Macroprudential Supervision And Risk Of Banks

As our country economy enters the new normal,economic growth is shifting and economic cycle fluctuates,all kinds of risks in the financial field gradually highlights.Banking industry,as a key of the economy,is facing the imbalance in the structure of assets and liabilities,serious long period mismatch,"channel" business risk accumulation.Macro-prudential regulation policy becomes particularly important.China's macro-prudential regulation starts late.In 2012,China banking regulatory commission builds the Chinese version of the "Basel III" from the capital buffer,leverage ratio,provision coverage and liquidity indexes.In 2014,the acceleration of macro-prudential regulation takes over and policy regulations increased.In 2016,the people's bank of China was trying to transfer the banking regulatory system to "macro-prudential evaluation system"(MPA),which is the initially formed systemic macro-prudential regulation framework.In March 2017,the central bank was exploring to establish a "monetary policy and macro-prudential policy" double pillar policy framework,which is requied by the 19 th National Congress of the Communist Party of China.In March 2018,the state council proposed to change the original "one central bank and three institutions" into "one committee,one central bank and two sessions",namely the financial stability development council by the state council,the central bank,China's insurance regulatory commission and the securities regulatory commission.So far,our country's macro-prudential "bimodal" supervision system has new progress and breakthrough.However,macro-prudential regulation framework and mechanism in our country is still in the stage of exploration.What kinds of behavioral traits does China's banking risk have? How is the macro-prudential regulation relationship with the bank's risk behavior? In the aspects of different economic cycle,the real estate market growth,different monetary policy and countercyclical capital buffer level,what is the difference between the effects of macro-prudential regulation? How does different monetary policy in the macro-prudential regulation affect the role of bank's risk behavior? How to build the macro-prudential regulation under the bank's risk warning and prevention mechanism of banking stress index prediction effect? How should the banks make the warning index prediction? How does the "one committee,one central bank and two sessions" reform cooperate with "monetary policy and macro-prudential regulation" double pillar framework?This article stars from the bank's risk behavior.According to the Basel III,we subdivide the bank risk into the market risk,credit risk and operational risk,to measure the risk level of banks in China,and analyze the pro-cyclical and risk factors of all banks.On this basis,we use GMM model to study the macro-prudential regulation and bank's risk behavior,to provide reference to perfect the macro-prudential regulation framework.Finally,based on the average method(DMA),dynamic model,we build the macro-prudential regulation of bank risk and early warning and prevention mechanism of banking stress index,and by using support vector machine method(SVM),we test the indicators of risk early warning effect.Specifically,main conclusions are as follows:First,the results of the banking risk show that:(1)the higher the bank assets scale,the higher the risk of the expected loss(SES).Banks' non-performing loan ratio and the expected loss is significantly positively related;the better the macroeconomic situation is,the lower the risk of bank expected loss;(2)when the bank is listed companies,the stronger the ability to resist risks;(3)the system of urban and rural commercial banks have the highest expect risk,followed by the joint-stock commercial banks and state-owned big four banks.Second,the test of the bank's risk influencing factors shows that:(1)both the money supply M2 growth rate and market interest rates have a significant impact on bank risk.When M2 growth faster and the market interest rates are low,banks will improve the tolerance for risk and increase the risk of behavior;(2)the pro-cyclical banking risks in China is tested,and the pro-cyclical of listed banks is more significantly;(3)the real estate market cycle,the bank status,and profitability index,liquid level such as ROA,showed significant positive correlation with bank risk;(4)compared with the state-owned and joint-stock banks,urban and rural banks' the risk sensitivity towards traditional monetary policy is stronger,while the new monetary policy tool(SLF,MLF,PSL)for small commercial banks' risk conduction effect remains to be improved.Third,the results of macro-prudential regulation and bank risk behavior show that:(1)bank risk and capital buffers are negatively related.Among them,the credit risk is the main path of bank risk,followed by operational risk and liquidity risk.So the credit risk regulation should be an important role in the macro-prudential regulation system;(2)the countercyclical capital buffer policy only affects the city commercial Banks play a role,and for large Banks,the effect is not obvious;(3)when the economic downward legs,the bank accounting carry more capital buffers to resist risk;(4)the non-performing loan ratio and bank leverage ratio showed significant positive correlation,and the lag of the prophase leverage shows significant positive impact.Fourth,using the dynamic model of the average method(DMA)to test the banking stress shows that:(1)when it is predicted in one phase advance,to select 6-8pressure index is most appropriate,which can be the capital adequacy ratio and non-performing loan ratio,LDR,M2,market interest rates and the six real estate boom index as a warning;(2)if it is a two phase forecast in advance,8-10 best indicators are best.On the basis of six indexes,we add the RMB exchange rate and inflation rate fluctuations into early warning system.From the above conclusions,it is suggested that:(1)build the proactive leverage regulatory standards and the floating range;(2)perfect "macro-prudential regulation and monetary policy" double pillar system.During the boom years,use the capital adequacy regulation,leverage ratio regulation,forward-looking dynamic provisioning and non-performing loan reserve and other regulatory system;During the economic downturn,more pay attention is paid to the micro prudential supervision of banks and the collocation of the traditional monetary policy with the new monetary policy tools;(3)strengthen the cooperation of "one committee,one central bank and two sessions" with macro-prudential regulation coordination;(4)build the banking risk preventionand early warning index system,and promote the transformation of "financial deleveraging" under the bank.