Based On The Pro-cyclical Of Financial System’s For Study Of Macro-Prudential Framework

Guard against systemic risk, and enhance the system of financial institutions risk tolerance, the establishment of macro-prudential framework for the financial system to alleviate and eliminate pro-cyclical sectors as theory and practice focus.In this paper, the policy response of the financial system’s pro-cyclical as a breakthrough, through the pro-cyclical of capital regulation, the pro-cyclical of loan loss provisions and the pro-cyclical of fair value as the starting point to explore the effects of pro-cyclical of the financial system generated Causes, the mechanism and ways of transmission, the results show that:the pro-cyclical effects of capital regulation is based on the IRB measurement,the external ratings-based capital adequacy ratio measured indicators and trading account using VAR model to calculate market risk capital requirements.The cyclical effects of provision for loan losses is due to bank regulation system emphasizes the principle of prudent operations and forward-looking, loan risk classification itself has a pro-cyclical. Procyclicality of fair value of financial institutions, mainly because of the "high book loss ".Empirical part of the paper employs based on SVAR model to analysis the pro-cyclical effects of regulatory capital and loan loss provisions, based on the case study demonstrated the pro-cyclical effects of the fair value.The analysis reveals the importance of the macro-prudential framework for the systemic response to the process of risk management and the process of address systemic,the pro-cyclical effects of financial system is very conclusive evidence of the existence.Therefore, based on the pro-cyclical easing mechanism and the counter-cyclical mechanism,to build China’s macro-prudential framework for banks to enhance the ability of financial institutions to deal with systemic risk, alleviate and eliminate pro-cyclical effects of the financial system became the focus of financial regulatory reform.Finally, the study of the development of macro-prudential regulatory framework that the macro-stress testing and "Basel III " will become the new benchmark national prudential supervision.In addition, based on the "animal spirits " and "shadow banking", George·Akerlof proposed overconfidence behavior of market participants is the culprit of the financial crisis, how to avoid the risk of overconfidence may be the formation of macro-prudential Framework for the development of research.