Effectiveness Of Bank's Capital Countercyclical Supervision Based On A Macro-prudential Framework

In 2007,the US Sub-prime Mortgage crisis and the European Sovereign Debt crisis successively broke out,the global economy was in a low ebb.Micro prudential supervision showed many drawbacks.To cope with the crisis,many countries strengthened the research on macro prudential supervision.In 2010,the Basel Committee issued the third edition of the Basel agreement,which provided guidance to the financial regulatory authorities of various countries to formulate a counter cyclical capital regulatory policy and to carry out countercyclical buffer capital.In 2012,China Banking Regulatory Commission(CBRC)improved the existing regulatory regulations,strengthened the supervision of banks' capital adequacy ratio,and introduced countercyclical excess capital.In 2015,the people's Bank of China announced the construction of the Macro Prudential Assessment,introducted the counter cyclical factor,improved the bank's pro-cyclical behavior,cleared how to carry out the countercyclical buffer capital,and would be implemented in 2016.In 2017,approved by the Central Committee of the CPC and the State Council,the financial stability development committee of the State Council was established.Subsequently,the nineteen major report of the party formally proposed to improve the dual pillar regulatory framework of monetary policy and macro Prudential policy,and put more markets and institutions in the financial system into the scope of macro prudence to maintain the stability of the modern financial system.Under this background,based on the current macro Prudential policy framework,the paper studies the performance of China's commercial banks' pro-cyclical performance,the necessity of countercyclical capital supervision and the effectiveness of the countercyclical regulatory policy implemented.Firstly,the article summarizes the main contents of the macro prudential supervision theory and the countercyclical capital supervision theory,which is the theoretical basis of the whole article.Secondly,the main contents of the countercyclical capital supervision of Basel ? are introduced in detail,and the influence on the regulation of the countercyclical capital in China is briefly described.Then,the reasons and characteristics of the CIS pro-cyclical behavior of the commercial banks in China are presented.This paper studies the main contents of countercyclical capital regulation and the rule of countercyclical capital buffer in the Macro Prudential Assessment.On this basis,by establishing the HP filtering and regression analysis model,this paper validates the effectiveness of the countercyclical capital buffer plan in the Basel ? and the effectiveness of the countercyclical capital buffer under the MPA rule,and compares with the proportion of the countercyclical capital buffer plan in China's banking industry,and finds the countercyclical capital buffer planning rules under MPA are more consistent with the development of China's banking industry.Put forward suggestions to improve our banking industry's counter cyclical capital regulation.