【摘要】：2008年的金融危機引起了人們對銀行資本監(jiān)管的反思。學(xué)術(shù)界普遍認為巴塞爾資本協(xié)議Ⅱ潛在的順周期性是造成危機產(chǎn)生的一個不可忽視的原因。由此,實施逆周期資本監(jiān)管成為了各國監(jiān)管當局的共識。巴塞爾資本協(xié)議Ⅲ于2010年正式出臺,其中明確提出銀行業(yè)應(yīng)實施逆周期資本緩沖機制。即銀行應(yīng)當在經(jīng)濟高漲時期多計提資本緩沖,進而抑制信貸投放的過度擴張；而當經(jīng)濟出現(xiàn)衰退時,銀行應(yīng)適當減少資本緩沖,以便維護其正常的信貸供給能力,從而緩解經(jīng)濟下滑趨勢。雖然目前逆周期資本緩沖工具在積極嘗試之中,但學(xué)術(shù)界對于資本緩沖與經(jīng)濟周期之間的關(guān)系并沒有統(tǒng)一的結(jié)論,并且我國對于該問題的探討也比較局限。所以明確我國商業(yè)銀行資本緩沖與經(jīng)濟周期的關(guān)系,有助于合理運用資本緩沖調(diào)節(jié)機制進行監(jiān)管,對提升逆周期資本監(jiān)管的有效性具有重要意義。本文主要采用理論分析和實證研究相結(jié)合的方法,對我國商業(yè)銀行資本緩沖與經(jīng)濟波動的關(guān)系進行研究。結(jié)合國內(nèi)外相關(guān)研究,文章從銀行持有資本緩沖的動機、最優(yōu)資本緩沖的決定模型、資本緩沖對經(jīng)濟波動的影響這三個方面進行理論分析,特別是通過分析監(jiān)管約束下資本緩沖變化對經(jīng)濟影響的直接和間接渠道,明確了當資本緩沖與經(jīng)濟波動同向變化時,可以緩解資本監(jiān)管的順周期性,減小經(jīng)濟波動程度,反之亦然。在理論分析的基礎(chǔ)上,文章選取我國14家上市銀行2005-2012年的半年度數(shù)據(jù)進行實證研究,考察全體樣本銀行、不同類型銀行和不同資本充足率銀行的資本緩沖周期性行為,并從“分子”和“分母”角度分析資本緩沖周期性行為的推動因素,同時結(jié)合我國銀行業(yè)的發(fā)展情況,對實證結(jié)果給予解釋。文章在最后部分提出相關(guān)政策建議。本文主要結(jié)論：第一,在整個研究期間,我國上市商業(yè)銀行資本緩沖具有明顯的逆周期性特征,該特征主要是由分子效應(yīng)即銀行資本的調(diào)整推動形成的,并且銀行資本中的核心資本又在其中起到主導(dǎo)作用,而分母效應(yīng)即風(fēng)險加權(quán)資產(chǎn)的周期性特征并不明顯。總的來說,該逆周期特征主要源于我國銀行業(yè)特殊的市場環(huán)境及發(fā)展背景。第二,國有大型銀行資本緩沖的逆周期性特征比股份制銀行更加明顯,并且其資本和風(fēng)險加權(quán)資產(chǎn)二者的變化也都體現(xiàn)出強于股份制銀行的逆周期特征。第三,資本緩沖水平較高的銀行比資本緩沖水平較低的銀行呈現(xiàn)出更明顯的逆周期特征。前者資本的變動體現(xiàn)出強于后者的逆周期特征,而風(fēng)險加權(quán)資產(chǎn)變化的周期性特征并不明顯；而后者風(fēng)險加權(quán)資產(chǎn)的變動呈現(xiàn)出明顯的順周期性。
[Abstract]:The financial crisis in 2008 caused people to reflect on the capital supervision of banks. It is widely believed that the potential pro-periodicity of Basle II is a cause of crisis that can not be ignored. As a result, the implementation of countercyclical capital supervision has become the consensus of regulatory authorities in various countries. Basle III was officially issued in 2010, which clearly states that the banking industry should implement countercyclical capital buffer mechanism. That is to say, banks should raise more capital buffers in the period of economic upsurge, so as to curb the excessive expansion of credit investment, and when the economy is in recession, banks should appropriately reduce capital buffers in order to maintain their normal credit supply capacity, so as to alleviate the downward trend of the economy. Although countercyclical capital buffering tools are actively trying, there is no unified conclusion on the relationship between capital buffering and economic cycle in academic circles, and the discussion on this issue in our country is also relatively limited. Therefore, it is of great significance to clarify the relationship between capital buffering and economic cycle of commercial banks in China, which is helpful to the rational use of capital buffer adjustment mechanism for supervision and control, and is of great significance to improve the effectiveness of countercyclical capital supervision. This paper mainly uses the method of theoretical analysis and empirical research to study the relationship between capital buffer and economic fluctuation of commercial banks in China. Combined with the relevant research at home and abroad, this paper makes a theoretical analysis from three aspects: the motivation of banks to hold capital buffers, the decision model of optimal capital buffers and the impact of capital buffers on economic fluctuations, especially by analyzing the direct and indirect channels of the impact of capital buffering changes on the economy under regulatory constraints, and makes it clear that when capital buffers and economic fluctuations change in the same direction, the periodicity of capital supervision can be alleviated. Reduce the degree of economic volatility, and vice versa. On the basis of theoretical analysis, this paper selects the semi-annual data of 14 listed banks in China from 2005 to 2012 to carry out empirical research, investigates the capital buffer periodicity behavior of all sample banks, different types of banks and banks with different capital adequacy ratios, and analyzes the driving factors of capital buffer periodicity behavior from the perspective of "molecule" and "denominator". At the same time, combined with the development of China's banking industry, the empirical results are explained. In the last part of the article, the relevant policy recommendations are put forward. The main conclusions of this paper are as follows: first, during the whole research period, the capital buffer of listed commercial banks in China has obvious countercyclical characteristics, which are mainly formed by the adjustment of molecular effect, that is, bank capital, and the core capital in bank capital plays a leading role in it, while the cyclical characteristics of denominator effect, that is, risk-weighted assets, are not obvious. Generally speaking, the inverse cycle characteristics mainly come from the special market environment and development background of China's banking industry. Secondly, the countercyclical characteristics of capital buffering of large state-owned banks are more obvious than those of joint-stock banks, and the changes of capital and risk-weighted assets are also stronger than those of joint-stock banks. Third, the banks with higher capital buffers show more obvious countercyclical characteristics than those with lower capital buffers. The change of capital in the former is stronger than that in the latter, but the cyclical characteristic of the change of risk-weighted assets is not obvious, while the change of risk-weighted assets in the latter is obviously pro-cyclical.
【學(xué)位授予單位】：南京財經(jīng)大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2014
【分類號】：F832.33;F124

