资本充足率约束与银行资产组合行为及其宏观经济效应研究

【作者】 徐明东；

【导师】 陈学彬；

【作者基本信息】 复旦大学 ， 金融学， 2008， 博士

【摘要】 1988年发布的资本协议是银行监管历史上一个重要的里程碑,标志着资本监管成为审慎银行监管的核心和国际标准;2003年银监会的成立将中国银行业资本监管由制度建设层面推向了逐步实施阶段。以资本充足率要求为核心的资本监管对商业银行行为具有哪些影响、多大程度的影响,其影响机制是什么,这种监管方式对宏观经济波动、货币政策传导机制具有哪些影响,其影响渠道又是什么?这不仅是一系列理论问题,更是一系列现实问题:涉及到在中国银行业正经历市场化改革、银行面临的目标函数和约束条件正在发生改变的大背景下,如何提高以资本充足率要求为核心的资本监管有效性,如何理解货币政策的传导机制,如何改善银行资本监管与货币政策的协调等政策问题。本文以许多银行往往持有比最低资本充足率要求更多资本的现实为切入点,通过对资本充足率约束下银行最优资本决策的理论模型和其他国家银行业资本比率变动的经验分析,我们发现银行对资本进行主动管理、外生资本约束内生化是实现有效资本监管的重要条件;出于谨慎性动机银行的最优资本比率受自身战略、监管约束与市场约束的多重影响,反周期性特征明显。中国银行业国有资本的性质是国家信用担保,早期国家以其声誉“入股”的条件下,国有银行资本金的多少只具有一定的会计意义;但国家声誉的提供并不是无成本的,扭曲了银行经营的激励约束机制,引起银行大量的坏账。随着国内银行业的市场化改革和资本监管的实施,中国银行业资本比率提高较多,但从量上看,即使已经达到了监管要求的国内银行同国际先进银行相比,资本比率仍然较低;从质上看,目前国内银行资本比率的大幅提高主要依赖政策性外部融资渠道,而不是通过银行风险管理能力提高、盈利能力改善的内源性融资结果,银行资本管理意识和能力较弱,仍停留在“被动”而非“主动”资本管理阶段。对中国目前而言,资本充足率约束能起到的最大作用就是限制银行资产的扩张,虽然随着银行业市场化改革的深入,除防止破产倒闭的功能外,银行资本的其它三种作用将逐步显现。理论分析和国际经验表明,银行资本充足率约束确实能起到限制银行信贷扩张速度的作用,实施初期和受到危机事件影响可能会引起银行的信贷紧缩行为。同时,资本充足率的约束并不必然带来银行资产平均质量的提高,这与不同监管体制要求的激励有关。对中国12家微观银行面板数据的实证分析表明资本充足率要求制度显著降低了银行贷款的增长速度,国内资本监管的实施具有一定的效果;但国内银行尤其是资本水平严重不足的银行信贷增长仍较快,说明了监管者对资本充足率不达标仍然较为宽容,反映了现有经济环境和银行机构质量特征下监管当局更重视不良贷款指标的最优政策选择结果。银行信贷渠道对于理解中国经济周期是不容忽视的。本文构建了一个包含货币当局、银行部门、中间品部门、最终品部门和家庭的五部门随机动态一般均衡模型,综合传统银行信贷渠道和银行资本渠道,为从各主体行为最优化出发分析银行信贷与经济波动的关系提供了一个新的综合分析框架,并利用该框架探讨了银行目标函数和约束条件发生变化时对商业银行信贷行为及信贷与经济波动关系的影响,考察了五种外生冲击对银行信贷与中国经济波动的影响,重点分析了资本充足率监管的宏观经济含义和对货币政策的政策指导意义。结论显示:资本监管约束在带来银行系统安全性提高的同时,可能是顺周期的,资本监管的顺周期性会放大经济中各变量的波动幅度,降低货币政策的效果;资本充足率监管实施初期会带来一定的经济紧缩,有效的内生资本约束也会带来银行信贷与经济波动的波动幅度扩大的问题;当银行目标由追求利润最大化转向追求股东价值最大化,市场力量增强,有利于减少银行存贷款、存贷利差以及各实体经济变量的波动幅度;随着巴塞尔新资本协议的实施,由于风险权重内生化带来的资本监管顺周期性要求,可能会放大固定风险权重下的存贷款、存贷利差以及各实体经济变量的波动幅度。更多还原

