本文選題：資本緩沖 + 逆周期��； 參考：《浙江工商大學(xué)》2014年碩士論文

【摘要】：從2007年美國次貸危機(jī)爆發(fā)開始,各個(gè)國際組織連同各國金融監(jiān)管部門紛紛對監(jiān)管可能存在的問題進(jìn)行深入探討,研究結(jié)果顯示資本監(jiān)管的順周期性是系統(tǒng)性金融危機(jī)的誘因。因此,資本監(jiān)管的周期性行為成為人們廣泛關(guān)注的焦點(diǎn)。為了能夠更好的對金融系統(tǒng)的順周期性進(jìn)行監(jiān)管,2010年,引入了逆周期機(jī)制的巴塞爾協(xié)議Ⅲ出臺。中國銀監(jiān)會(huì)也在2011年發(fā)布了《中國銀行業(yè)實(shí)施新監(jiān)管標(biāo)準(zhǔn)指導(dǎo)意見》,我國正式引入逆周期的資本監(jiān)管框架。 本文對國內(nèi)外關(guān)于資本緩沖周期性研究和資本緩沖如何影響銀行信貸行為這兩方面的相關(guān)文獻(xiàn)進(jìn)行了回顧與梳理,并在巴塞爾協(xié)議Ⅱ的框架下闡述了商業(yè)銀行順周期行為的形成機(jī)理；此外,還從理論上解釋了資本緩沖是如何對銀行信貸行為產(chǎn)生影響的。隨后,利用中國上市商業(yè)銀行2004年—2012年的數(shù)據(jù),建立動(dòng)態(tài)面板模型,運(yùn)用GMM估計(jì)方法對我國上市商業(yè)銀行資本緩沖的周期性行為進(jìn)行實(shí)證檢驗(yàn),并分析其驅(qū)動(dòng)因素；考慮到宏觀審慎監(jiān)管對貨幣政策傳導(dǎo)的影響,文章還運(yùn)用隨機(jī)面板模型對我國上市商業(yè)銀行資本緩沖的信貸影響進(jìn)行實(shí)證檢驗(yàn)。結(jié)果表明,中國上市商業(yè)銀行的資本緩沖擁有顯著的逆周期行為,銀行規(guī)模對資本緩沖水平存在顯著的正向影響；銀行信貸擴(kuò)張行為與其自身的資本緩沖行為負(fù)相關(guān),“銀行資本渠道”對信貸行為產(chǎn)生顯著的正向影響,而“銀行信貸渠道”對銀行信貸行為并沒有顯著的影響。
[Abstract]:Since the outbreak of the subprime mortgage crisis in the United States in 2007, various international organizations and financial regulatory authorities of various countries have conducted in-depth discussions on the possible problems of supervision. The results show that the procyclicality of capital regulation is the cause of the systemic financial crisis. Therefore, the cyclical behavior of capital supervision has become the focus of widespread concern. In order to better supervise the procyclicality of the financial system, Basel III was introduced into the countercyclical mechanism in 2010. China Banking Regulatory Commission (CBRC) also issued the "guidance on the implementation of New Supervision Standards for China's Banking sector" in 2011. China formally introduced a counter-cyclical capital regulatory framework. This paper reviews and combs the domestic and foreign literatures on the periodicity of capital buffering and how capital buffers affect bank credit behavior. The formation mechanism of the pro-cyclical behavior of commercial banks is expounded under the framework of Basel II, and the influence of capital buffer on bank credit behavior is also explained theoretically. Then, using the data of China's listed commercial banks from 2004 to 2012, the dynamic panel model is established, and the GMM estimation method is used to empirically test the cyclical behavior of capital buffers of listed commercial banks in China, and the driving factors are analyzed. Considering the influence of macro-prudential supervision on the transmission of monetary policy, this paper also uses the stochastic panel model to test the credit impact of capital buffering of listed commercial banks in China. The results show that the capital buffer of listed commercial banks in China has a significant countercyclical behavior, the size of banks has a significant positive impact on the capital buffer level, and the bank credit expansion behavior is negatively correlated with its own capital buffer behavior. The "bank capital channel" has a significant positive impact on the credit behavior, while the "bank credit channel" has no significant impact on the bank credit behavior.
【學(xué)位授予單位】：浙江工商大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2014
【分類號】：F832.4

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