發(fā)布時間：2018-03-20 01:23

  本文選題：商業(yè)銀行　切入點：順周期性　出處：《南昌大學(xué)》2017年碩士論文　論文類型：學(xué)位論文

【摘要】：在2008年國際金融危機爆發(fā)之前,全球經(jīng)濟看似正處于上行區(qū)間的良好運行態(tài)勢實則是危機暗涌,金融體系內(nèi)存在著嚴重的流動性過剩,不斷擴張的銀行信貸規(guī)模,過度和無序使用的金融衍生產(chǎn)品等最終致使了本次金融危機的爆發(fā)和迅速蔓延。在這次金融危機過后,在世界范圍內(nèi)廣泛討論了金融體系的順周期性以及金融監(jiān)管的乏力問題。《巴塞爾協(xié)議III》和我國銀監(jiān)會發(fā)布的《商業(yè)銀行資本管理辦法》都提出需要緩解順周期性和加強逆周期監(jiān)管。在監(jiān)管改革新背景下,研究我國商業(yè)銀行資本充足率的順周期性與逆周期監(jiān)管策略有著現(xiàn)實意義。本文在闡述順周期性相關(guān)理論的基礎(chǔ)上,分析了資本充足率的順周期性產(chǎn)生的原因以及影響。然后,介紹了我國商業(yè)銀行資本充足率的現(xiàn)狀并選用我國12家商業(yè)銀行2005年—2014年的面板數(shù)據(jù)利用固定效應(yīng)回歸方法分析我國商業(yè)銀行資本充足率的順周期性。實證結(jié)果表明,我國商業(yè)銀行資本充足率同經(jīng)濟增長率之間有著逆向波動關(guān)系,資本充足率會隨經(jīng)濟增長率的提高而下降,會隨著經(jīng)濟增長的減緩而提升。接著本文還介紹了西班牙和英國對資本充足率實施逆周期監(jiān)管的實踐。最后建議相關(guān)監(jiān)管機構(gòu)從逆周期監(jiān)管策略如緩解最低資本要求順周期性的波動、建立資本緩沖、計提動態(tài)撥備以及監(jiān)管杠桿率來緩解資本充足率有著順周期性的問題。
[Abstract]:Before the outbreak of the international financial crisis in 2008, the good operating situation of the global economy, which appeared to be in an upward range, was actually a crisis surges, a serious excess of liquidity in the financial system, and an ever-expanding scale of bank credit. Excessive and disorderly use of financial derivatives eventually led to the outbreak and rapid spread of the financial crisis. After this financial crisis, In this paper, the problems of the procyclicality of the financial system and the weakness of financial supervision are extensively discussed in the world. The Basel Accord III and the Capital Management measures of Commercial Banks issued by the Banking Regulatory Commission of China both put forward the need to alleviate the procyclicality. And strengthening countercyclical regulation. In the new context of regulatory reform, It is of practical significance to study the pro-cyclical and counter-cyclical supervision strategies of the capital adequacy ratio of commercial banks in China. Based on the exposition of the theory of pro-cyclicality, this paper analyzes the causes and effects of the procyclicality of the capital adequacy ratio. This paper introduces the present situation of the capital adequacy ratio of commercial banks in China and uses the panel data of 12 commercial banks from 2005 to 2014 to analyze the procyclicality of the capital adequacy ratio of commercial banks in China by using the fixed effect regression method. There is a reverse fluctuation relationship between the capital adequacy ratio and the economic growth rate of commercial banks in China, and the capital adequacy ratio will decrease with the increase of the economic growth rate. This article also introduces the practice of countercyclical regulation of capital adequacy ratio in Spain and Britain. Finally, it suggests that relevant regulators should start from countercyclical regulatory strategies such as mitigating minimum capital. Requiring pro-cyclical fluctuations, Establishing capital buffers, making dynamic provisions, and regulating leverage are pro-cyclical problems.
【學(xué)位授予單位】：南昌大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2017
【分類號】：F832.33;F830.42

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