【Abstract】 The 1988 Basel Accord was an important milestone in the history of the banking supervision, which symbolized the capital supervision became the core and the international standard of the prudential banking supervision. As China Banking Regulatory Commission was established in 2003, the capital supervision in Chinese banking industry was transmitted from the system construction to the gradual implementation and the emphasis of banking supervision was transmitted from the institutional supervision to the risk supervision. What impact and how much does the capital regulation centered on capital requirements have on the commercial banks’ behavior? By what mechanism does the impact work? What impact and how does the capital supervision have on the macro-economic fluctuation and the monetary policy pass-through? These are not only theoretical problems, but also practical one. They involve such policy challenges as how to improve the efficiency of capital regulation centered on the capital adequacy requirement, how to understand the pass-through mechanism of monetary policy and how to improve the coordination between the banking capital regulation and the monetary policy under the background of the market-oriented reform of Chinese banking industry and the changing target function and constraints of commercial banks.In practice, many commercial banks hold much higher capital than the minimum capital adequacy. This dissertation begins with this fact and analyzes the optimum capital ratios selection under the exogenous constraint of the minimum capital adequacy requirement. With the theoretical research of banks’ optimization of capital ratio selection under the constraint of the capital adequacy requirement and the analysis on the experience of the capital ratio change in other countries’ banking industry, it is found that the active management of bank capital and the endogenesis of exogenous capital constraints are the important conditions for the realization of efficient capital regulation, and the optimum capital ratio based on banks’ prudential motivation is effected by banks’ strategies, supervision constraints and market constraints, with an apparent anti-periodic feature. In China’s banking industry, state-owned capital means the credit guarantee by the government, and in the early years when the government invested with its reputation, the state-owned banks’ capital only had an accounting meaning. However, government reputation is not costless, and it often distorts the incentive and constraint mechanism for bank operations and induces lots of non-performing loans. In China’s banking industry, the capital ratio is much more increased with the promotion of the market-oriented reform and the implementation of capital supervision in recent years. However, compared with international banks, the capital ratios of domestic banks which meet the supervision requirement are still in a very low level by quantity. And by quality the large capital ratio increase of domestic banks mainly rely on external policy financing, not on internal financing through the increasing of risk management ability and thus the improvement of profitability. Therefore, the sense and ability of capital management is still very weak, and the capital management still stays in a passive stage, not in an active one. In present China, the major role of capital adequacy constraint is to restrain banks from assets expansion although with the deepening of the market-oriented reform the other three functions besides form preventing banks from bankruptcy will gradually take on.Therotical analysis and international experiences show that the capital requirement indeed constrains the expanding speed of bank credit assets, and bank maybe tightened their credits at the initial-implementing periods or influenced by bank crisis.Besides,the capital requirement isn’t sure to improve the average quality of bank credit assets,which is concerned with incentives in different supervisory institutions.Empericial analysis,used 12 micro-bank balance panel data,shows that capital adequacy requirement significantly decreases the growth rate of bank loans and capital requirement produces some effects.However,the growth rate of bank loans,especially inadequate-capial banks,is still high,which reflects that supervisor is not strict in implementing the capital standard.Bank credit channel is very important in analying China’s Economic Cycle. This dissertation try to construct a dynamic stochastic general equilibrium model and make a new comprehensive analyzing framework to the relationship between bank loans and economic fluctuations,including monetary authority,banking sector,intermediate goods sector,final goods sector and houshould, and ntegrating traditional bank credit channel and bank capital channel.Based on this framework,we dicuss the impacts on bank behavors and economic fluctuations when object function and constraints changes ,and analyzing the impacts of five exogenerous shocks on bank loans and China’s economic fluctuations,emphasizing on the macroeconmic impliations of bank capital requirement and monetary policy.The conclusions show that bank capital requirement may be procyclical and enlarge some macroeconmic variables’ fluctuation.when market power increases and bank’s object function changes from porfit-maxmization to value-maxmization,the fluctuation of deposits and loansjnterest margin and other econmic variables decrease.With the implemention of new basel capital accord fluctuation of deposits and loansjnterest margin and other econmic variables may increase as the procyclity of risk-weight eendogenesis.更多还原