【作者】 李雪；

【导师】 高顺芝；

【作者基本信息】 东北财经大学 ， 金融学， 2017， 硕士

【摘要】 2008年金融危机爆发对全球经济危害严重,同时暴露出原资本监管体系强化了金融体系的顺周期性,从而加剧经济波动的缺陷。为了降低银行顺周期性对经济造成的不利影响,以宏观审慎监管为主旋律的《巴塞尔协议Ⅲ》应际而生,协议中引入了逆周期资本缓冲机制,以缓释银行对经济的顺周期效应。2011年,我国监管机构及时进行跟进,将逆周期资本缓冲机制引入到资本监管框架中,要求银行须计提资本留存缓冲,在特定情况下计提逆周期资本缓冲。目前对资本缓冲的研究内容多为其周期性问题研究,而研究对象多为国有银行及大型股份制银行,因此本文运用理论归纳法、对比分析法与实证分析法,从全新视角研究资本缓冲机制对我国城市商业银行信贷行为的影响。本文在梳理相关文献的基础上,首先介绍监管机构对资本缓冲的相关规定,从城市商业银行资本缓冲总体态势和区域特征角度介绍当前现状,随后分析其资本现状及补充来源渠道;其次,就资本缓冲机制对信贷行为影响进行理论分析,结合对银行信贷顺周期理论及资本缓冲对银行信贷行为影响相关机理进行分析,逐步提出本文假设;然后本文通过剔除数据不全及样本期不足4年的城市商业银行,最终选取75家城市商业银行2004-2016年度的非平衡面板数据,采用系统GMM估计方法对设立的资本缓冲调整模型、资本缓冲对信贷增速影响模型进行估计,同时为全方面研究资本缓冲机制对城商行信贷行为的影响,在资本缓冲对信贷增速影响模型的基础上引入地区金融业竞争指数变量,以依次验证本文提出的假设。根据以上相关研究,本文得出结论如下:(1)我国城市商业银行的信贷顺周期并未呈现出明显规律,且资本缓冲机制可强化信贷逆周期效应;(2)城市商业银行的资本缓冲具有逆周期性,且计提资本缓冲的双渠道均有效;(3)资本缓冲对城市商业银行的信贷行为具有非线性影响,资本缓冲的临界值水平大约为6.4687%,即当其资本缓冲水平超过临界值6.4687%时,随着资本缓冲水平继续提高,其信贷增速随之增加,最终促进出现其信贷扩张;(4)地区金融业竞争程度越高可强化资本缓冲对城市商业银行的信贷抑制效应。最后针对本文研究结论,提出相关政策建议。在政府及相关监管机构层面,一方面,实施差异化资本监管,应对城商行在资本缓冲机制下表现出的特殊性;另一方面,合理设置资本缓冲计提区间,使监管反应处于可控状态;再者,减少地方政府过多干预,以提高城商行资金使用效率。在城市商业银行层面,一是,积极转变业务收入结构,发展低资本消耗型业务;二是,发挥地缘优势,提升竞争力。更多还原

【Abstract】 The outbreak of the financial crisis in 2008 was a serious threat to the global economy,the original capital supervision system strengthened the pro-cyclical nature of the financial system and exacerbated the fluctuations of economics.In order to reduce the adverse effects of the bank’s cyclical nature on the economy,The Basel Committee promulgated the Basel Agreement Ⅲ to Implement the macro prudential supervision.The countercyclical capital buffer mechanism was introduced to reduce the pro-cyclical effect of bank credit.In 2011,China’s regulatory agencies put the capital buffer mechanism into the capital regulatory framework,the banks are required to provide capital retention buffers and in particular situation,the banks should provide the counter cyclical capital buffers.At present,the study of capital buffers is mostly about its cyclical problems,the state-owned banks and large joint-stock banks would be the research objects in normal.This paper uses theoretical induction,comparative analysis and empirical analysis to study the impact of capital buffer mechanism on the credit behavior of urban commercial banks in China from a new perspective.On the basis of reviewing the relevant literatures,firstly this paper introduces the relevant regulations on capital buffers and the current status of city commercial banks’ capital buffers,then the paper analyzed the present situation of capital and supplementary sources.Secondly,this paper analyzed the relevant theories of capital cushion and credit behavior and puts forward the hypothesis of this article combining the particularity of city commercial banks.Then,according to the relevant data of 75 city commercial banks from 2004 to 2016,the empirical research was carried out to verify the hypothesis presented in this paper.The following conclusions are obtained in this paper:(1)The pro-cyclical nature of credit in city commercial banks didn’t show a clear pattern,and the capital cushion mechanism can strengthen the credit reverse cycle effect.(2)The channels which increasing capital buffers are effective in the city commercial banks,and capital buffers have the counter-cyclical nature(3)the capital buffer has a kind of nonlinear influence on city commercial banks’ credit behavior.(4)The competition degree of regional financial industry can strengthen the credit restraint effect of capital buffer on city commercial banks.Finally,according to the relevant conclusions of this paper,put forward relevant policy recommendations.更多还原