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论文编号：	10133
作者编号：	2120162755
上传时间：	2018/6/9 13:25:10
中文题目：	中国商业银行资本缓冲周期性及其对信贷供给的影响研究
英文题目：	The Study on the Cyclicity of Commercial Banks’ Capital Buffer and its effect to credit supply in China
指导老师：	王曼舒
中文关键字：	资本缓冲；周期性；信贷供给；商业银行；资本补充能力
英文关键字：	Capital buffer；Periodicity；Credit supply；Commercial banks；Capital replenishment ability
中文摘要：	在2008年全球金融危机爆发后，暴露了金融监管的不足。巴塞尔委员会于2010年颁布了《巴塞尔协议Ⅲ》，提出了资本留存缓冲和逆周期资本缓冲两项新的逆周期政策工具，试图通过监管制度来引导商业银行在经济上行时期计提一定的资本缓冲，以用于在经济下行时期吸收损失。根据以往研究，不同国家商业银行的资本缓冲具有不同的周期性，即商业银行资本缓冲在经济周期的不同阶段，会产生提高或降低信贷供给进而放大或缩小经济波动的效果。我国银行业发展差异悬殊，资本补充能力强弱不一，面对实行的资本缓冲监管政策很可能呈现出不同的反映。因此，本研究将在新的监管背景下，对我国商业银行资本缓冲的周期性进行研究，考察资本缓冲对经济波动可能产生的作用，为商业银行经营管理和监管当局政策提供学术性参考。 本论文选取了中国48家商业银行2009-2016年的数据，主要采用实证分析，辅以文献回顾、理论分析和描述性说明等方法进行研究，具体章节安排如下：第一章介绍了宏观经济、行业发展以及监管政策的变化等，明确了研究背景和研究意义，梳理了研究框架和研究思路。第二章首先进行概念界定，其次回顾相关理论，最后围绕资本缓冲产生作用的机制分别进行文献综述。第三章首先介绍了国际国内监管政策演变和我国银行资本现状，再从理论分析入手，提出了研究假设。接下来的第四章，针对研究假设设计了三个部分的实证检验，并将48家商业银行按资本补充能力强弱分为两个子样本分别进行回归。第五章总结了研究结论，针对商业银行和监管当局提出了政策建议，并明确了未来进一步研究方向。 实证结果表明，我国商业银行资本缓冲整体上具有逆周期性，资本补充能力强的上市大型和股份制商业银行资本缓冲尤为明显，资本补充能力弱的未上市城商行和农商行资本缓冲不具有显著的周期性。另外，资本补充能力强的商业银行会通过调整监管资本以影响资本缓冲，而资本补充能力弱的商业银行会通过调整加权风险资产以影响资本缓冲。
英文摘要：	After the outbreak of the global financial crisis in 2008, the lack of financial supervision was exposed. The Basel Committee promulgated Basel III in 2010, proposed two counter-cyclical policy tools: retained capital buffers and counter-cyclical capital buffers, trying to encourage commercial banks to make certain buffer in the boom period to absorb losses when the economy falls. According to past studies, the capital buffers in different countries have different periodicity, that is, at different stages of the economic cycle, the capital buffers will increase or decrease the supply of credit, thereby amplifying or reducing the economic fluctuations. There are various capacities of capital replenishment between China's banks and the development of China's banking industry is unequalled. So the implementation of the capital buffer supervision policy is likely to show different reflections. Therefore, this study will research the cyclicality of capital buffers of commercial banks in China under the new regulatory background, examine the possible effects of capital buffers on economic fluctuations, and provide academic reference for commercial banks and regulatory authority. This paper selects data from 48 commercial banks in China for 2009-2016, mainly using empirical analysis, supplemented by literature reviews, theoretical analysis, and descriptive explanations. The specific chapters are organized as follows: The first chapter introduces changes in the macroeconomics，development of banking industry and regulatory policies, clarify the research background and research significance, and hackle the research framework and research thoughts. The second chapter firstly defines the concept, then reviews related theories, and finally summarizes the literature based on the mechanism by which the capital buffer has a role. The third chapter first introduces the evolution of international and domestic regulatory policies and the current status of China's bank capital. Then it begins with theoretical analysis and proposes research hypotheses. In the fourth chapter, three empirical tests are designed for the hypothesis of the study, and 48 commercial banks are divided into two sub-samples according to their capacities of capital complementation. The fifth chapter summarizes the conclusions of the study, proposes policy recommendations for commercial banks and supervisory authorities, and clarifies further research directions in the future. The empirical results show that the capital buffers of commercial banks in China are counter-cyclical as a whole, and the capital buffers’ periodicity of listed large-scale and joint-stock commercial banks with strong capital replenishment capabilities are particularly obvious, and the capital buffers’ periodicity of unlisted city commercial banks and rural commercial banks with weak capital replenishment capabilities are not significant. In addition, commercial banks with strong capital replenishment ability will influence capital buffers by adjusting regulatory capital, and commercial banks with weak capital replenishment ability will influence capital buffers by adjusting weighted risk assets.
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