| Since 1970 s,with the increasing important role of finance in the modern economy,the volatility of the finance and economic is also showing more and more obvious positive correlation.The history of the economic and financial crisis shows that the financial sector has the inherent cyclical.As the banking industry plays an important role in a country's financial system,the procyclicality of financial system is more reflected in the commercial banks.Especially in the global financial crisis of 2007-2008,it is indicated that the commercial banks procyclicality is the cause of the financial crisis.After the crisis,financial authorities and international organizations conduct a comprehensive reflection on the current monetary policy framework and financial supervision mode.They generally recognize the procyclicality of real economy and the banking system,and the lack of mechanism and means of counter-cyclical regulation makes the traditional financial regulatory framework further exacerbate internal procyclicality.The traditional monetary policy and financial supervision in order to achieve low inflation and relatively stable macroeconomic targets do not necessarily guarantee financial stability,and the micro-prudential supervision of individual financial institutions sound operation is not enough to effectively prevent systemic financial risks.It needs a new financial macro control and financial supervision mode.Under this background,how to construct the macro-prudential policy framework,strengthening the coordination of monetary policy and macro-prudential policy,easing financial procyclicality and maintaining financial stability are becoming hot issues in theory and practice.The financial crisis has also brought a greater impact on China's economic and financial operation.China's commercial banks also have a cyclical phenomenon.The potential systemic financial risks can not be ignored.In order to adapt to the trend of strengthening macro Prudential Management and improving the ability of counter cyclical financial macro-control in the post financial crisis era,China has also proposed to build a “framework of financial macro Prudential Management system".In 13 th Five-Year the national economic plan explicitly proposed to strengthen macro Prudential Financial management system construction,strengthen coordination,adapt to reform and improve the financial regulatory framework of modern financial market development.At present the academic circles on the banking industry cyclical research more,but with specific characteristics,periodicity of China's banking industry along the cyclical impact on macro economy and between procyclicality and macro Prudential policy relations and other aspects of the research is still relatively small.At the same time,the practice of macro Prudential policy in China is still in the exploratory stage,in the construction of the framework and policy design,policy coordination needs to be further improved.Therefore,this paper select the "commercial bank procyclicality and macro Prudential policy" as the theme of research,in the sort of commercial bank's procyclicality,macro Prudential policy literature foundation on the use of statistical analysis and empirical measurement methods such as in-depth study of commercial bank China along the periodic characteristics,to explore the formation mechanism of commercial bank periodically from the commercial banks behavior characteristics and external supervision system,the study of commercial bank Chinese Shun cyclical impact effect on Chinese economic fluctuation,on the basis of systematic analysis the commercial bank Shun association mechanism and the internal logic between periodic and macro Prudential policy,to explore the construction of macro examination The necessity of prudent policy framework,and the summary and reference after the crisis in Europe and other developed countries in the establishment of the framework of the macro Prudential policy experience,combined with the practice in macro prudential policies in China,explore the establishment and improvement of Chinese with actual countercyclical macro Prudential Financial Policy framework.The structure of this paper is divided into nine chapters.The main content and logical structure of each chapter are as follows:This paper summarizes the related literature at home and abroad,the first commercial bank to shun the formation mechanism of periodic as the starting point,from the launch of China's commercial bank credit loan loss reserve requirements and capital adequacy requirements of the three aspects of the analysis of China's commercial banks procyclical behavior.First,the credit behavior of commercial banks is an important factor that affects economic activities,and the bank credit is the most direct performance of commercial banks.From the relation of our country since 1996 three economic cycle and credit behavior of commercial banks can be seen: the upward economic period,the investment demand increased,the increase in money supply,bank credit is relatively relaxed entry conditions,accelerate the speed of credit,continued credit expansion will lead to credit expansion,bubble economy;and when the slowdown in economic growth when the decline in business efficiency,solvency weakened,non-performing loans are gradually exposed,banks tend to raise loan threshold,credit is shrinking,leading to further economic recession.Second,the loan loss reserve is commercial bank against loan risk from profits or income accounted for a certain percentage of the loan balance of payments has characteristics,prevent bank credit risk and bank capital supplement therefore also has a significant Pro cyclical loan loss reserve.From China's current system of provisioning for loan losses,the loan loss reserve is on loan losses of the remedy,therefore,in this institutional arrangements,China's current system of provisioning for loan losses inherent procyclicality.From the perspective of the economy,2002-2007 years of China's economy is in the upward phase,but also the reform of financial enterprises in China to further promote the stage,this period of China's commercial banks for loan losses increase,a counter cyclical effect,but this is largely due to the reform of commercial banks and loans of the past loss provision "insufficient to make mention of behavior";China's economy has entered a downward phase of 2008-2015 years,during this period,China's commercial banks for loan losses also increased year by year,a significant cyclical effect.Third,the existence of the legal requirements of the capital adequacy ratio makes the credit and other assets and liabilities management behavior of commercial banks have obvious positive cycle.From the capital adequacy ratio of commercial banks in China development level,2003-2007 years,China's economy is in the upward phase,with the acceleration of economic growth during this period,the capital adequacy ratio of commercial banks in China is greatly improved,which is the main source of the expansion of commercial bank capital to the policy of bad debt,the government,capital injection public financing