Research On The Effect Of Bank Capital Buffer On Monetary Policy From Macroprudential Perspective

The occurrence of the subprime crisis has made countries around the world realize the failure of micro-prudential regulation.Central banks and financial regulators are actively exploring macro-prudential policy frameworks and policy instruments tailored to their national circumstances.From the point of view of preventing the risk of financial system,macro prudence in the post-financial crisis era has become an important concept in the construction of new financial supervision framework of various countries and international institutions.Due to the timely introduction of fiscal expansion and credit expansion policies in China,the impact of the financial crisis on China is relatively small,but the expansion policy in the following years has shown an important impact on the financial system and the real economy,risk factors continue to accumulate and evolve,the current period is in urgent need of China in the concept of macroprudential to find and manage systemic risks,Resolve financial risk factors and their potential negative impact on the real economy.In particular,with the real economy facing the economic growth shift period,structural adjustment pain period,the prestimulus policy digestion period of the three period superposition,along with the expansion of the financial system,the acceleration of the process of financial deepening,financing channels and ways of diversification,some important areas such as local government financing platform,real estate market and shadow banking and other rapid development,Financial system risk and macroeconomic uncertainty are accumulating and gradually highlighting.The extent to which China is currently facing systemic risks,including areas,what factors may be a potential threat to the crisis,how its transmission mechanism will be,and whether the current trend in house prices is the last straw to crush camels,the recent Fed rate hike and the expected subsequent rate hike policy will induce large-scale capital outflows And the sudden contraction of shadow banks,thus creating a further superposition of current financial risks? For these issues,Governments,monetary policy departments,and regulators all need to take them seriously,pay close attention to them,do not miss every detail and link,clarify potential risk points,and develop appropriate risk prevention and control programs.It is very important to guard against systemic risks and maintain the stability of the whole financial system,not only for the sound and sustainable development of the financial industry itself,but also for serving the overall situation of China's real economic transformation reform,so we should make full reference to the experience and lessons of this global financial crisis,and more effectively identify the potential sources of systemic risk in China,Intensity and transmission mechanism,more targeted establishment of macroprudential regulatory framework,the use of various policies,including macroprudential regulatory policy tools,monetary policy tools,coordination of various policy tools,strengthen the prevention and disposal of systemic risks,has become the primary responsibility and major challenges facing our government,central banks and financial regulators at this stage.Reverse cycle Capital buffer supervision is one of the important tools of countercyclical macro-prudent policy.The purpose of this paper is to provide an empirical evidence for the implementation of effective counter-cyclical capital buffer supervision in China.On the whole,bank capital buffers are the remainder of the capital adequacy ratio minus the statutory minimum capital requirements,including the part of the bank's endogenous capital buffer,the response part to monetary policy,and the regulatory requirements for counter-cyclical capital buffers.After the crisis around the financial procyclical and systemic risk accumulation,the academic circles on the macroprudential policy,monetary policy and financial stability objectives have carried out a lot of research,accumulated a wealth of academic achievements,this aspect of theoretical research and policy research is the mainstream topic in the current macroeconomic circle,IMF,The World Bank,the Federal Reserve,the Basel Committee,the European Central Bank and other institutions have made great contributions to the academic development and theoretical innovation of macroprudential policies based on their own practice.The current academic and regulatory departments have reached some preliminary consensus,such as that macroprudential policy is not only an effective supplement to micro-prudential supervision,but also an effective supplement to the absence of traditional monetary policy,but there is no consensus on the combination of macroprudential policy and monetary policy and the main body of implementation.That is to say,the relationship between monetary policy and macroprudential policy has not formed a theoretical system and instrumental framework,and the coordination mechanism between monetary policy and macroprudential policy and its policy synergy need to be further studied.This paper studies the influence of bank capital buffer on the implementation effect of monetary policy,in order to provide microscopic mechanism and microscopic evidence for the good coordination of counter-cyclical capital buffer regulation and monetary policy.China has implemented the counter-cyclical capital buffer policy since the beginning of the year,and the study on the change of bank capital buffer before and after the year and its interaction with monetary policy can provide empirical evidence for the formulation of counter-cyclical capital buffer policy.On the basis of studying the characteristics of bank capital Buffer cycle in China,this paper first studies the influence of monetary policy on the target variables of financial stability such as loan growth rate,house price growth rate and bad debt ratio under different bank capital buffer conditions by using macroscopic data empirically.Secondly,using the microscopic data of China's banking industry to further study the implementation effect of monetary policy under the condition