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  本文關鍵詞：經(jīng)濟周期和監(jiān)管變化對我國上市銀行資本緩沖、風險和績效的影響　出處：《重慶大學》2014年碩士論文　論文類型：學位論文

  更多相關文章： 資本緩沖 風險 績效 經(jīng)濟周期 監(jiān)管

【摘要】：爆發(fā)于2008年的金融危機讓人們認識到銀行監(jiān)管的重要性，為此巴塞爾委員會頒布了《巴塞爾協(xié)議Ⅲ》，提出了逆周期監(jiān)管政策來應對銀行固有的親周期性，并要求銀行保留逆周期資本緩沖。銀行在經(jīng)濟繁榮期增加超額資本充足要求—動態(tài)調整資本充足率，以備在經(jīng)濟蕭條期應對資本充足率下滑的情況，也就是讓銀行在經(jīng)濟上行周期計提資本緩沖，以滿足下行周期吸收損失的需要。 在本次金融危機中，我國商業(yè)銀行受到較小的沖擊，我國銀行系統(tǒng)的表現(xiàn)要好于西方發(fā)達經(jīng)濟國家。那么，我國銀行業(yè)的資本緩沖是否與國外銀行有所不同，資本緩沖的周期性是否不同于國外的順周期性？我國銀行的風險和績效是否與經(jīng)濟周期相關？我國在2004年頒布《商業(yè)銀行資本充足率管理辦法》開始對銀行資本進行硬性監(jiān)管，并且在金融危機后發(fā)布了一系列的銀行資本監(jiān)管措施，那么我國實施資本監(jiān)管對銀行資本緩沖、風險、績效有沒有影響，實施資本監(jiān)管是否取得了預期的效果？ 本文首先說明了研究的背景、意義和創(chuàng)新點，，然后對國內外的相關研究進行了綜述，接著對相關理論進行了系統(tǒng)的梳理，最后對我國上市銀行進行了實證研究，并提出了對策建議。本文使用使用國內16家上市銀行2002-2012年的年度非平衡面板數(shù)據(jù)，利用單步系統(tǒng)GMM估計法，研究了經(jīng)濟周期和監(jiān)管變化對銀行資本緩沖、風險和績效的影響。本文通過研究得出：我國銀行資本緩沖與經(jīng)濟周期呈現(xiàn)正相關關系，即我國銀行的資本緩沖具有逆周期性，并且資本監(jiān)管的變化使得銀行資本緩沖呈現(xiàn)出更強的逆周期性；我國銀行風險的周期效應不明顯，監(jiān)管變化顯著影響銀行風險，使銀行風險表現(xiàn)出逆周期性；我國銀行績效的周期效應不明顯，資本監(jiān)管的變化對績效影響不顯著；資本緩沖會顯著增加銀行的績效，而其對銀行風險影響不明顯。
[Abstract]:The outbreak of the financial crisis in 2008 to make people aware of the importance of banking supervision, the Basel Committee issued the "Basel III >, put forward counter cyclical regulatory policy to deal with the inherent procyclicality of banks, and require banks to retain countercyclical capital buffer. The banks to increase capital adequacy ratio in excess of capital adequacy requirements - dynamic adjustment in the economy the boom for the decline in the economic recession with the capital adequacy ratio of the bank, also is to let the economic upward cycle in the provision of capital buffer, in order to meet the needs of downward cycle absorption loss.
In this financial crisis, China's commercial banks have a small impact, China's banking system is better than the western developed countries. So, China's banking industry is capital buffers and foreign banks are different, whether cyclical capital buffers is different from the foreign procyclicality? Whether the banks in our country risk and performance associated with the economic cycle? China promulgated in 2004, "measures for the administration of the capital adequacy ratio of commercial banks to start hard > regulation on banks' capital, and has issued a series of measures of bank capital regulation in the wake of the financial crisis, the implementation of China's capital regulation risk on bank capital buffer, the performance has no effect the implementation of capital regulation has achieved the desired results?
This paper first describes the background, significance and innovation, and the related research at home and abroad were reviewed, and then conducted a systematic review of the relevant theory, finally makes an empirical study of the listed banks in China, and puts forward the countermeasures and suggestions. This paper use the annual domestic 16 listed banks in non 2002-2012 balanced panel data, using the method of single step GMM estimation system, studied the economic cycle and regulatory changes on bank capital buffer, risk and performance. This paper studies: present positive correlation between China's banking capital buffers and the economic cycle, namely our country bank capital buffers is counter cyclical, and changes in capital regulation the bank capital buffer showed a reverse cycle stronger; cycle effect our country bank risk is not obvious, regulatory changes significantly affect bank risk, the bank risk show Contrary to periodicity, the cyclical effect of bank performance in China is not obvious. The change of capital regulation has no significant impact on performance. Capital buffering will significantly increase bank performance, and its impact on bank risk is not obvious.

【學位授予單位】：重慶大學
【學位級別】：碩士
【學位授予年份】：2014
【分類號】：F832.33;F830.42

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