【作者】 桓宇；

【导师】 黄宪；

【作者基本信息】 武汉大学 ， 金融学， 2011， 博士

【摘要】 资本充足率是衡量商业银行综合经营能力和风险抵御能力的最重要指标之一。2010年巴塞尔资本协议Ⅲ的出台进一步强化了资本充足监管在全球金融市场的核心地位,确立了全面整体的风险观,风险计量也从定性分析发展到了全面的定量分析。我国银监会于2004年颁布的《商业银行资本充足率管理办法》体现了与国际接轨进行审慎资本监管的思想,而2009年8月发布的《商业银行资本充足率监督检查指引》等七个监管文件修订后的征求意见稿使得加强和完善资本充足率管理,适应国际国内监管环境的变化,走向资本约束的现代商业银行理性经营时代成为摆在我国商业银行面前的现实课题。自巴塞尔协议问世以来,鉴于其“神圣公约”般的权威性和影响力,立即吸引了各国商业银行和监管者的关注,并纷纷主动将巴塞尔协议的原则和精神纳入其国内监管加以实施。巴塞尔协议通过资本充足率标准降低银行风险机制的内涵非常丰富,银行对各种调整资本充足率方式的选择,会产生不同的效果,例如调整分子和分母等不同方式对银行资本成本和风险偏好的影响效果有着很大差异。我国的商业银行在分子和分母策略上是如何选择的?调整行为上有何规律?背后的原因是什么?什么样的资本充足率调整机制适合我国银行业?这正是本文研究并试图解释的。本文首先简要介绍了商业银行资本充足率的一般界定与涵义,接下来进一步讨论了资本充足率计算方法的演变及巴塞尔协议的大体框架。2004年发布的《巴塞尔新资本协议》坚持了以资本充足率为核心的监管思路,形成了新资本协议的三大支柱。《商业银行资本充足率管理办法》的出台也标志着我国银行业资本监管不断强化,并开始与国际银行业接轨。无论新旧巴塞尔协议还是2010年的《巴塞尔资本协议Ⅲ》,按照其规定的资本充足率基本计算方式,商业银行提高资本充足率大体有调整分子和调整分母两种途径,即通过增加核心资本或附属资本以提高资本金总额,或通过各类金融技术和方法降低银行的总量风险暴露。本文对商业银行不同资金来源进行了比较,建立了一般均衡模型,提出了全球银行业资本约束不断加强的长期趋势使得监管逐渐成为了一种不可忽视的风险,即“监管风险”会导致银行的事前资本成本上升。银行资本缺乏流动性产生的额外交易成本和不确定性带来了“柠檬折扣”的出现。由于柠檬折扣的存在,使得银行股权资本的成本高于债权成本(存款),结合啄食理论,银行会持有一定数量的额外资本,即持有比当前资本需求更多的资本金以应对可能出现的新的资本需要。若资本金不足,银行短时间内会优先选择内源资本策略来满足资本金的需求,但长期来看应注重采用调整分母的方式,尤其面对监管当局的硬性资本充足率要求。论文还继续推导出资本充足率监管要求的变化对资本金成本的高低以及对银行经营风险偏好的影响。接着论文在介绍了我国商业银行资本充足率现状后,重点对我国商业银行调整资本充足率的方式,反应速度及其对银行风险偏好的影响进行了实证。首先采用面板模型回归和统计指数因素分析法分析我国商业银行提高资本充足率的主要方式,发现目前我国银行主要采取的是调整分子；接着采用均值方差分析和增量分解分析进一步分解分子策略,结果发现我国银行在资本的补充方式上个体差异较为明显,但大体上仍以核心资本的补充为主。本文分析后指出原因不外乎：第一,国有银行由于其特殊地位,本身几乎不受资本成本的约束；第二,2004年开始高涨的股市使得银行股权资本成本大幅下降：最后,也是最大的困难,就是来自我国商业银行全面推行风险管理理念的高昂成本。接着本文运用部分调整模型和压力测试验证了我国不同类别以及不同资本充足率水平的商业银行面对资本充足性监管要求的反应速度以及不同的调整方式对其风险偏好的影响。论文进一步分析了我国银行充足率调整行为背后的深层根源,并与国际上各大银行的调整行为尤其是次贷危机后的资本充足率调整方式进行了比较之后指出,由于资本金成本的特性,运用分子策略不仅成本较高,而且在降低银行总体风险暴露上效率较低,具有一定的局限性；相反,在我国,调整分母的方式有利于我国商业银行通过先进金融技术来调整资本充足率,提高它们的风险管理水平。最后论文建议从长远角度出发,整个银行业应建立一套持续完善的以巴塞尔协议思想为核心的资本充足率调整机制,通过内在动力和外在压力使商业银行创新并运用经营管理方法及手段以提高抵御风险能力和国际竞争力。这也是我国银行在激烈的国际竞争中争取优势地位的牢固根基之一。更多还原

