【作者】 党宇峰；

【导师】 梁琪；

【作者基本信息】 南开大学 ， 金融学， 2013， 博士

【摘要】 全球性金融危机对银行体系及实体经济的重创,引发了各界对经济金融理论的反思,并带来了金融监管领域的深刻变革。金融监管的缺失和乏力被认为是此次全球性金融危机爆发、扩散、蔓延至全球,并引起全球经济下滑的重要原因之一。2009年以来,许多国际组织和各国政府陆续推出了一系列研究报告和金融监管改革方案,通过对其比较可发现,加强宏观审慎监管、实现其与微观审慎监管的有机结合,已成为全球金融监管未来的主要发展趋势。宏观审慎监管这一新的监管理念在银行监管领域集中体现在最新颁布的《第三版巴塞尔协议》(即Basel Ⅲ)中。巴塞尔Ⅲ提出了留存资本缓冲和逆周期资本缓冲两项新的逆周期政策工具,试图以监管制度的形式促使商业银行在经济上行时期计提一定的资本缓冲,以便在经济下滑时吸收损失之用。同时,监管当局希望能通过资本缓冲这一工具达到限制银行信贷过度波动的目的,以此减缓资本监管和银行体系的内在顺周期性。然而,银行资本缓冲也可能具有周期性,这会影响到银行的周期性行为。所以,要提高我国银行资本监管的有效性,充分发挥逆周期监管工具的积极作用,维护我国银行体系的稳健运行和经济金融的稳定,必不可少的条件是要清楚地认识和理解被监管对象的行为特征。鉴于此,本文从银行资本缓冲这一相对新颖的视角切入,采用理论分析和实证研究相结合的方法,系统深入地研究了资本监管作用下我国商业银行周期性行为的相关问题,并结合我国实际给出了相应的政策建议。首先,本文基于我国87家商业银行的年度数据,对我国商业银行资本缓冲的周期性及其经济效应进行了初步的探索,实证结果发现：样本期内,我国商业银行的资本缓冲总体上不具有周期性,值得注意的是,已有针对资本缓冲周期性研究的隐含前提假设在我国并不一定成立,资本缓冲水平提高未必会导致银行信贷供给的减少,而资本缓冲水平和银行信贷供给之间的负向变动关系,是表明资本缓冲是否具有调节信贷供给能力的关键,这一点是已有研究能否借助于资本缓冲与经济周期之间相关性判定资本缓冲周期性的根本；同时,我们还发现我国不同类型银行的资本缓冲具有差异化的周期性特征,特别是大型银行的资本缓冲表现出明显的逆周期性,资本缓冲与经济增长之间呈现正相关关系,而且资本缓冲与银行信贷之间呈现负相关,说明大型银行的资本缓冲通过对信贷供给过度波动的约束作用,能在一定程度上缓解经济的周期性波动。其次,本文采用2005年1季度-2011年4季度期间我国上市银行的季度数据,划分不同的经济周期阶段,进一步探究了经济周期对我国银行资本缓冲行为的影响。研究发现,在样本期内,无论在经济扩张期还是经济衰退期,我国上市银行的资本缓冲整体上具有逆周期性。而且,资本缓冲对经济周期的敏感性具有非对称性,在经济衰退期,资本缓冲受经济波动的影响更为强烈。从周期性的驱动来源看,银行不仅通过贷款等风险加权资产的变化调整资本缓冲,资本的变化也是资本缓冲逆周期性的重要动因。分不同银行类型的研究显示,大型银行的资本缓冲具有逆周期性,其主要驱动因素是资本的周期性调整,只有较弱的证据显示大型银行会通过主动调节贷款的方式来改变资本缓冲。而其他上市银行的资本缓冲仅在经济衰退期表现出逆周期性,且倾向于通过贷款调节的方式来实现。最后,对不同资本充足水平银行的研究发现,资本充足水平的不同,并未导致上市银行资本缓冲周期性行为的显著差异,资本缓冲逆周期性的结论依然成立,只是资本充足水平较低的银行不具有前瞻性,在面临监管压力的情况下,其未能在经济扩张期增加资本缓冲,从而更可能遭受经济衰退的不利冲击。最后,巴塞尔委员会制定并颁布了《各国监管当局实施逆周期资本缓冲的指引》,要求各国监管部门据此在本国开展逆周期资本缓冲的实施工作。本文根据该框架建议,实证考察了逆周期资本缓冲政策在我国银行业应用的相关问题。研究认为,在我国,信贷/GDP比率是能够较好地用作经济上行期判断信贷过快增长和系统性风险积累的指标,通常情况下作为我国银行业实施逆周期资本缓冲计提的参考基准具有一定的可靠性,但是仍需注意该指标有时可能会存在产生误导信号风险的问题。因此,我们建议我国银行监管当局对此须保持警惕,在主要参考该指标的同时,应对经济金融的运行状况和银行体系的信贷波动作进一步的判断分析,适时地将自我判断和该参考基准相结合,以便更加准确地做出逆周期资本缓冲的决策。更多还原

