverage mainly focused on the leverage effect of supervision on China's banking industry, the leverage ratio along the few empirical studies periodic. Therefore, it is necessary from the perspective of empirical analysis with the problem. Firstly, the relevant concepts are discussed, and from the assets the balance sheet of bank leverage along the formation mechanism of periodic. Secondly, this paper reviews the history of China's capital regulation, analyzes the present situation of our bank leverage, and analyzed our country bank leverage growth rate and GDP growth The rate of growth in total exports and the relationship between the rate of analysis, the results show that China's leverage ratio of commercial banks has pro cyclical characteristics. Then, based on China's 1999 2013 151 commercial banks annual data, using the panel data model to test our commercial bank leverage rate is procyclical empirical. The results show that China's commercial banks leverage procyclical characteristics. Different position of banks in the interbank market, its leverage procyclicality was also different. Non listed bank procyclicality as the performance of listed banks significantly. Large commercial banks leverage procyclicality strongest performance, commercial city bank, rural commercial bank is the weakest. In the wake of the 2008 financial crisis, the pro cyclical performance than before the crisis is more obvious in the leverage ratio of commercial banks in our country. Finally, this article from the bank itself, supervision Three aspects of monetary policy authorities and proposed to alleviate the leverage suggestions periodically. In order to use the index of leverage ratio better, banks and regulators need to pay attention and in-depth study of the leverage ratio. To cope with the leverage of procylicality, banks should establish a counter cyclical mechanism. At the same time, regulators should the introduction of relevant policies, to make up the lack of the bank's own mechanism to a certain extent, but also to limit the bank to a certain extent of risk-taking behavior, ultimately reducing harmful effects to the whole economic cycle. In the development of our country, the implementation of the relevant regulatory policy, leverage should be based on characteristics of China banking industry as the basic point, by means of supervision and standard Chinese banking market. Because of our different types of bank leverage along vary periodically, so for different types of banks, suggestion The standard of dissimilation.

【學(xué)位授予單位】：江西財經(jīng)大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2015
【分類號】：F832.33

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本文編號：1540856