Research On The Optimal Decision Of Commercial Bank Capital

In1988,BaselⅠcreated the beginning of bank capital regulation,and formulated that commercial bank capital adequacy ratio shall not be less than8%.In2004,the Revision of the Basel Ⅱ expanded the coverage of capital, and introduced the IRB in capital adequacy measurement, also put forward the three pillars of bank supervision. However,the financial crisis of2007forced the Basel committee to re-examine the existing regulatory capital standards.In2010, the Basel committee reached an agreement on banking supervision,the Basel Ⅲ, which raised capital requirements, leverage,and liquidity coverage, the new index such as net stable funding ratio, which aims to restore global financial regulatory system.In May2011, the China banking regulatory commission issued "the China banking regulatory commission on the guidance of China’s banking sector to implement new regulatory standards",which pointed out that after implementing new regulatory standards, systemically important Banks’ regulatory capital adequacy standards should be increased to11.5%, and the systemically important Banks must also be up to10.5%.In the face of the changing global environment and strict regulatory capital standards,it has a strong practical significance to research how Banks to improve the management level and ability to resist risk,and to optimize its capital reasonable to cope with the impact of the internal and external.Thesis adopts the method of combining theoretical analysis and empirical analysis. It analyses the bank’s capital dynamic optimization from the perspective of dynamic. It embodys in three aspects:first, based on defining the definition of capital and the optimal decision, this paper expounds the influence factors of bank capital decision, and analyses the optimal decision of commercial bank capital theory framework. Secondly, with the aid of Repullo and Suarez (2013) OLG model and its establishment and improvement, the paper join the market structure, and the variable loan demand in the original model. It combines the macroscopic factors and the microcosmic factors to discuss the bank’s capital optimization behavior from the dynamic point of view. And then it concludes how a series of changes in the macroscopic factors and microcosmic factors affects capital optimization decision-making hypothesis.Finally, on the basis of the oretical model analysis and Jonghe and Oztekin (2010) to build dynamic partial adjustment model, the paper brings in the liquidity variables, eases past research adjustment speed fixed hypothesis to set it to a bank with the characteristics of the changes of endogenous variable, use the data from the relevant Chinese listed Banks quarter by gauss Newton iterative method of nonlinear regression to the listed Banks’ capital optimization behavior has carried on the empirical research.Results show that:The dynamic adjustment model rather than the static model or the accurate dynamic model can explain the capital adjustment behavior of listed Banks in China; The bank ajustment process to the optimal capital levels is slow and its adjustment coefficient of between0.3to0.7, which reflects the adjustment of the fact that costs high.;The liquidity is also the important factors that affect the listed Banks’capital levels, and has a positive impact on it; The return on capital, non-performing loans, assets logarithmic and regulatory pressure is negatively related to the Banks’ the optimal capital levels; Net interest margins, quarterly GDP quarter-on-quarter growth, loans, and bank capital levels are related;Assets is related to the speed of adjustment and the growth is negatively correlated to the speed of the adjustment.