【相似文獻】

相關(guān)期刊論文 前10條

1 盧鴻;我國商業(yè)銀行資本充足比率的探討[J];金融信息參考;2001年02期

2 蘇快群,范麗萍;略論國有商業(yè)銀行資本充足率[J];常德師范學(xué)院學(xué)報(社會科學(xué)版);2002年04期

3 王曉楓;我國商業(yè)銀行資本充足率的研究[J];財經(jīng)問題研究;2003年10期

4 尚煜;中國商業(yè)銀行資本充足率的現(xiàn)狀[J];經(jīng)濟論壇;2003年12期

5 陳艷;商業(yè)銀行資本管理亟需加強[J];中國金融;2003年20期

6 宮瀾;國有商業(yè)銀行資本充足率探析[J];上海管理科學(xué);2003年02期

7 李前勝;國有商業(yè)銀行資本充足監(jiān)管有效性及其前提條件[J];金融論壇;2004年03期

8 包以文;提高我國商業(yè)銀行資本充足率的對策[J];遼寧經(jīng)濟;2004年07期

9 羅平,王勝邦;商業(yè)銀行資本充足率監(jiān)管的國際經(jīng)驗[J];中國金融;2004年14期

10 銀監(jiān)會《商業(yè)銀行資本充足率管理辦法》起草小組;積極利用附屬資本工具提高商業(yè)銀行資本充足率[J];中國金融家;2004年09期

相關(guān)重要報紙文章 前10條

1 湖南大學(xué) 張強　武次冰;商業(yè)銀行資本監(jiān)管與金融穩(wěn)定[N];光明日報;2010年

2 劉亞光;緩解商業(yè)銀行資本壓力需要發(fā)展直接融資[N];金融時報;2012年

3 通訊員 張彥田;市商業(yè)銀行資本充足率明顯提高[N];孝感日報;2006年

4 紅艷;自治區(qū)銀行業(yè)實現(xiàn)不良貸款“雙降”[N];內(nèi)蒙古日報(漢);2008年

5 浩民;商業(yè)銀行資本補充渠道拓寬[N];中國證券報;2003年

6 記者 苗燕;商業(yè)銀行資本監(jiān)管新規(guī)擬于明年起實施[N];上海證券報;2012年

7 見習(xí)記者 吳婷婷;5年規(guī)劃見效商業(yè)銀行資本充足率全達標[N];證券日報;2010年

8 記者 周萃;商業(yè)銀行資本管理仍舊承壓[N];金融時報;2011年

9 張燕姣;商業(yè)銀行資本管理邁出歷史性一步[N];中國城鄉(xiāng)金融報;2014年

10 記者 李衛(wèi)玲;中國加強商業(yè)銀行資本監(jiān)管[N];國際金融報;2004年

相關(guān)博士學(xué)位論文 前8條

1 賽志毅;我國區(qū)域性商業(yè)銀行資本管理機制研究[D];同濟大學(xué);2008年

2 胡敬新;我國股份制商業(yè)銀行資本約束條件下多元化融資模式研究[D];同濟大學(xué);2007年

3 潘佐鄭;基于資本約束的商業(yè)銀行資本配置對風(fēng)險管理影響研究[D];西南交通大學(xué);2015年

4 武次冰;我國商業(yè)銀行資本監(jiān)管有效性研究[D];湖南大學(xué);2010年

5 黃鐸;商業(yè)銀行利益相關(guān)者行為選擇對商業(yè)銀行資本配置績效的影響研究[D];西安理工大學(xué);2008年

6 于曉非;中國商業(yè)銀行資本結(jié)構(gòu)優(yōu)化調(diào)整研究[D];遼寧大學(xué);2012年

7 黃世平;商業(yè)銀行資本結(jié)構(gòu)動態(tài)優(yōu)化模型研究[D];大連理工大學(xué);2010年

8 桓宇;巴塞爾協(xié)議下商業(yè)銀行資本充足率調(diào)整行為研究[D];武漢大學(xué);2011年

，

本文編號：2499091