CAJ | 학술논문

根据《巴塞尔协议》等国际公约的要求，中国的银行监管部门于2004年1月开始，在全国的银行系统推行严格的资本充足性管理。作为国际银行界主流的监管政策，资本充足性管理对商业银行的行为选择产生了深远的影响。本文选取了中国中部某省份2002年至2006年的商业银行数据，针对包括贷款对象结构、贷款期限结构和风险偏好结构三个表征商业银行行为特征的24个数据序列，运用TRAMO／SEA佟的技术方法，实证检验了所有序列的结构性变动点以及监管政策的冲击效果。研究显示，当监管当局开始实施严格的资本充足性监管时，大多数商业银行都降低了风险偏好，说明监管政策的冲击效应十分明显；但是经过大约一年后，几乎所有的商业银行又选择恢复到初始状态，开始增加风险偏好，说明存在商业银行的资本约束软化效应。因此，若要保持资本监管政策的长期效果，还需不断完善相关制度体系建设。本文从商业银行行为变化的特征出发，提出了我国应对《巴塞尔协议III》挑战的若干建议。
근거《파새이협의》등국제공약적요구，중국적은행감관부문우2004년1월개시，재전국적은행계통추행엄격적자본충족성관리。작위국제은행계주류적감관정책，자본충족성관리대상업은행적행위선택산생료심원적영향。본문선취료중국중부모성빈2002년지2006년적상업은행수거，침대포괄대관대상결구、대관기한결구화풍험편호결구삼개표정상업은행행위특정적24개수거서렬，운용TRAMO／SEA동적기술방법，실증검험료소유서렬적결구성변동점이급감관정책적충격효과。연구현시，당감관당국개시실시엄격적자본충족성감관시，대다수상업은행도강저료풍험편호，설명감관정책적충격효응십분명현；단시경과대약일년후，궤호소유적상업은행우선택회복도초시상태，개시증가풍험편호，설명존재상업은행적자본약속연화효응。인차，약요보지자본감관정책적장기효과，환수불단완선상관제도체계건설。본문종상업은행행위변화적특정출발，제출료아국응대《파새이협의III》도전적약간건의。
According to the Basel Accord and other international agreements, China＇ s Banking Regulatory Commission has applied strict capital adequacy management on China＇ s banks since January 2004. As one of the mainstream regulatory policies in international banking industry, capital adequacy management has extensive impacts on the behaviors of commercial banks. In this paper, we analyze 24 data series from 2002 to 2006 of commercial banks in a province in central China which reflect the structure of borrowers, the term structure of the loans, and the structure of risk preference. Then we apply the TRAMO/SEATS method to track all the points of structural changes in those data series, and test the impacts of regulatory policy on them. The results show that when the regulatory authority began to implement strict capital adequacy supervision, most commercial banks reduced their risk preference significantly. But about one year later, almost all of the commercial banks chose to return to their original states, and began to increase their risk preference. This indicates the decreasing effects of capital constraint on commercial banks＇ behaviors. To achieve long-term effects of the capital regulation policy, the government needs to improve related institutional systems. Finally, based on the features of the behavior changes of commercial banks, this paper proposes some suggestions for China to deal with the challenges of Basel III.