Research On Commercial Banks Risk-taking And The Coordination Of Macro-Prudential Policy And Monetary Policy

2008financial crisis showed that its lack and oversight of supervision is an important cause of the crisis. By the end of2010, the Group of Twenty and the Basel Committee identified Basel Ⅲ, and the concept of prudential supervision has changed gradually from micro-prudential supervision to the macro-prudential regulatory. China’s Twelfth Five-Year Plan clearly defined we should constructe the counter-cyclical prudent macro management framework. Counter-cyclical macro-prudential supervision has made a significant impact on bank behavior and its development strategy, we should confirm if China’s banking system exists such a pro-cyclical, what is the status of countercyclical capital buffer, which factors will affect the capital buffer, and how bank will adjust between bank risk and capital buffer? How the implementation of monetary policies will impact the macro-prudential policy and how the macro-prudential policy will change? If there is an relation between macroprudential policy and monetary policy, how to coordinate these two policies? And how the implementation of monetary policy will impact the operation of bank soundness? These studies have important theoretical and practical significance for China’s financial security, and will provide some support for our policy.This paper is divided into seven chapters:The first chapter is an introduction, includes background and so on; Chapter II is the theoretical basis of the analysis; Chapter III includes the relevant theory and literature review and synthesis; Chapter IV elaborates that we should make a construction of countercyclical macroeconomic prudential supervision mechanism; Chapter V gives an research on commercial bank risk-taking and counter-cyclical macro-prudential; Chapter VI make a research of the coordination between macro-prudential supervision and monetary policy. Chapter VII is the conclusion, policy advice and research prospects. The conclusions of this paper are as follows:First, the empirical results indicate the leverage of China’s banking exists the problems of pro-cyclicality, and the pro-cyclicality of the listed banks is more obvious. Further, according to the Basel Accord this paper makes the measurement of capital buffer status with national economic and financial data.The paper analyzes that what factors will have an influence on the countercyclical capital buffer, the results showed that:(1)the capital buffer of China’s large banks were pro-cyclical and their moral hazard behavior are more significantly, while city commercial banks showed a countercyclical capital buffer state;(2)In different stages of the economic cycle the credit growth has the threshold effect on the capital buffer, in line with Basel Ⅱ reverse cycle thinking.Second, the paper uses simultaneous equations model to analyze the relationship between capital buffer and commercial bank risk-taking, the results show that (1)(2) bank risk-taking and capital buffers are related negatively and their dynamic adjustment depends on bank capital levels;(2) monetary policy has a threshold effect on capital buffer adjustment mode, but not with the threshold effect on the adjustment of bank risk-taking.Third, this paper uses panel threshold model to test capital regulation has non-linear effects on bank risk-taking, the study showes that (1)he regulatory capital of the bank’s risk threshold exhibit nonlinear characteristics; under different regulatory capital district system, capital regulation and bank risk show a positive correlation to verify the regulatory hypothesis, but there is a different degree of risk capital regulation effects on different capital adequacy of banks;(2)the estimated threshold value is greater than the minimum capital regulatory level, indicating that the current risk capital regulation has low cost on capital adequacy of banks, it is not enough to produce proper impact, and seize the opportunity of regulatory intervention lately.Fourth, This paper gives a test that the risk-taking channel of monetary policy in China’s banking industry and analyzes the relationship between the macroprudential policy and the monetary policy. The research shows that,(1) the risk-taking channel of monetary policy in our country exists;(2) bank capital adequacy and liquidity under different monetary policy has different effects on bank risk-taking, which showed that the micro characteristics of banking risks have differential effects on monetary policy; the greater scale and the structure of the bank concentration is beneficial to reduce the bank risk-taking.Fifth, This paper constructs bank stabilityindex. Furthermore,we analyze the relationship betweenthe growth ofmonetary policy,creditgrowth rate andbank stabilityindex with panel VAR model, the results show that:(1)the implementation ofloose monetary policywill helpbank stabilityindexrise in the short term,but in the long runit is not conducive to the development ofthebank;(2)the growth of the credit growthrateis not conducive tothe stability of the bankingbusiness.Through the above conclusion, the paper gives the following appropriate policy implications:we should make the introduction of the leverage ratio and a minimum capital adequacy ratio of regulatory supervision; we establish a counter-cyclical capital regulation system; in the formulation of macro-prudential regulatory objectives policy makers should consider the monetary policy, and make a coordination between monetary policy and macro-prudential policy, and focus on the microscopic characteristics of the bank, and implement differentiated regulatory measures; the government must accelerate the transformation of the banking sector.