本文選題：資本緩沖 + 宏觀經(jīng)濟周期��； 參考：《復旦大學》2014年碩士論文

【摘要】：美國次貸危機引起全球經(jīng)濟衰退后,為了規(guī)避資本監(jiān)管協(xié)議的順周期問題,巴塞爾委員會在巴塞爾協(xié)議Ⅲ中要求銀行在特定情況下提取逆周期資本緩沖,于是銀行資本緩沖與宏觀經(jīng)濟周期到底呈怎樣的相關關系再次引起了學者們的關注。本文以此為出發(fā)點,考慮到近年來我國銀行非利息收入增長迅速,在Ayuso(2004)提出的模型中增加了重要的收入結構變量,對我國16家上市銀行2004年第四季度-2013年第二季度的半年度數(shù)據(jù)進行了GMM估計。研究發(fā)現(xiàn),我國上市銀行的資本緩沖水平與宏觀經(jīng)濟周期顯著正相關,GDP增長率每提高1個百分點,銀行的資本緩沖水平會提高0.21個百分點,對股份制銀行來說這一特征更為明顯。非利息收入的快速增長帶來的收入結構多元化與銀行的資本緩沖水平負相關,非利息收入占比每提高1個百分點,銀行的資本緩沖水平將會降低0.035個百分點。銀行資本緩沖最重要的決定因素是上期的資本緩沖水平,該變量與當期資本緩沖水平正相關。在凈資產(chǎn)收益率(ROE)對銀行資本緩沖的影響中,收入效應比成本效應更加明顯。代表風險的不良貸款率和銀行規(guī)模對樣本銀行資本緩沖的影響并不顯著。對我國商業(yè)銀行來說,可以保持資本緩沖逆周期變動的趨勢,這有利于平滑宏觀經(jīng)濟周期的波動。監(jiān)管機構也應當結合我國的具體情況來制定逆周期資本緩沖的實施細則。非利息收入占比與我國銀行資本緩沖負相關,銀行合理地拓展中間業(yè)務具有非常大的戰(zhàn)略意義,但在拓展業(yè)務的過程中應注意各種問題。由于銀行資本緩沖最重要的決定因素是上一期的資本緩沖水平,所以監(jiān)管當局有必要完善資本動態(tài)監(jiān)控機制,這有助于及時發(fā)現(xiàn)問題。不同因素對不同所有制銀行資本緩沖水平的影響有一些差異,監(jiān)管部門可以考慮對各類銀行實施有針對性的監(jiān)管政策。
[Abstract]:After the global economic recession caused by the subprime mortgage crisis in the United States, in order to avoid the pro-cyclical problem of capital supervision agreement, the Basel Committee in Basel III requires banks to withdraw countercyclical capital buffers under certain circumstances. So the relationship between bank capital buffer and macroeconomic cycle has attracted the attention of scholars again. Taking this as a starting point, considering the rapid growth of non-interest income of Chinese banks in recent years, an important variable of income structure has been added to the model proposed by Ayuso 2004. The semi-annual data of 16 listed banks in China from the fourth quarter of 2004 to the second quarter of 2013 are estimated by GMM. It is found that the capital buffer level of the listed banks in China is significantly positively correlated with the macroeconomic cycle. If the GDP growth rate increases by 1 percentage point, the capital buffer level of the banks will increase by 0.21 percentage points. To share-stock system bank this one characteristic is more obvious. The diversification of income structure brought by the rapid growth of non-interest income is negatively related to the capital buffer level of banks. For each percentage point increase of non-interest income, the capital buffer level of banks will be reduced by 0.035 percentage points. The most important determinant of bank capital buffer is the capital buffer level of the previous period, which is positively correlated with the current capital buffer level. The income effect is more obvious than the cost effect. The influence of non-performing loan ratio and bank size on the capital buffer of sample banks is not significant. For Chinese commercial banks, the trend of countercyclical capital buffering can be maintained, which is conducive to smooth the fluctuation of macroeconomic cycle. Regulators should also work out implementing rules for countercyclical capital buffers according to China's specific conditions. The proportion of non-interest income is negatively related to the capital buffer of Chinese banks. It is of great strategic significance for banks to expand their intermediary business reasonably, but attention should be paid to various problems in the process of expanding their business. Since the most important determinant of bank capital buffers is the level of capital buffers in the previous period, it is necessary for regulators to improve the monitoring mechanism of capital movements, which helps to detect problems in time. The influence of different factors on the capital buffer level of banks with different ownership has some differences.
【學位授予單位】：復旦大學
【學位級別】：碩士
【學位授予年份】：2014
【分類號】：F832.33;F124

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