Research On The Impact Of Macro-Prudential Capital Supervision On The Risk Taking Of Commercial Banks

After the financial crisis in 2008,macro-prudential policies attracted wide attention from national regulatory authorities,international organizations and academia.At the same time,China has also begun to explore macro-prudential policies.In 2016,the People's Bank of China upgraded the dynamic adjustment mechanism for differential reserves and changed it to the Macro-Prudential Assement(MPA),which further improved China's macro-prudential policy framework.As the key content of China's current macro-prudential policy,MPA focuses on the macro-prudential capital adequacy ratio.The mechanism of action is that the bank's credit supply is subject to the macro-prudential capital level.Once the credit is overextended,the agency's macro-prudential capital adequacy ratio will not be achieving the standard.It will be punished accordingly.Commercial Banks,as the backbone of a country's financial system,undertake the function of financial intermediary.Therefore,it is necessary to study the impact of macro-prudential capital supervision on commercial banks' risk taking.This paper first analyzes the impact mechanism of different macro-prudential capital instruments on bank risk-taking.Secondly,by constructing a theoretical model used by Cordella(2013),it analyzes how banks determine their risk-taking levels from the perspective of profit maximization.Thus it draws a conclusion that macro-prudential capital regulatory tools can effectively reduce the commercial banks' risk exposure.Next,this paper uses the micro-data of China's banking industry in 2011-2017 and use the counter-cyclical capital buffer,system-important additional capital and macro-prudential capital adequacy ratio in the MPA system as the proxy variable of macro-prudential capital supervision to build a dynamic panel model.The system GMM method is used to test the impact of macro-prudential capital regulation on the risk-taking level of commercial banks and the impact of various tools on different types of banks.Specifically,it includes: first,examining the impact of macro-prudential capital regulation on the risk-taking level of commercial banks,judging the direction and impact of macro-prudential capital regulation on bank risk-taking;second,comparing the effectiveness of counter-cyclical capital buffers and systemic capital surcharge;third,examining whether macroprudential capital regulation requires differences in different types of commercial banks.According to the results of empirical analysis,the paper draws the following conclusions.First,the macro-prudential capital adequacy ratio supervision pressure makes banks with insufficient capital under pressure to actively adjust risk behaviors and reduce their risk levels.Second,as a macro-prudential capital supervision tool,systemic capital surcharge can reduce the risk-taking level of commercial banks more effectively than counter-cyclic capital buffers.Third,macro-prudential capital regulation has different effects in different types of commercial banks.Overall,urban commercial banks and rural commercial banks are more affected.The reason is that urban commercial banks and rural commercial banks have expanded rapidly in recent years,and their own capital growth rate does not match the expansion speed.Naturally,there are certain compliance problems.It is subject to greater regulatory pressures.Large commercial banks have stronger risk control capabilities and richer sources of capital conversion,so they are less affected.In the end,this paper puts forward policy suggestions from the perspective of regulatory authorities and commercial banks.