【摘要】：2008年美國(guó)次貸危機(jī)不僅引發(fā)數(shù)量眾多的金融機(jī)構(gòu)破產(chǎn)倒閉,而且進(jìn)一步蔓延到實(shí)體經(jīng)濟(jì),不但美國(guó)、歐洲、日本等發(fā)達(dá)經(jīng)濟(jì)體出現(xiàn)較為嚴(yán)重的經(jīng)濟(jì)金融危機(jī),中國(guó)等新興市場(chǎng)國(guó)家也因此受到?jīng)_擊,全球經(jīng)濟(jì)出現(xiàn)大幅衰退,時(shí)至今日仍然走在緩慢復(fù)蘇的軌道上。原有的金融監(jiān)管模式特別是以巴塞爾協(xié)議Ⅱ?yàn)榛A(chǔ)建立的商業(yè)銀行監(jiān)管框架受到巨大質(zhì)疑。關(guān)于次貸危機(jī)發(fā)生的原因,學(xué)術(shù)界和各政府組織還未達(dá)成一致意見,但是相關(guān)研究均顯示,金融機(jī)構(gòu)和金融系統(tǒng)的順周期性、對(duì)于系統(tǒng)性風(fēng)險(xiǎn)的認(rèn)識(shí)和控制不足與危機(jī)的爆發(fā)密不可分,原有基于微觀審慎的監(jiān)管框架既無法克服順周期性,也無力降低金融體系的系統(tǒng)性風(fēng)險(xiǎn)。在原有的微觀審慎管理原則下,商業(yè)銀行具有很強(qiáng)的順周期性,這種順周期性一方面體現(xiàn)在現(xiàn)有的監(jiān)管框架下,作為商業(yè)銀行經(jīng)營(yíng)管理和金融監(jiān)管核心的緩沖資本(資本充足率)與經(jīng)濟(jì)增長(zhǎng)之間具有高度的相關(guān)性,導(dǎo)致基于微觀審慎建立的監(jiān)管框架失靈,商業(yè)銀行的緩沖資本未能實(shí)現(xiàn)確保商業(yè)銀行穩(wěn)健運(yùn)營(yíng)的作用；另一方面,信貸投放、資產(chǎn)質(zhì)量、流動(dòng)性狀況等反映商業(yè)銀行經(jīng)營(yíng)行為的指標(biāo)也呈現(xiàn)出明顯的順周期性,從而加劇了經(jīng)濟(jì)的周期性波動(dòng),對(duì)實(shí)體經(jīng)濟(jì)帶來了更大的沖擊,并加劇金融部門的不穩(wěn)定性。因此需要科學(xué)評(píng)估判斷商業(yè)銀行的順周期性特征,建立基于宏觀審慎管理的逆周期的監(jiān)管框架以削弱并盡力消除金融機(jī)構(gòu)的順周期性,防范和化解系統(tǒng)性金融風(fēng)險(xiǎn),減弱商業(yè)銀行經(jīng)營(yíng)對(duì)經(jīng)濟(jì)周期的正反饋效應(yīng)。本文通過對(duì)宏觀審慎和金融機(jī)構(gòu)順周期性的理論研究,厘清了宏觀審慎概念的演變,并進(jìn)一步研究了順周期性的概念、內(nèi)涵與表現(xiàn)。為研究我國(guó)商業(yè)銀行的順周期性特點(diǎn),本文以我國(guó)16家上市商業(yè)銀行2004年-2014年的資本充足率凈資本收益率、不良貸款率等季度數(shù)據(jù)為基礎(chǔ),對(duì)商業(yè)銀行的緩沖資本和經(jīng)營(yíng)行為等進(jìn)行了實(shí)證分析,通過相關(guān)經(jīng)濟(jì)理論構(gòu)建分析模型,運(yùn)用廣義矩估計(jì)方法(GMM)動(dòng)態(tài)面板數(shù)據(jù)方法,分析我國(guó)商業(yè)銀行在既有監(jiān)管框架下的緩沖資本與經(jīng)濟(jì)周期的關(guān)聯(lián)性。同時(shí),運(yùn)用Jonhanson協(xié)整檢驗(yàn)和向量誤差修正(Vector Error Correction)模型,研究2004年-2014年間我國(guó)商業(yè)銀行信貸投放、資產(chǎn)質(zhì)量和流動(dòng)性狀況與經(jīng)濟(jì)周期之間的長(zhǎng)期關(guān)系。研究結(jié)果顯示,無論是緩沖資本,還是信貸投放、資產(chǎn)質(zhì)量、流動(dòng)性等經(jīng)營(yíng)指標(biāo),我國(guó)商業(yè)銀行在既有監(jiān)管框架下均呈現(xiàn)出明顯的順周期性。而且以季度數(shù)據(jù)分析得出的商業(yè)銀行短期內(nèi)的順周期性行為,與已有學(xué)者使用年度數(shù)據(jù)分析得出的結(jié)論呈現(xiàn)一定的差異。對(duì)商業(yè)銀行緩沖資本和經(jīng)營(yíng)活動(dòng)的全方位實(shí)證分析,可以確保得到互為驗(yàn)證的可靠實(shí)證結(jié)論,而使用數(shù)據(jù)周期較長(zhǎng)的季度數(shù)據(jù),使得樣本容量遠(yuǎn)大于以年度數(shù)據(jù)為樣本的實(shí)證分析,進(jìn)一步保證了數(shù)據(jù)結(jié)果的有效性。在實(shí)證研究的基礎(chǔ)上,本文提出了基于宏觀審慎的逆周期監(jiān)管政策措施,力求進(jìn)一步完善我國(guó)已經(jīng)初步探索建立的宏觀審慎政策框架。
[Abstract]:In 2008, the American subprime crisis not only led to the bankruptcy and bankruptcy of a large number of financial institutions, but also further spread to the real economy. Not only the developed economies such as the United States, Europe, Japan and other developed economies had a serious economic and financial crisis, but the emerging market countries such as China and other emerging markets had been punching, and the global economy had a substantial recession. On a slow recovery track, the existing financial regulatory model, especially the commercial bank regulatory framework based on Basel II, has been greatly questioned. The reasons for the subprime crisis have not yet been agreed by academics and government organizations, but the relevant studies show the CIS cycle of financial institutions and financial systems. The lack of understanding and control of systemic risk is inseparable from the outbreak of the crisis. The original micro prudential regulatory framework can not overcome the cyclicity and the systemic risk of the financial system. Under the original micro Prudential management principle, the commercial bank has a strong CIS cyclical nature, this kind of cyclical side. Under the existing regulatory framework, the buffer capital (capital adequacy ratio), which is the core of