【作者】 熊启跃；

【导师】 黄宪；

【作者基本信息】 武汉大学 ， 金融学， 2013， 博士

【摘要】 银行资本监管一直以来都是经济金融领域所关注的热点话题,而资本监管对银行行为、宏观经济波动以及货币政策传导效果的影响更是受到了理论界和实务界的高度关注。尤其是在2008年金融危机爆发之后,针对老版的资本监管框架在危机中暴露出的一系列问题,巴塞尔委员会推出了旨在提高银行个体经营稳健性、强调宏观审慎监管的《巴塞尔资本协议Ⅲ》(以下简称巴Ⅲ)随着巴Ⅲ在全球范围内的普及与实施,各国银行业将会面临更为严格的资本监管要求,这些政策环境的改变必然会使银行行为表现出一系列的连锁反应,它们既体现在银行日常经营中的资产组合和风险偏好的行为选择方面,也将反映在其面临宏观经济波动和中央银行货币调控时的调整策略上。本文将以资本监管产生的效应作为研究的主要内容,分别就资本监管与银行行为、货币政策传导以及宏观经济波动的关联这几个问题进行研究,以期从理论层面客观地分析资本监管政策带来的一系列宏微观效应,而在现实中,为各国监管当局理性地评估资本监管政策对商业银行行为、货币调控效果以及宏观经济波动带来的潜在影响提供有益参考。有鉴于此,本文提出了以下几个问题：(1)银行资本监管与2008年金融危机发生的内在逻辑是什么,巴Ⅲ中对资本监管框架进行修订的依据是什么?(2)资本监管对银行风险承担和信贷投放等微观行为会产生怎样的影响?对于拥有不同资本金结构和资本金数量银行而言,以上两者的关系是否会有所差异?(3)资本监管的实施对货币政策信贷渠道将产生怎样的影响?其影响在货币扩张和紧缩阶段是否会呈现出非对称效应?(4)理性银行在不同经济周期中调整资本缓冲的行为方式是什么?具有不同微观特征、位于不同经济发展地区和国家银行的资本缓冲的周期性变化特征是否会存在较大不同?中国银行业资本缓冲的调整行为是否会呈现出有别于世界银行业普适性规律的“异象”?为了对上述问题展开研究,本文对Peek&Rosengren(1995), Tanaka(2003)以及Heid(2007)等理论模型框架进行了修正,通过严格的数学推导和逻辑演绎分析构建了各章的理论基础。在理论分析的基础上,本文依托于Bankscope数据库以及前期的大量调研成果,构建了较为全面的跨国银行业数据库对理论部分得出的结论展开了实证研究,该数据库包含了全球104个国家1700多家商业银行自1997年——2011年共10万多个观测样本。在实证研究的过程中本文分别采用了帕氏和拉氏指数的分析框架、动态面板单步系统GMM的估计方法、以及长期弹性系数等研究手段。本文主要得出了以下结论：(1)资本监管套利和资本监管带来的亲周期效应是导致2008年金融危机发生的重要原因,在资本监管套利行为较为普遍的西方发达国家,商业银行往往是通过降低分母的方式提高资本充足率,而对于转型国家而言,其往往以提高资本金的方式提高资本充足率；(2)银行资本缓冲与风险承担和信贷水平之间均呈现正相关关系,但是两者的敏感性会显著受到银行资本金数量和资本金结构的影响；(3)资本监管力度的加强会弱化货币政策信贷渠道的传导效果,并且该效应在扩张性货币政策阶段体现得较为突出,低资本充足率的银行对货币政策冲击较不敏感,该效应在货币紧缩阶段体现得较为明显；(4)从世界范围来看,银行资本缓冲与经济周期之间呈现出显著的负相关关系,银行的微观特征以及其所处的经济环境会显著影响资本缓冲与经济周期之间的负相关关系。对于特定类型和地区的银行,其资本缓冲与经济周期的负相关关系并不十分明显,甚至会呈现出正相关关系。中国银行业就是一个重要特例,其资本缓冲与经济周期之间呈现出有悖于世界银行业普适性规律的正相关关系,并且该特征的出现主要源于商业银行在经济上行周期的分子行为。更多还原

【Abstract】 Bank capital requirement has long been a heated-debate topic in the field of finance and economics. The effects of capital requirements on bank behaviors, macro-economy and the transmission of monetary policy have drawn extensive attention by academic and professional experts, especially after the outbreak of the2007financial turmoil. Drawing lessons from the very crisis, the Basel Committee revised the extant accord, and enacted the Basel Accord Ⅲ (hereinafter referred to as Basel Ⅲ). With the widely adoption of Basel Ⅲ worldwide, the banking industries for most of the countries will be confronted with stricter capital regulatory environment, leading to a chain of reactions by the commercial banks. These responses are not only reflected on banks’day to day risk preferrence and portofilio choices but their optimal decisions in different periods of business cycles and monetary policy stances. So far, extant research has not given an in-depth study on the above-mentioned topics. This paper aims to fulfill this gap theoretically; the related results could also benefit the regulatory authorities to objectively assess the impacts of Basel Ⅲ.This paper presents the following questions:(1) what is the relationship between the former framework of Basel Accord and the2008financial crisis?(2) What effects will stricter capital requirements exert on banks’risk-taking and lending behaviors? Will banks’reactions vary if they have different capital structure and amount?(3) What effects will the stricter capital requirement have on bank lending channel of monetary policy? Are there any differences in phases of monetary expansions and contractions?(4) How does a bank adjust its capital buffer in different periods of the business cycles? What are the characteristics of capital buffer adjustment in China? Is there anything special in China’s banking industry?To solve the above-mentioned issuss, this paper, based on theoretical models of Peek&Rosengren(1995), Tanaka(2003), Heid(2007) and economic analysis, formulates the theoretical foundations and sets up a comprehensive cross-border banking database, which contains104countries and regions, over1700commercial banks with more than100,000observations in the time span between1997and2011. We use the framework of Paasche and Laspeyres Index, dynamic panel one-step system GMM estimation methods, as well as long-term elasticity coefficients have been used to conduct the empirical study.The results show that:(1) capital regulatory arbitrage and pro-cyclicality incurred by capital requirements are two important reasons leading to the financial crisis.The capital regulatory arbitrage is more common in developed countries, whose commercial banks tend to improve their capital ratios by decreasing their risk-weighted assets;(2) the increase (decrease) of banks’capital buffers will lead to a rise (decline) of banks’risk-taking and lending behaviors, and the two sensitivities are significantly affected by banks’capital distribution and structure;(3) central bank’s monetary policy in China asymmetrically affects bank lending behavior. Small banks are found more sensitive to contractionary monetary policy in the Chinese context. Well capitalized banks appear to be more likely to adjust their lending behaviors in response to expansionary monetary policy, and conversely, undercapitalized banks tend to adjust with the advent of contractionary monetary policy. The importance of the bank lending channel declines after China introduced stricter capital requirements in early2004, but the effect is still apparent in times of expansionary policy.(4) From a global perspective, the bank’s capital buffer takes up a negative correlation with the fluctuationso of the macro-economy. Banks with different characteristics and under various economic environments will have different capital buffer decisions in face of the fluctuations of macro-economy, some types of banks even show a counter-cyclical capital buffer patterns.更多还原