【Abstract】 Capital adequacy ratio is one of the most important indicators for measuring commercial banks’comprehensive operating capacity and the risk-resisting ability. The introduction of the Basel Capital AccordⅢin 2010 further strengthened the core position of capital adequacy regulation in the global financial markets, established a comprehensive view of risk and developed the risk measurement from a qualitative analysis to an overall quantitative analysis. In 2004, China Banking Regulatory Commission promulgated the "Measures for the Management of Capital Adequacy Ratios of Commercial Banks" which reflects the the ideas of international practice and a prudential supervision of capital. Moreover, in August 2009, seven regulatory guide documents after revising lay a real subject before China’s commercial banks concerning how to improve the capital adequacy management and how to adapt to changes in an international and a domestic regulatory environment, as well as stepping into a rational operating under the capital constraints.Since the advent of the Basel Accord, owing to its authority and influence as a "sacred conventions", Basel Accord immediately had the attention of commercial banks and regulators. They have taken the principles and spirit of the Basel Accord into their domestic regulation and put into implementation. Basel Accord has a very subtle and delicate risk reduction mechanism and different choices of adjusting methods will have different effects on the cost of bank capital and risk preferences, such as numerator strategies and denominator strategies. How do China’s commercial banks select between the numerator and denominator strategies? What is the law of their adjusting behavior and reasons behind? What kind of adjustment mechanism is suitable for China’s commercial banks? These are what this paper tried to research and explain.This paper firstly gives a general definition of commercial bank’s capital adequacy ratio, followed by a summary discussion of evolution of capital adequacy calculations and the formation and development of Basel Accord. New Basel Accord issued in 2004 upheld the core position of capital adequacy ratio regulation and formed three pillars of the accord. "Measures for the Management of Capital Adequacy Ratios of Commercial Banks" also marked the intensifying of capital regulation and its integration with the international standards. In accordance with "Basel Accord", no matter the old, new orⅢin 2010, banks raise their capital adequacy ratio in two ways:numerator strategies by increasing the core capital or supplementary capital to increase the total amount of capital, and denominator strategies through various financial techniques to reduce the total risk exposure. In this paper, different capital sources are compared to establish a general equilibrium model. The increasingly strengthened banking capital constraints around the world make regulation to be a risk to be reckoned, namely "regulatory risk", which will raise the capital cost. The additional transaction costs and uncertainty out of lack of liquidity for bank capital cost bring a "lemon discount" to happen. The cost of bank equity will be higher than debt costs (deposits) because of lemon discount. Combined with pecking order theory, banks would hold a certain amount of additional capital, which is more than current capital adequacy requirements for a possible new capital needs. In case of a capital shortage, banks will give priority to the internal source to meet the capital requirements within a short time. However, in a long term, denominator strategies should be used. The paper also continues to derive how the change in capital adequacy requirements will affect the cost of capital and the risk preference of banks.After the introduction of current situation of capital adequacy for China’s commercial banks, this paper focuses on how China’s commercial banks adjust the ratio and its impact on risk preference. For that, panel data regression models and improved factors analysis of statistical index are employed to analyze the main strategies that banks in China adopt, and then this paper uses mean-variance analysis and increment decomposition of the tier 1 capital and tier 2 capital to make a further investigation. It is found that, although individual differences are obvious for adjusting method, numerator strategies still dominate for our banks. The paper points out that the reasons are:first of all, the state-owned banks are almost beyond the constraints of capital costs; secondly, in 2004, the bull stock market causes a substantial decline in bank equity capital cost; Finally, the biggest difficulty is from huge cost to fully implement a overall risk management. Next, a partial adjustment model and a stress test are conducted to verify the speed of response and the impact on banks’risk preference, based on different bank categories and different levels of capital adequacy ratio.After a detailed analysis of the reasons behind the adjustment of capital ratio for China’s banks and a comparison with international large banks, especially the post-subprime crisis adjusting behavios, the paper concludes that, because of the characteristics of the capital cost, the numerator strategies entail great expense. Moreover, they are difficult to sustain due to the low efficiency in reducing the overall risk exposure. On the contrary, in China, the use of the denominator strategies makes domestic commercial banks improve the capital adequacy ratio and to enhance their risk management by taking advantage of advanced financial techniques.Finanlly, the paper suggests that based on Basel Accord, in the long term, a constant and sophisticated capital adequacy adjusting mechanism should be established. A mechanism like that will urge banks to improve the ability to resist risks and international competitiveness through internal motivation and external pressure, which is also one of the solid foundation for China’s banks to fight for dominace in the fierce international competition.更多还原