commercial bank management and financial supervision, has a high correlation with economic growth, which leads to the failure of the regulatory framework based on micro prudence, and the buffer capital of commercial banks can not achieve the role of ensuring the steady operation of commercial banks. On the other hand, the indicators that reflect the business behavior of commercial banks, such as credit delivery, asset quality and liquidity condition, also show a clear cyclical nature, which aggravates the cyclical fluctuation of the economy, has a greater impact on the real economy and aggravates the instability of the financial sector. Therefore, scientific evaluation and judgment of the CIS week of commercial banks is needed. The regulatory framework of the reverse cycle based on macro Prudential Management is established to weaken and eliminate the cyclical nature of financial institutions, to prevent and dissolve systemic financial risks and to weaken the positive feedback effect of commercial banks' operation on the economic cycle. This paper makes a clear study of macro prudence and the theory of the CIS cycle of financial institutions. In order to study the cyclical characteristics of the commercial banks in China, this paper, based on the quarterly data of the net capital yield of capital adequacy ratio and the bad loan rate of 16 listed commercial banks of China in 2004, is based on the characteristics of the CIS cyclical characteristics of China's commercial banks, and on the basis of the quarterly data of the capital adequacy ratio of capital and the rate of non-performing loans in China's 16 commercial banks in 2004 and the buffer capital and classics of commercial banks. The empirical analysis is carried out, and the analysis model is constructed through the related economic theory and the dynamic panel data method of the generalized moment estimation method (GMM) is used to analyze the relationship between the buffer capital and the economic cycle of China's commercial banks under the existing regulatory framework. At the same time, the Jonhanson cointegration test and the vector error correction (Vector Error Corre) are used. Ction) model, studying the long-term relationship between the loan of commercial banks in China in the period of -2014 in 2004, the quality of assets and the liquidity situation and the economic cycle. The results show that the commercial banks of our country show obvious compliance under the existing regulatory framework, whether it is the buffer capital, the credit, the asset quality, the liquidity and so on. Periodic behavior of commercial banks in the short term based on the analysis of quarterly data shows certain differences with the conclusions obtained by the annual data analysis of the existing scholars. A full empirical analysis of the buffer capital and business activities of commercial banks can ensure the reliable empirical conclusions of mutual validation and the use of data. A long period of quarterly data makes the sample size far larger than the empirical analysis of the annual data as the sample, and further guarantees the effectiveness of the data results. On the basis of the empirical study, this paper puts forward the policy measures based on the macro Prudential reverse cycle supervision, and strives to further improve the macro Prudential administration which has been initially explored and established in China. The policy framework.
【學(xué)位授予單位】：中國(guó)海洋大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2015
【分類號(hào)】：F832.33

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