西部论坛
西部論罈
서부론단
West Forum
2015年
2期
82~89
,共null页
资本充足率 顺周期行为 商业银行 巴塞尔协议 国际金融危机 金融监管指标 宏观审慎政策 逆周期 资本缓冲
資本充足率 順週期行為 商業銀行 巴塞爾協議 國際金融危機 金融鑑管指標 宏觀審慎政策 逆週期 資本緩遲
자본충족솔 순주기행위 상업은행 파새이협의 국제금융위궤 금융감관지표 굉관심신정책 역주기 자본완충
capital adequacy ratio; procyclicality; commercial bank; Basel Accord; international financial crisis; financial supervisory target; macro-prndential policy; conversion period; Capital Buffer
次贷危机引发国际金融危机后,金融体系的顺周期问题受到国际社会高度关注,并成为巴塞尔协议Ⅲ要解决的核心问题之一。采用37家商业银行2004—2012年的非平衡面板数据,运用动态面板模型分析我国商业银行的资本充足率顺周期行为,结果表明：我国商业银行与西方发达国家商业银行一样存在顺周期行为;国际金融危机对我国商业银行顺周期行为产生了一定的抑制作用,但是总体上并没有改变其顺周期行为的性质;我国商业银行更加重视在经济下行期对资产充足率的调整,即其顺周期行为在经济上行期和下行期存在非对称效应。我国政府和金融监管部门应积极参与国际社会关于宏观审慎政策的研究和设计,并努力解决我国金融体系的顺周期问题。
次貸危機引髮國際金融危機後,金融體繫的順週期問題受到國際社會高度關註,併成為巴塞爾協議Ⅲ要解決的覈心問題之一。採用37傢商業銀行2004—2012年的非平衡麵闆數據,運用動態麵闆模型分析我國商業銀行的資本充足率順週期行為,結果錶明：我國商業銀行與西方髮達國傢商業銀行一樣存在順週期行為;國際金融危機對我國商業銀行順週期行為產生瞭一定的抑製作用,但是總體上併沒有改變其順週期行為的性質;我國商業銀行更加重視在經濟下行期對資產充足率的調整,即其順週期行為在經濟上行期和下行期存在非對稱效應。我國政府和金融鑑管部門應積極參與國際社會關于宏觀審慎政策的研究和設計,併努力解決我國金融體繫的順週期問題。
차대위궤인발국제금융위궤후,금융체계적순주기문제수도국제사회고도관주,병성위파새이협의Ⅲ요해결적핵심문제지일。채용37가상업은행2004—2012년적비평형면판수거,운용동태면판모형분석아국상업은행적자본충족솔순주기행위,결과표명：아국상업은행여서방발체국가상업은행일양존재순주기행위;국제금융위궤대아국상업은행순주기행위산생료일정적억제작용,단시총체상병몰유개변기순주기행위적성질;아국상업은행경가중시재경제하행기대자산충족솔적조정,즉기순주기행위재경제상행기화하행기존재비대칭효응。아국정부화금융감관부문응적겁삼여국제사회관우굉관심신정책적연구화설계,병노력해결아국금융체계적순주기문제。
After the subprime mortgage crisis, the international community concerns about the financial system procyelicality to an unprecedented degree, which becomes one of the core issues of Basel Ⅲ trying to solve. Based on the dynamic panel model, this paper uses the unbalanced panel data of China＇s 37 domestic commercial banks during 2004-2012 year to empirically analyze procyclical behavior of capital adequacy Ratio of commercial banks in China. The empirical results show that there is procyclical behavior by commercial banks in China as banks do in Western developed countries, the financial crisis restrains procyelieal behavior of commercial banks in China to some extent, but on the whole there is no change on the nature of the proeyelical behavior, and with the economic downturn commercial banks in China attach more importance on the adjustment in capital adequacy ratio, i.e. there is asymmetrical effect of procyclical behavior at economic uptum and downturn. Chinese government and financial regulators should positively participate in macro-prudential policy research and design of international community, and make effort to solve the procyclieality problem of financial system in China.
