本文選題：商業(yè)銀行　切入點：資本監(jiān)管　出處：《西北大學》2012年碩士論文

【摘要】：2008年美國次貸危機引發(fā)的全球金融危機,引起各國對金融體系順周期性的高度重視,而作為對金融業(yè)穩(wěn)健具有重要意義的資本監(jiān)管,其順周期性更是得到廣泛關注。目前,我國銀行業(yè)處于改革深化階段,國際化進程逐步加快,極易受到全球金融危機的影響,監(jiān)管當局正積極改革現(xiàn)有監(jiān)管制度,積極推廣實施新的監(jiān)管要求,如何有效監(jiān)管成為討論的難點和熱點之一。因此,研究我國銀行資本監(jiān)管順周期性的存在性、傳導機制以及效應程度,對我國有效的資本監(jiān)管框架的建立及銀行業(yè)穩(wěn)健運營都具有重要意義。 本論文采用比較分析、定性定量等研究方法,借鑒國外相關理論模型,對我國資本監(jiān)管順周期性進行研究。具體內容方面,文章首先在梳理國內外相關研究文獻的基礎上,引進國外理論模型對資本監(jiān)管順周期性進行解釋,并得出三個順周期性傳導渠道,然后結合巴塞爾協(xié)議不同階段的資本監(jiān)管要求,對不同渠道下的傳導機制進行比較分析,最終得出超額資本渠道研究的重要意義,為后面的實證模型選擇及檢驗奠定理論根基。其次,結合我國具體情況,分階段回顧我國資本監(jiān)管的發(fā)展歷程,并對資本監(jiān)管的現(xiàn)狀進行分析,為文章的數(shù)據(jù)選取、樣本選擇及模型修訂等提供現(xiàn)實依據(jù)。最后,在以上兩方面的基礎上,參照國外相關實證模型,選擇我國15家上市銀行2004-2010年的而板數(shù)據(jù),對我國資本監(jiān)管順周期性的存在性及特征進行探討,并根據(jù)實證結論提出相關的政策建議。 本文的主要結論包括如下：(1)資本監(jiān)管順周期性主要從銀行資本、監(jiān)管資本、超額資本三個渠道傳導。其中,超額資本對資本監(jiān)管是否存在順周期性具有決定意義。(2)不同的巴塞爾協(xié)議下,資本監(jiān)管順周期性傳導渠道和效應不同,引入信用評級的巴塞爾協(xié)議,傳導渠道增多,順周期性增強。(3)我國資本監(jiān)管確實存在順周期性,超額資本的持有隨著經濟周期變化而變化,通過信貸渠道進一步加劇經濟周期的波動程度。(4)超額資本持有與不良貸款率及資產收益率等因素有關。
[Abstract]:In 2008 the U.S. subprime mortgage crisis triggered a global financial crisis, caused various countries to shun periodic attaches great importance to the financial system, and as the sound has important significance for financial capital regulation, the procyclicality is widely concerned. At present, China's banking industry in the reform stage, the internationalization process gradually accelerate easily affected by the global financial crisis, the regulatory authorities are actively reform the existing supervision system, and actively promote the implementation of the new regulatory requirements, how effective supervision has become one of the difficult and hot discussion. Therefore, research on China's banking capital regulation along the existence of periodic, transmission mechanism and effect degree, is of great significance to establish sound operation the bank and the effective capital supervision framework in China.
This paper uses the comparative analysis, qualitative and quantitative research methods, foreign related theoretical model, conducts the research to our country the procyclicality of capital requirements. The specific contents, firstly, based on summarizing the relevant research literature on the theoretical model for the interpretation of the introduction of foreign capital procyclicality, and reached three periodic transmission channel, and then combined with the Basel protocol in different stages of the regulatory capital requirement, a comparative analysis of the conduction mechanism of different channels, finally obtains the important significance of the excess capital channel, for choosing and checking the empirical model to lay the theoretical foundation. Secondly, combined with the specific situation in our country, the development stages of review capital regulation in China, and analyzes the status quo of capital regulation is analyzed, for the selection of the data, sample selection and model revision to provide realistic basis. Finally, in order to On the basis of the above two aspects, referring to the relevant empirical models abroad, we select 2004-2010 listed data of 15 listed banks in China, and discuss the existence and characteristics of China's capital regulatory Pro cyclical, and put forward relevant policy recommendations based on the empirical conclusions.
The main conclusions of this paper are as follows: (1) the procyclicality of capital requirements mainly from bank capital, regulatory capital, excess capital three channel. Among them, the excess capital decisive procyclicality of capital regulation exists. (2) different Basel agreement, the procyclicality of capital requirements and the effect of transmission channels different, the introduction of the credit rating of the Basel protocol, the transmission channel increased procyclicality increased. (3) China's capital regulation is indeed Pro cyclical, holding excess capital changes with changes in the economic cycle, volatility through the credit channel further exacerbated the economic cycle. (4) hold excess capital related factors of non-performing loans and the rate of return on assets.

【學位授予單位】：西北大學
【學位級別】：碩士
【學位授予年份】：2012
【分類號】：F832.1

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