The Study Of The Pro-cyclicality Of Capital Adequacy Ratio And The Counter-cyclicality Regulatory Policy In The Commercial Bank Of China

Every financial crisis will incite people’s introspection on economic and financial theory, and bring the fundamental changes in the financial pattern and regulatory system of the world. The sub-prime crisis in the US, stemming from the secondary mortgage, developed into a worldwide crisis. Undoubtedly, the pro-cyclicality of the financial system added fuel to it, and this showed the pro-cyolicality in the Basel II capital controls.This phenomena attracted people’s attention to the pro-cyclicality in the New Basel Capital Accord(NBCA), and many researches followed. Extensive research from the abroad showed that the widespread use of the risk measurement model, the supervisor on the capital adequacy ratio, the rule for fair value,the withdrawal rule for the loan loss reserve, and so on, would strengthen the pro-cyclicality in the financial system.The marketed commercial bank possesses natural pro-cyclicality. The high homogeneity in the operation philosophy, the behavior pattern and the risk exposure of the domestic banking, would lead to higher inherent pro cyclicaity. The NBCA will put into full operation in China, so whether will it strengthen the pro cyclicality in the China commercial banks? If so, in which way will it be strengthened? And which measures should be adopted to reduce it? There are problems which need urgent attention. Therefore this thesis focuses on research about the pro cyclicality of the capital adequacy ratio in China commercial banks, and the supervisor policy and measure on the countercyclical capital. The thesis is mainly on the pro cyclicality in the China commercial banks under the NBCA, and its effects on credits and the macro-economy. A summary is made about the behavior characteristics in the pro cyclicality of the capital adequacy ratio in China commercial banks, and the related effects on the periodic fluctuation of credits and the macro-economy, and pointed out the shortcomings of the bank regulatory system in reducing the pro cyclicality of commercial banks. Combined with the NBCA and its inter nation experience, the thesis discussed the countercyclical policy framework in the development of China commercial banks, promoted the forming of the supervisor framework for the countercyclical capitals in the China banking, and played an active role in the keep the China finance stable and reduce the periodic fluctuation in the economy.We mainly analysis the positive aspects on the pro-cyclicality of the capital adequacy ratio in China commercial banks.This is the main part of this research. Based on the theoretical analysis, with the data from the China banking, the positive analysis was carried out on the pro cyclicality of the capitals supervision in China commercial banks, and its effects on the bank credits and the macro-economy. This analysis can help us understand how the implementation of the NBCA would affect the pro-cyclicality characteristics of the capital adequacy ratio in China commercial banks, and the macro-economy. Researches on the positive analysis about the pro cyclicality of the capital adequacy ratio in China commercial banks showed that to some extent it had the pro cyclicality during the economy downturn, but it also had not obvious countercyclical behavior in the economy uplink. It was possibly related to the near sight behavior in the management of China banking, for the overextension of credits would lead to the decrease of the capital adequacy ratio. Researches about the effects of the capital adequacy ratio on the bank credits showed that there was obvious positive relationship between the pro cyclicality of the capital adequacy ratio and the size of the bank credits. It showed that the increase of the capital adequacy ratio would lead to the extenuation in the bank credit, while the decrease would result in the tight credit conditions.Bank capitals spread to the macro-economy via the credits, and would further accelerate the periodic fluctuation in the macro-economy. The Granger causality test on the relationships between bank credits and the capital adequacy ratio, credits and the economic growth ratio, the capital adequacy ratio and the economic growth ratio, showed that the economic growth ratio would lead to the increase of credits, that credits would also lead to economic growth, that changes in the capital adequacy would cause the increase in credits, and that the increase in credits would lead to the changes in the capital adequacy ratio. However, the increase in the capital adequacy ratio would not result in the economic growth. With the proposal of the Basel Ⅲ regulatory requirements on countercyclical capitals, we analyzed the difficulty in the implementation of the supervisor of countercyclical capitals, and the corresponding measures. we used the HP filter analysis method to analyze the trend value of the credit balance/GDP. According to the method to calculate the buffer of countercyclical capitals in Basel Ⅲ, we determined the feasibility of the credit balance/GDP index in China.The foregoing are the main contents and method in this thesis. Also, we tried to analyze the research framework for the pro cyclicality of the capital adequacy ratio in China commercial banks and the macro-economy, and carried out research on the capital adequacy ratio in China commercial banks. With the pro cyclicality characteristics of the capital adequacy ratio in China commercial banks, we proposed the supervisor policy and measure of countercyclical capitals. Did brief analysis and conclusion on difficulties in the implementation of supervision on countercyclical capitals, and gave the related advice.