The Research On The Pro-cyclicality Of Commercial Bank’s Capital Regulation

The core of the commercial banking supervision Capital regulation. In accordance with the Basel Ⅱ regulatory requirements, in order to meet capital adequacy ratio requirements commercial banks will certainly want to keep a certain regulatory capital. The commercial bank credit and portfolio behavior will be affected by Regulatory capital requirements, and it will bring economic fluctuations. As the economic rise, borrowers asset management is good, its corresponding credit default risk will be reduced, then the quality of credit assets of commercial banks is better, accordingly you should provision for regulatory capital will be reduced; When the economy is in decline, in all cases is contrast, the provision of corresponding regulatory capital requirement will increase. From the above we can see that the regulatory capital of commercial banks with the pro-cyclical effect. With the financial crisis, the outbreak of the debt crisis in Europe, the pro-cyclical regulatory capital caused problems at home and abroad researchers’attention.In this context, The mix of qualitative and quantitative research methods analysis of foreign theoretical model, combined with China’s national conditions. Theoretical content, on the base of reading literature and Basel Ⅰ, Ⅱ, Ⅲ, summed up the pro-cyclical regulatory capital three transmission,eventually found the excess regulatory capital reflect the pro-cyclical effects of channel regulatory capital, that this indicator can be used as a standard empirical model checking. Further, on the history and current situation of China’s regulatory capital is described, paving the way for the empirical research. Above all, the modified classical model of China’s15listed banks to conduct empirical research, discuss the existence and characteristics of the pro-cyclical capital regulation.The main conclusions:(1) Commercial banks pro-cyclical capital regulation has three main transmission channels that bank capital, regulatory capital and excess regulatory capital conduction channels. For the pro-cyclical significance is that excess capital conduction channels.(2) Under Basel Ⅰ, Ⅱ, Ⅲ, because of their different regulatory requirements, resulting in conduction channels and its effect procyclical different, Basel Ⅱ, under Ⅲ, due to the introduction of rating indicators, led to an increase in transmission channels, making procyclicality enhanced. During the sample period, our empirical results that pro-cyclical capital regulation does not exist, presenting counter-cyclical characteristics.(4) The excess capital held is also related to other factors, such as non-performing loan ratio and capital gains rate.(5) The big assets of banks and small banks do not have a pro-cyclical assets, a small counter-cyclical assets of banks stronger.