Research On Counter-cyclical Capital Regulation Of China's Commercial Bank

The global financial crisis in 2008 led to a great global economic depression.It happened mainly owning to a lack of financial supervision,which means that the micro-prudential supervision measures were more taken over the single regulatory agencies for a long time,ignoring the systemic risk supervision.What's more,the dual pro-cyclicality of bank credit and capital regulation aggravates the macro-economic fluctuation,that led to a depression in the world economy.Therefore,the academic and supervision authorities believe that the reform of the financial regulatory mechanism can make up for the traditional micro-prudential supervision and short of financial pro-cyclicality.At the end of 2010,Basel Committee on Banking Supervision signed the Basel ? Accord as pioneer,which comprehensively updated the concept of prudential supervision and pay more attention to the macro-prudential level instead of the micro-prudential level.Meanwhile it issued a series of regulatory guidelines about the system importance of banking supervision and counter-cyclical capital supervision.It was stated in 2017 National Finance Working Conference that focus on strengthening financial regulation,given preventing systemic financial risks as a baseline,strengthen the construction of macro-prudential management systems.Based on this,this thesis establishes and perfects counter-cyclical capital regulation based on macro-prudential regulation mechanism to reduce the financial industry and the pro-cyclical traditional capital regulation tools' negative effect on economic growth so that can against systemic financial risks.With theoretical basis of the new political economics of monetary&financial risk theory and social theory,the thesis reveals the essence of capital pro-cyclical,by the review analysis of bank device—namely fair value accounting accelerator.It argues that fair value will lead to accelerated risk amplification and contagion among banks,and further expand the negative effect of the financial crisis.Based on this theory,the thesis builds a extended dynamic general equilibrium model,applied by Angelini,Neri&Panetta built in 2012.The thesis sets up four departments' model including enterprises,family,commercial banks and the central bank.Impulse response and the simulation results show that macro-prudential policy can be used as an effective complement to monetary policy,The Basel III Accord stabilizes the counter-cyclical capital adequacy of credit,and the coordination of monetary policy between stable output and inflation,can realize the maximization of the welfare.It could significantly reduce the risk of bank-runs and ease economic fluctuations.Counter-cyclical capital buffers can effectively reduce the pro-cyclicality of commercial bank credit,therefore,it is necessary to start from the counter-cyclical capital buffer to study the regulatory mechanism of counter-cyclical capital in commercial banks under macroprudential framework.According to the Basel III methods in the provision of capital buffer,the proxy variable as the total amount of credit&loan/GDP,to analyze H-P filter,solve the deviation value,to turn the deviation into a counter-cyclical capital buffer.Based on this,the thesis builds a benchmark of estimating model and crossing estimation model,gives an empirical analysis on the specific impact brought by the domestic counter-cyclical capital buffer,uses a first order differential difference(GMM)estimation methods to estimate,finally analyzed the influence factors of counter-cyclical capital buffer on commercial banks.We find that the leverage ratio of commercial Banks in China has periodic characteristics,while the pro-cyclicality of listed commercial Banks is more obvious.At the same time,it is found that the capital holding of large Banks in China is pro-cyclical,which is related to the macro economy,while the capital holding of city commercial Banks is the opposite.Based on the above analysis,this paper makes an empirical analysis of countercyclical capital supervision and transmission mechanism of Chinese commercial banks.This paper analyzes the influence of countercyclical capital supervision on the risk bearing,economic fluctuation and economic growth of banks by using simultaneous equation model from the micro and macro aspects.In the analysis of bank risk impact,the differential GMM dynamic panel estimation and fixed effect model were selected,and the benchmark estimation model and cross item estimation model were constructed.It was found that at different times of economic fluctuation,the effect of credit growth on capital buffers at different stages of the economic cycle has a threshold effect,which is consistent with the Basel Accord counter-cyclical thinking.There is a significant negative correlation between capital buffers and bank risks,and both changes are closely related to the level of bank capital.In the analysis of the influencing factors of macroeconomic growth,the thesis uses the system GMM dynamic panel model to perform panel regression analysis through STATA software.The results show that countercyclical capital supervision has a significant positive correlation with China's macroeconomic fluctuations.Counter-cyclical capital can reduce the impact of fluctuations in financial variables on the real economy and reduce the systemic risks caused by excessive credit in the banking industry.That is to say,we should incorporate the capital buffering mechanism into macro-prudential supervision policies so as to improve the pro-cyclicality of regulatory policies and stabilize economic cyclical fluctuations.The thesis puts forward some suggestions to improve and perfect the counter-cyclical capital supervision mechanism of Chinese commercial banks under the macro-prudential framework.It is necessary to establish the dynamic mechanism of the counter-cyclical capital buffer,continuously monitor the level of credit growth,timely judge the situation of systemic risk,and put forward the implementation standard of counter-cyclical excess capital supervision.Besides,implement strict regulation of leverage ratio,adopt diversified ways of supervision,and strictly standardize the structure of banking business.It is a good idea to strictly supervise the minimum capital adequacy ratio,and put forward strict supervision requirements on risk-weighted assets and capital quality.To build a prospective loss reserve system and improve the dynamic provisioning system.To strengthen the capital tools 's capacity to absorb losses,we should positively develop the actual counter-cyclical capital regulation tools and issue new capital tools to replace existing capital tools containing write-downs or transfer clauses.When making macro-prudential regulation target,policymakers should take monetary policy into consideration,coordinate monetary policy and macro-prudential policy and focus on the microscopic characteristics of the bank,Put different supervision measures into effect.