of the existence of bank capital buffer.Finally,this paper empirically studies the coordination relationship between the counter-cyclical capital buffer regulation and monetary policy and its influence on the target variables of financial stability,and provides empirical evidence for China to implement the policy of counter-cyclical capital buffer regulation and to realize the good coordination between macroscopic prudent government and monetary policy.The thesis mainly adopts the research method of combining theoretical analysis and empirical analysis,which is embodied in the following aspects: first,it thinks about the reasons of abandoning micro-prudential supervision,and studies the theoretical basis of macroprudential policy from the aspects of financial fragility,animal spirit,principal-agent theory and financial externality,etc.This paper analyzes the influence mechanism of bank capital buffer on monetary policy,and second,studies the cyclical characteristics of capital buffer of bank endogenous.This paper analyzes the cyclical characteristics of bank capital buffer before the counter-cyclical capital buffer is implemented in China.Thirdly,the establishment of Lstvar Model studies the influence of bank capital buffer on the effect of monetary policy before the implementation of counter-cyclical capital buffer supervision in China.Iv.Using micro-banking data to empirically analyze the effect of bank capital buffer on monetary policy before the implementation of counter-cyclical capital buffer supervision,and on this basis,further study the coordination relationship between counter-cyclical capital buffer supervision and monetary policy before and after the implementation of counter-cyclical capital buffer supervision in China.This paper is composed of six chapters.The first chapter is the introduction,elaborated this article research background,the research significance,the research idea and the research method,the main innovation point,and defines the related category;The second chapter is the summary and comment of the literature research results related to the subject of this paper,as well as the related theoretical analysis and transmission mechanism analysis;The third chapter,the fourth chapter and the fifth chapter of this paper are the core empirical test part of this paper.The third chapter empirically examines the periodic characteristics of the bank's endogenous capital buffer,and finds that the capital buffer of the bank has a good inverse period nature,and the counter-cyclical monetary policy weakens the inverse cyclical nature of the bank's endogenous capital buffer.During the boom,the implementation of tight monetary policy tended to stimulate banks to reduce their own capital buffers,meaning that lower bank capital buffers weakened the effectiveness of monetary policy implementation.The Fourth chapter establishes The Lstvar model to test the relationship between bank capital buffer and monetary policy and its influence on some economic variables or financial stability target variables.The Lstvar model uses macro-level data.It is found that the existence of bank capital buffer will partially offset or enhance the implementation effect of monetary policy under different capital buffers.Specifically,under the condition of high capital cushion,loose monetary policy will further stimulate the growth rate of house prices and the growth of loan,and under the condition of low capital cushion,the stimulus of loose monetary policy to economic variables will decline.On the contrary,under the condition of high capital buffers,the tightening effect of tight monetary policy has diminished,and the tightening effect of tight monetary policy will be enhanced under the condition of low capital cushion.The fifth chapter empirically examines the coordination of counter-cyclical capital regulation and monetary policy.Firstly,the relationship between bank capital buffer and monetary policy is further empirically tested by using micro-banking data,and its research conclusion further supports the research conclusion of Lstvarmacroscopic data model.Secondly,using microscopic data to study the characteristics of the relationship between counter-cyclical capital buffer and monetary policy before and after the time point of implementing counter-cyclical capital buffer in China,this paper provides empirical evidence for the policy suggestions of optimizing the supervision of reverse cycle capital buffer and strengthening the coordination and cooperation with monetary policy in China.The conclusion is that the strengthening of counter-cyclical capital buffer supervision has a strong policy effect,and the enhancement of counter-cyclical capital buffer supervision will increase the risk appetite of banks,and the increase of capital buffer regulation will partially offset the effect of tightening policy when the tightening monetary policy is implemented in the period of economic prosperity.The increase in capital cushion regulation will enhance the effectiveness of easing when monetary policy is implemented in a recession.That is to say,under different economic conditions,the impact of counter-cyclical capital buffer regulation on monetary policy is different,which is the aspect that our policy department needs to consider when implementing monetary policy and macro-prudential policy.The sixth chapter is the research conclusion and policy suggestion of this paper.The main innovations and characteristics of this paper are as follows: in the analysis of the relationship between bank capital buffer and monetary policy,the interaction between high capital buffer and low capital buffer and the impact on economic variables or financial stability target variables are considered respectively;The relationship between bank capital buffer and monetary policy and its effect on financial stability are considered respectively.The macro data and micro data are used to analyze the effect of monetary policy under the condition of bank capital buffer.On this basis,this paper empirically analyzes the law of the coordination between countercyclical capital buffer policy and monetary policy before and after the implementation of countercyclical capital buffer regulation in China.