The Empirical Study On The Capital Buffer And The Asset Allocation Behavior Of Commercial Banks

The international financial crisis in 2008 caused the entire banking industry to suffer heavy losses,which caused the national regulatory authorities and the Basel Committee on Basel capital regulation reflection.Basel III issued by the Basel Committee in 2010 and the Measures for the Capital Management of Commercial Banks(for Trial Implementation)in 2012 all impose higher capital requirements on commercial banks,requiring commercial banks to make provision for retained capital buffers and counter-cyclical capital buffer,forcing banks to adjust the asset structure,improving their ability to absorb risks and resist risks.As far as the present research situation is concerned,scholars at home and abroad do not have much research on capital buffering and asset allocation behavior of commercial banks.In order to deeply understand the relationship between capital buffering and asset disposition behavior of commercial banks,this paper uses the system GMM to do empirical research.For capital buffer and commercial bank asset allocation behavior research,this article progressively.This article first briefly introduces the capital adequacy ratio,the capital buffer and the basic concept of asset allocation of commercial banks,then introduces the capital buffer theory and the theory of asset allocation of commercial banks in detail.For the introduction of the capital buffer theory,this paper mainly elaborates from three aspects: capital buffer holding motivation,capital buffer's impact on credit and gross domestic product and mechanism of capital buffering.For the development of asset allocation theory of commercial banks,introduces the theory of asset management,liability management theory and comprehensive management of assets and liabilities of the main content.In the end,this paper analyzes the current situation of capital buffering and asset allocation of commercial banks,and points out that commercial banks have too fast asset growth,unreasonable loan term structure and declining profitability during the process of asset allocation.Based on the data of the financial statements of Chinese commercial banks,this paper analyzes the current situation of commercial banks' capital buffering and the commercialization of commercial banks' capital buffers,and analyzes the present situation of capital buffers and commercial banks' asset allocation.(Including total assets and growth rate of commercial banks,asset allocation structure,asset quality and the current ratio ofdeposit to loan ratio)of bank assets.In the empirical study,this paper has collected the financial data of 77 commercial banks(5 state-owned commercial banks,12 joint-stock commercial banks and 60 city commercial banks)in China from 2009 to 2015 through Bankscope bank financial database,Wind database,annual report of major banks,and selected capital buffer change,credit asset growth rate,asset growth rate,return on net assets,asset size,GDP growth rate and other indicators,construct non-equilibrium dynamic panel data model,use the GMM system to analyze the relationship between capital buffering and asset allocation behavior of commercial banks in China.The results show that:(1)after the implementation of capital supervision,banks have to adjust the asset structure,reduce the proportion of high-risk assets held by assets,increase the proportion of low-risk assets in the assets in order to achieve higher capital requirements.(2)The fluctuation of the capital buffer level of commercial banks in the previous period is positively related to the changes of credit assets and securities assets in the current period.The capital buffers of commercial banks increased in the previous period,more assets will be allocated to credit assets and securities assets in this period,(3)The change of capital buffers of commercial banks is negatively related to the changes of credit assets in the current period.The increase of bank's current capital buffers will require commercial banks to increase the risk weight of the low-risk assets.The credit growth rate will decrease,but the change of the commercial bank's capital buffer has no significant relationship with the change of the securities assets in the current period.(4)Whether the current period or the previous period,the coefficient of the capital buffer impact on the securities assets Assets,indicating that when the capital buffer changes in a percentage of changes in securities asset growth rate of credit asset growth rate changes.Based on the results of this paper,this paper puts forward some policy suggestions from both commercial banks and supervisory authorities.The supervisory authorities should strengthen macro-prudential supervision,implement dynamic differential regulation,improve the counter-cyclical capital buffer mechanism,and commercial banks should formulate appropriate buffer capital,optimize the bank's asset structure.