The Reseach On Procyclicalitv Of Capital Regulation In Commercial Bank

Since the American subprime mortgage crisis diffused the world, the global economy hassuffered a devastating catastrophe that has never been met. Thus people began to think about thevulnerability of the financial supervision seriously. Due to the occurrence of the financial crisis,people have realized that the pro-cyclicality and its negative effects caused by internal factors ofexternal rules and financial institutions of the new Capital Accord. At present, the internationalfinancial regulatory authorities try to implement macro-prudential supervision of commercial banks,and the top priority can be regarded as capital regulation. Currently the capital regulationframework of commercial bank has enhanced the pro-cyclicality of the financial system,strengthened financial systemic risk, weakened the power of the implementation of the monetarypolicy in the economic downturn phase, amplified fluctuations in the economic cycle and tested thestability of the commercial bank management. Nowadays the pro-cyclicality of capital regulationand macro-prudential regulation framework to build counter-cyclical capital regulation havebecome a hot issue in the theoretical and practical circles.Firstly, the article summarized the status and progress of pro-cyclical research of commercialbank capital regulation; Secondly, I described the development of the course of evolution of theBasel capital regulation of commercial banks in China, summed up the pro-cyclical formationmechanism and theoretical models of the commercial bank capital regulation. Then, by choosingthe2005-2011panel data of14commercial banks dominating China’s banking market, anempirical study of the pro-cyclical effect on the capital adequacy ratio of commercial banks carriedon. This study contained five indicators, such as the capital adequacy ratio, the GDP annual growthrate, the rate of non-performing loans, net assets yield and total loans. This article built models andused linear regression analysis (least squares method) by Eviews6.0. Finally, according to thefindings of the empirical analysis, I proposed to build a framework of counter-cyclical capitalregulatory of commercial banks by alleviating the pro-cyclicality of the minimum capitalrequirement, requiring banks provision retained capital buffer and introducing the counter-cyclicalcapital buffer.