【摘要】：資本監(jiān)管作為銀行審慎監(jiān)管的核心,通過規(guī)定商業(yè)銀行最低資本要求,提升了銀行抵御外部風(fēng)險沖擊的能力,使銀行能夠及時沖銷經(jīng)營過程中各種不確定性所帶來的損失,從而起到保護(hù)存款人利益,降低銀行清算破產(chǎn)概率,最終實現(xiàn)金融乃至整個實體經(jīng)濟體系的穩(wěn)定的重要作用。正是由于銀行資本監(jiān)管在商業(yè)銀行經(jīng)營過程中發(fā)揮著舉足輕重的作用,所以,在2008年金融海嘯中,其所暴露出的順周期效應(yīng)受到了監(jiān)管當(dāng)局和學(xué)術(shù)界的廣泛關(guān)注和討論。本文正是在這一背景下,對資本監(jiān)管中的順周期效應(yīng)進(jìn)行了深入的探討和分析。 本文在現(xiàn)有研究的基礎(chǔ)上,首先從一般性的角度,運用理論和數(shù)量分析兩種方法對巴塞爾協(xié)議下的資本監(jiān)管的順周期效應(yīng)進(jìn)行了探討。文章在K.T. Jacques模型的基礎(chǔ)上,從留存收益渠道、總負(fù)債渠道、信用等級遷移渠道以及超額資本緩沖渠道四個方面進(jìn)行了分析,然后建立起一個兩階段的銀企關(guān)系貸款模型,利用靜態(tài)比較法與數(shù)值模擬法進(jìn)行了更深一步的討論,結(jié)果顯示巴塞爾協(xié)議下的一般資本監(jiān)管存在順周期效應(yīng),在經(jīng)濟上行期會推動經(jīng)濟進(jìn)一步繁榮,而經(jīng)濟衰退期則會產(chǎn)生信貸緊縮,影響經(jīng)濟的復(fù)蘇。 緊接著,本文進(jìn)一步探討了我國資本監(jiān)管的順周期效應(yīng)問題。利用我國資本充足率、不良貸款率、GDP增長率等數(shù)據(jù)進(jìn)行面板回歸后,發(fā)現(xiàn)我國銀行資本監(jiān)管呈現(xiàn)出顯著的順周期效應(yīng)。根據(jù)這一實證結(jié)果,文章進(jìn)一步分析了產(chǎn)生這一特征的原因。 最后,根據(jù)上述討論和分析的結(jié)果,文章從商業(yè)銀行與監(jiān)管當(dāng)局兩個層面提出了應(yīng)對資本監(jiān)管順周期效應(yīng)和資本監(jiān)管改革的相關(guān)政策建議。
[Abstract]:As the core of bank prudential supervision, capital supervision improves the ability of banks to resist external risk shocks by stipulating the minimum capital requirements of commercial banks, and enables banks to write off the losses caused by various uncertainties in the course of operation in a timely manner. Thus, it plays an important role in protecting depositors' interests, reducing the probability of bank liquidation and bankruptcy, and finally realizing the stability of the financial system and the whole real economy system. It is precisely because the bank capital supervision plays an important role in the commercial bank management process, therefore, in the 2008 financial tsunami, its exposed procyclical effect has been widely concerned and discussed by the regulatory authorities and academic circles. Under this background, this paper makes a deep discussion and analysis on the pro-cyclical effect of capital supervision. On the basis of the existing research, this paper first discusses the pro-cyclical effect of capital regulation under Basel Accord from the general point of view, using two methods of theoretical and quantitative analysis. Based on K.T. Jacques model, this paper analyzes the retained earnings channel, the total debt channel, the credit grade migration channel and the excess capital buffer channel, and then establishes a two-stage bank enterprise relationship loan model. By using static comparison method and numerical simulation method, the results show that the general capital supervision under Basel Accord has a pro-cyclical effect, which will promote the economic prosperity in the upward period. The recession will produce a credit crunch, affecting the economic recovery. Then, this paper further discusses the pro-cyclical effect of capital supervision in China. By using the data of capital adequacy ratio, non-performing loan rate and GDP growth rate, we find that the banking capital supervision in China has a significant pro-cyclical effect. According to the empirical results, the paper further analyzes the causes of this feature. Finally, based on the results of the above discussion and analysis, this paper puts forward some policy suggestions on the pro-cyclical effect of capital supervision and the reform of capital supervision from the two aspects of commercial banks and regulatory authorities.
【學(xué)位授予單位】：湖南大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2012
【分類號】：F832.1

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