本文選題：資本緩沖 + 巴塞爾協(xié)議Ⅲ�。� 參考：《復(fù)旦大學》2014年碩士論文

【摘要】：資本緩沖的周期性,是指在經(jīng)濟不同周期階段,商業(yè)銀行資本緩沖隨經(jīng)濟波動而發(fā)生相應(yīng)變動,從而對銀行信貸和經(jīng)濟周期波動產(chǎn)生影響。而資本監(jiān)管政策可能是放大資本緩沖周期性的原因之一。為了克服現(xiàn)有資本監(jiān)管體系的缺陷,減少順周期的問題,2010年12月巴塞爾委員會推出了巴塞爾協(xié)議Ⅲ,提出宏觀審慎監(jiān)管的新理念,希望通過逆周期機制提高商業(yè)銀行的信貸行為應(yīng)對經(jīng)濟沖擊的穩(wěn)健性,并促使銀行在經(jīng)濟上升時具有前瞻性地計提資本緩沖,以便在經(jīng)濟衰退時吸收損失,緩解商業(yè)銀行信貸的順周期性對實體經(jīng)濟波動造成的負面影響。本文在對關(guān)于資本緩沖周期性形成機制、實證結(jié)果、對信貸影響等方面的國內(nèi)外文獻回顧的基礎(chǔ)上,將巴塞爾協(xié)議監(jiān)管框架和我國銀行資本監(jiān)管標準中對資本緩沖的要求進行梳理后,根據(jù)巴塞爾協(xié)議Ⅲ計算并預(yù)測我國商業(yè)銀行需要計提的逆周期資本緩沖,分析了資本緩沖順周期性的形成機制和對信貸行為的傳導渠道,并結(jié)合我國實際國情做出資本緩沖逆周期的推測。構(gòu)建動態(tài)面板數(shù)據(jù)模型,采用廣義矩估計GMM對我國48家商業(yè)銀行2003至2012年的樣本數(shù)據(jù)進行實證,對上市銀行和非上市銀行分開檢驗資本緩沖的周期性和對信貸行為的影響。研究結(jié)果表明,我國商業(yè)銀行資本緩沖與經(jīng)濟周期波動呈現(xiàn)正相關(guān),即資本緩沖具有逆周期性,且2013年《商業(yè)銀行資本管理辦法(試行)》投入實施后加強了銀行資本緩沖的逆周期性,而貨幣供應(yīng)量增多則會顯著減弱銀行資本緩沖的逆周期性。提高資本緩沖可以降低銀行信貸的增速,可見逆周期資本緩沖的調(diào)節(jié)可以平滑信貸和經(jīng)濟周期波動。最后,為充分把握和發(fā)揮資本緩沖的作用,本文有針對性的從商業(yè)銀行和監(jiān)管當局兩方面提出了政策建議,商業(yè)銀行應(yīng)提高風險管理能力,增加內(nèi)源融資,監(jiān)管當局應(yīng)合理設(shè)置資本監(jiān)管機制,并注意與貨幣政策的協(xié)調(diào)。
[Abstract]:The periodicity of capital buffers refers to the corresponding changes of capital buffers of commercial banks with economic fluctuations in different economic cycles, which have an impact on bank credit and economic cycle fluctuations. And the capital supervision policy may be one of the reasons for amplifying the capital buffer cycle. In order to overcome the defects of the existing capital supervision system and reduce the pro-cycle problem, in December 2010, the Basel Committee launched the Basel Accord III, which put forward a new concept of macro-prudential supervision. Desiring to improve the soundness of credit behaviour of commercial banks in response to economic shocks through a counter-cyclical mechanism and to encourage banks to take forward capital buffers in times of economic growth in order to absorb losses in times of economic recession, To alleviate the negative impact of the pro-cyclical credit of commercial banks on the real economy fluctuations. Based on the review of domestic and foreign literature on the formation mechanism of capital buffering cycle, empirical results, credit impact, etc. After combing the requirements for capital buffering in the Basel Accord regulatory framework and the capital supervision standards of Chinese banks, the countercyclical capital buffers required by commercial banks in China are calculated and predicted according to Basel III. This paper analyzes the pro-cyclical formation mechanism of capital buffer and the transmission channel of credit behavior, and makes the conjecture of countercyclical capital buffer according to the actual situation of our country. The dynamic panel data model is constructed and the sample data of 48 commercial banks in China from 2003 to 2012 are tested by generalized moment estimation. The periodicity of capital buffers and the impact on credit behavior of listed and unlisted banks are examined separately. The results show that there is a positive correlation between the capital buffer and the fluctuation of the economic cycle in China's commercial banks, that is, the capital buffer is countercyclical. After the implementation of the Capital Management measures for Commercial Banks (trial) in 2013, the countercyclical nature of bank capital buffers is strengthened, while the increase of money supply significantly weakens the countercyclical nature of bank capital buffers. Increasing capital buffers can reduce the growth rate of bank credit, so the adjustment of countercyclical capital buffers can smooth credit and economic cycle fluctuations. Finally, in order to fully grasp and play the role of capital buffering, this paper puts forward policy recommendations from commercial banks and regulatory authorities, commercial banks should improve risk management capacity, increase endogenous financing, The regulatory authority should set up the capital supervision mechanism reasonably and pay attention to the coordination with monetary policy.
【學位授予單位】：復(fù)旦大學
【學位級別】：碩士
【學位授予年份】：2014
【分類號】：F832.33

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