The Reseach On Procyclicality Of Capital Regulation Of Commercial Bank In China

Since the Basel agreement I proposed in 1988,capital regulation has been the core of the international financial regulatory authorities to implement the supervision of commercial banks.However,in the process of more than 20 years of practice,the negative effect of the capital supervision system is gradually emerging,the first is the issue of procyclicality of capital regulation.The procyclicality of capital regulation refers to the phenomenon that capital adequacy ratio leads to violent economic fluctuation.It is generally believed that the procyclicality of capital regulation has made great contribution to the 2008 financial crisis.Under this background,it is important to study the cyclical nature of the capital regulation of commercial banks in China.On the one hand,it is conducive to promoting the establishment of the bank capital management system which is in line with national conditions so as to promote the positive interaction between the financial system and the economy.On the other hand,it is helpful to further improve the capital management of China's banking system to provide some methods for reference.The methods of horizontal and vertical comparison,qualitative analysis and quantitative analysis are used in this paper.In the research content,this paper first elaborates the domestic and foreign literature research present situation about the capital supervision and regulation.Secondly,it introduces the history of the development of Basel's capital supervision system and the evolution and current situation of China's capital regulation,and analyzes the internal and external influencing factors of the formation mechanism of capital regulation.Thirdly,it analyzes the relationship between capital adequacy ratio and economic cycle by using trend analysis method.Fourthly,the historical data of 16 listed banks and the macro economic data of our country from the year of 2004 to 2014 are selected to constructe GMM model to make empirical analysis for China's procyclicality of capital regulation.Lastly,the relevant countermeasures and suggestions are put forward based on the empirical analysis results.According to the empirical analysis,this paper draws several conclusions as following:(1)China's commercial bank capital regulation is pro-cyclical,and it is asymmetric whether before and after the financial crisis or before and after the implementation of the "Commercial Bank Capital Management Approach(Trial Implementation)";(2)The procyclicality of capital regulation in non-state-owned commercial banks is more serious than those in state-owned commercial banks;(3)The procyclicality of capital regulation is influenced by bank asset size,liquidity ratio,non-performing loan ratio and return on net assets;(4)It is also influenced by the monetary supply,the real estate price index and the consumer price index and so on.Then it put forward relevant suggestions: from the micro level of the commercial banks,to make dynamic monitoring of asset scale expansion speed,to improve flow risk supervision,to strict credit internal audit process to ensure loans quality and to optimize business structure and carry out diverse intermediary business;from the macro level of regulators,to propose discretionary monetary policy,to vigorously promote "commercial bank capital management approach(Trial)",to build a flexible regulatory mechanisms and to constructe a microscopic multidimensional factors monitoring model and so on.