【作者】 胡军；

【导师】 周丽莉；

【作者基本信息】 南昌大学 ， 金融学， 2018， 硕士

【摘要】 在后危机时代,金融界对于当前监管模式进行反思,并且一致认为单一的资本充足率监管指标并不能防御金融系统性风险,由此《巴塞尔协议Ⅲ》引入杠杆率监管,和资本充足率等指标一起完善了资本监管框架。从杠杆率指标的定义我们可以认识到该项监管指标有效的弥补了资本充足率的不足。我国金融监管机构依据协议框架内容也对商业银行实施了新的资本管理办法,被称为“中国版巴塞尔协议”,在新的监管办法下银行自身资产配置要做出适当改变以应对双重指标监管的要求。本文首先对中国银监会在《巴塞尔协议Ⅲ》监管体系的大框架下,结合我国商业银行发展现状出台的杠杆率新规做了一番简单的介绍,并且阐述了当前我国杠杆率以及商业银行资产配置的现状。在分析过程中,本文依据我国16家有代表性的商业银行的资产规模进行银行类型的划分,对不同类型的商业银行杠杆率进行统计分析,分析对比不同规模的商业银行杠杆率会存在一个明显的差距,但总体都达到了监管机构的监管要求。在理论阐述中运用了一个理论模型分析了杠杆率对于商业银行运营风险,且分析了杠杆率监管在商业银行资产配置调整中的影响,为本文接下来实证研究提供了重要思路;接下来本文从宏观经济环境、监管部门的外部管制和银行自身特质三方面分析得出了对论题的影响因素。在实证研究部分,本文使用面板数据模型分析了16家商业银行的近十年的年报数据,得出相关因素对银行资产配置的影响。从实证结果来看,商业银行资产配置受到杠杆率、资本充足率、银行规模、不良贷款率和利润率的而影响,其中杠杆率、银行自身规模和利润率是会促使银行资产逆向选择的趋势,银行会偏向于持有高风险资产;而资本充足率和不良贷款率则相反,会使得银行增加低风险资产的持有量。最后,文章从银行角度和监管部门角度给出了商业银行资产配置调整的一些政策性建议,并给出进一步研究方向。更多还原

【Abstract】 In the post-crisis era,the financial community rethinks the current regulatory model and agrees that a single monitoring indicator of capital adequacy ratios does not protect against financial systemic risks.Basel Ⅲ therefore introduces leverage ratio regulation,and the addition of leveraged regulatory indicators becomes new.The important part of the capital supervision box,it effectively supplements the shortage of capital adequacy.China’s financial regulatory agencies have also implemented new capital management measures for commercial banks in accordance with the framework of the agreement,known as the “China Basel Accord”.Under the new regulatory approach,the bank’s own asset allocation structure should be appropriately changed to deal with double Indicator monitoring requirements.Therefore,it is of great practical value and practical significance to study the direction of asset adjustment under the supervision of China’s commercial banks in the introduction of the new indicator of leverage ratio.This article first briefly introduces Basel Ⅲ and the new regulations on leverage ratio introduced in China,and analyzes the current leverage ratio of China and the current status of commercial banks’ asset structure.According to the classification of China’s commercial banks by the CBRC,China’s The financial data of 16 listed commercial banks carried out a comprehensive statistical analysis of the current situation of the leverage ratio of China’s commercial banks.It compares the leverage ratio and capital adequacy ratio with the impact of commercial bank assets,and uses a model to analyze leverage in the theoretical elaboration.The supervisory role of rate for commercial banks’ operational risk and the impact of leverage on the adjustment of asset structure of commercial banks provide an important idea for the following empirical demonstration of this paper;the following article from the macroeconomic environment,the external control of regulatory authorities and banks Analyze the influencing factors on the topic of the article in three aspects of its own characteristics,and select the panel data of 16 listed commercial banks in China to conduct further empirical tests.From the empirical results,the adjustment of the commercial bank’s asset structure is affected by leverage ratio,capital adequacy ratio,bank Scale,not Affected by the loan rate and profit rate,the leverage ratio,the bank’s own scale and profitability are the trends that will promote the bank’s asset selection.Banks tend to hold high-risk assets,while the capital adequacy ratio and non-performing loan ratio are the opposite.It will allow banks to increase their holdings of low-risk assets.Finally,the article gives some policy suggestions on the adjustment of the commercial bank’s asset structure from the perspective of the bank and the regulatory authorities,and gives further research directions.更多还原