and other external factors;2008-2015 years,China's economy has entered a downward phase,with the slowdown in economic growth,the level of capital adequacy ratio of commercial banks in China continues to improve,capital adequacy ratio of the system is pro cyclical,reflects the awareness of risk management of commercial banks,but on the other hand also further aggravate the volatility of macroeconomic economy.The fourth chapter is the further study of commercial bank Shun cyclical impact on China's macro economy,based on the simplified Tanaka(2003),Dai Jinping(2008)based on the theoretical model,function and penalty function regulatory authorities to prepare for implantation of loan losses,micro mechanism model of the credit behavior of commercial banks.And selected 70 commercial banks of China's annual panel data from 2006-2015 using the periodic GMM model of China's commercial bank credit for empirical research,the results show that: first,our country commercial bank loans growth rate was positively correlated with GDP growth,namely the commercial bank credit procyclicality obviously,and the economic downturn than the upward phase of commercial bank credit procyclicality is more obvious;second,from the institutional factors of commercial banks cyclical behavior,whether in economic ascending or descending stage,loan loss provision of loans and the growth rate was negatively correlated,that China's commercial banks for loan losses the procyclicality is significant,thus further increasing the commercial bank credit and economic fluctuations,but the capital adequacy ratio of commercial banks in China shunzhou During the period of performance is not significant;third,from different types of commercial banks,the economic downturn,a large commercial bank credit procyclicality behavior is more obvious,considering the large commercial banks occupy the leading position in China's banking industry,therefore,in an economic downturn,how to balance the risk at the same time,the appropriate to reduce the large commercial banks regulatory tolerance,large commercial banks play a positive role in boosting economic growth,is the current macro-control departments and financial regulatory authorities should pay attention to the problem.The fifth chapter mainly analyzes the relationship between procyclicality of commercial banks and the financial crisis,from the macro Prudential policy and micro prudential supervision,monetary policy of commercial bank association mechanism and the internal logic between periodic and macro Prudential policy,discusses the necessity of constructing macro Prudential policy framework.In the sixth chapter,combing the international organizations and the United States,Britain,the European Union,Japan,Australia and other developed countries on the basis of construction progress of macro Prudential policy framework,summarizes four experiences and Enlightenment: Firstiy,combining to strengthen macro Prudential Management and micro prudential supervision;Secondly,clearing the central bank in the construction of the core the position in the framework of macro Prudential policy;Third,establishing the macro Prudential policy tools system;Fourth,strengthening the coordination between the various regulatory agencies coordination,information sharing,the formation of regulatory efforts.The seventh chapter,this article from the establishment of the development of financial supervision and coordination mechanism,countercyclical macro Prudential policy tools,to strengthen the supervision of systemically important financial institutions,and strengthen the monitoring and evaluation system of financial risk and strengthen banking consumer protection on the five aspects of China's current macro Prudential policy practice and summarizes.Then the paper analyzes the existence issues of China's macro Prudential policy.The eighth chapter,this article puts forward some suggestions on further strengthening and perfecting Chinese countercyclical macro Prudential policy: first,constructing the system of macro Prudential policy framework counter cyclical,clear objectives,macro Prudential policy analysis,macro Prudential tools and corresponding institutional arrangements;second,improve the legal system of macro Prudential policy,research to develop,in line with the actual "timely introduction of Chinese financial supervision law",through the form of law To determine the division of responsibilities and financial supervision and coordination mechanism,establish a sound legal basis for the implementation of macro Prudential policy;third,accelerate the establishment of financial information sharing mechanism,build a comprehensive statistics platform for the financial industry,to realize the integration and sharing of financial data,and on this basis,the monitoring and assessment of systemic financial risk and strong;fourth.To develop effective macro Prudential policy toolkit,in the framework of universal policy,fully consider the difference of different categories of institutions in different regions and,according to local conditions and conditions for implementation due to structured macro prudential policies;fifth,strengthen the status and role of the people's Bank in the macro Prudential policy framework,established by the people's Bank of macro Prudential professional management,regulatory agencies are responsible for the financial regulatory framework of micro prudential supervision,and strengthen the people's Bank and the micro The coordination and cooperation between the regulatory authorities;sixth,play an important role in the process of policy based financial regulation.Finally,the ninth chapter summarizes and puts forward some future research directions.The innovation of this paper lies in: first,in reference to the simplified Tanaka(2003),Dai Jinping(2008)based on the theoretical model,function and regulatory authorities to prepare for implantation of penalty function of loan loss provision,analysis of micro mechanism of commercial bank credit behavior and the macroeconomic impact of regulatory capital,loan loss.The model explains the institutional factors of the commercial bank's periodic behavior.Second,using the system GMM model,the paper analyzes the institutional factors of the commercial banks,and the impact of the commercial banks' cycle on China's macro economy.In the study of China's commercial banks Pro cyclical features in the economic cycle is divided into upstream and downstream stage stage,the commercial banks are divided into state-owned banks and non state-owned banks,according to the scale of large and medium-sized banks,separately study the cyclical behavior,makeconclusion more practical value.Third,on the basis of previous studies,this paper summarizes the institutional factors of China's commercial banks,and the specific transmission mechanism and characteristics.Based on the current situation of China's economic and financial operation and the current regulatory system,this paper puts forward some suggestions to further strengthen and improve China's macro-prudential policy. |
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