【Abstract】 The global financial crisis hit the banking system and the real economy, which has resulted in rethinking about economic and financial theory, and brought profound changes in the field of financial regulation. The lack and weakness of financial regulation are considered to be the reason why the global financial crisis began, spread, and finally led the global economic into downturn. Since2009, many international organizations and national governments have announced a series of research reports and financial regulatory reform programs. Through them we can find that it has become a main trend of the global financial regulation in the future to strengthen macroprudential regulation and integrate it with microprudential regulation. The new concept of macroprudential regulation has been reflected in Basel III about bank regulation, published lately. Two new countercyclical policy instruments, capital conservation buffer and countercyclical capital buffer, have been created in Basel III. Through them, the regulatory authorities attempt to urge commercial banks to maintain certain capital buffers in good times, in order to absorb losses during economic downturns. At the same time, they try to restrict the excessive volatility of bank credit through the tools, which may help slow down the inherent procyclicality of capital regulation and the banking system. However, bank capital buffers themselves may also have cyclicality, which can affect the cyclical behavior of banks. Therefore, for improving the effectiveness of bank capital regulation in China, strengthening the positive effect brought by the countercyclical regulatory tools, maintaining sound operation of bank sectors and economic and financial stability in China, it is necessary to understand clearly the behavioral characteristics of the regulatory objects. In view of this, this paper investigates some relative problems about the cyclical behaviors of commercial banks in China under capital regulation from the relatively new perspective of bank capital buffers, with the methods of theoretical analysis and empirical research. Then we raise corresponding policy recommendations based on our conclusions and China’s reality.Firstly, based on yearly data of87commercial banks in China, we preliminarily explore the cyclical nature and its economic effects of China’s bank capital buffer. The empirical results show that:in the sample period, capital buffers built by China’s commercial banks on the whole have no cyclicality. It is noteworthy that the implicit assumption already existed in the analysis of cyclicality of capital buffers may be ambiguously applicable to China, that is to say, increasing capital buffer levels may not necessarily lead to a reduction in bank credit supply. However, the negative relationship between capital buffers and bank credit supply is the key to judge whether capital buffer can be used to adjust the supply of credit, which is the fundamental point of determining the cyclicality of capital buffers through the correlation of capital buffers and business cycle. We also found that capital buffers of different types of banks have differentiated cyclical characteristics, especially for large banks’ capital buffers which showed significant countercyclical characteristics, that is to say, the correlation between capital buffers and economic growth ratio is positive, and then there is a negative correlation between capital buffers and bank credit. From that we can draw a conclusion that to some extent, large banks’capital buffers can alleviate the cyclical economic fluctuation through the binding effect on excessive volatility of credit supply.Secondly, based on quarterly data about China’ listed banks during the period from the first quarter of2005to the fourth quarter of2011, which have been divided into different business cycle stage, the paper do some further research about the impact of economic cycle on bank capital buffers in China. The study finds that in the sample period, no matter in the period of economic expansion or recession, capital buffers of China’s listed banks are as a whole countercyclical. Moreover, the sensitivity of capital buffer to business cycle is asymmetry, which means that capital buffer is more strongly affected by economic fluctuations during the recession. In respect of the cyclical driving source, the changes in capital are also important momentum for countercyclicality of capital buffers, the changes of bank credit, one of the risk-weighted assets, are as well as used to adjust bank capital buffers. The studies based on different types of banks show that, large banks keep countercyclical capital buffers. The main driving factor of them is the cyclical adjustment of capital, and there is only weak evidence to suggest that large banks will positively adjust loans to change the level of capital buffers. The other listed banks tend to make their capital buffers exhibit countercyclical during the recession by adjusting their loan. Finally, the research based on banks with different levels of capital adequacy shows that the difference from capital adequacy levels of listed banks does not result in significant difference in cyclical behavior of capital buffers, so that the conclusion that capital buffers are countercyclical is still valid. But low-capitalized banks are not forward-looking. When facing regulatory pressure, they may not build up their capital buffers during booms to be able to accommodate materializing credit risk during busts, and thus are more likely to suffer from the adverse impact of economic recession.Finally, the Basel Committee has issued’Guidance for national authorities operating the countercyclical capital buffer’, which require national regulatory authorities in different countries to carry out the guidance about countercyclical capital buffer. Based on the recommendations of its framework, we do some empirical works towards related issues about how countercyclical capital buffer policy will be applied in China’s banking industry. The results suggest that in China, the credit-to-GDP ratio can be used as an indicator of excessive growth of credit and accumulation of systemic risk. It is to some extent reliable when used usually as a reference for China’s bank sectors to withdraw countercyclical capital buffer. However, the indicator is still paid more attention since sometimes it may produce a misleading signal. Therefore, we suggest that China’s banking regulatory authorities should remain vigilant, not only focus on this indicator, but make further analysis towards economic and financial situations and volatility of credit in the banking system as well. By combining self-judgment and using the indicator as reference, they can make more accurate decisions on countercyclical capital buffer.更多还原