Research On Countercyclical Capital Buffers Of My Country's Commercial Banks Under The Framework Of Macro-prudential

Financial Supervision is an effective guarantee to maintain the stability of the financial system and avoid systemic risks.The outbreak of sub-prime mortgage crisis in 2008 made the national regulatory authorities gradually realize the importance of countercyclical capital buffers.In this context,the "Basel III" issued in 2010 and the "capital management measures for commercial banks" implemented in China in 2013 have put forward requirements for countercyclical capital buffers.This plays an important role in weakening the potential risks of procyclicality and maintaining the stability of the financial system.Based on the macro-prudential policy framework,this paper studies the counter-cyclical capital buffer of China's commercial banks.Based on the review of relevant theories and literatures,this paper summarizes the experience of implementing countercyclical capital buffers in developed financial markets,and analyzes the regulation and actual performance of countercyclical capital buffers in China.Furthermore,HP filtering method is used to test the validity of "credit / GDP",a linkage index proposed by Basel III,which is controversial in the world,it provides a reference for the implementation of counter-cyclical capital buffer in China.Then based on the data of 16 listed banks in China from 2006 to 2019,it verifies the counter-cyclical of capital buffer level of commercial banks in China,and further from the perspective of time to explore the "commercial bank capital management measures" before and after the implementation of the bank's capital buffer behavior.The results show that the linkage variable credit / GDP mentioned in the "Basel III" countercyclical capital buffer has certain applicability and feasibility in China,according to the deviation degree between the index and the long-term trend value calculated by HP filtering method,the counter-cyclical capital buffer can reflect the economic situation of our country more accurately.The capital buffer level of China's commercial banks is counter-cyclical.Under the current macro-regulation requirements,China's commercial banks will increase their capital buffer level basically in the economic upturn,to release that capital during downturns to cover losses.After the implementation of "capital management measures for commercial banks",the counter-cyclical performance of capital buffer level of China's commercial banks is stronger.Therefore,this paper puts forward countermeasures from two angles of supervision and commercial banks.The supervision department makes reasonable policies and the commercial banks' consciousness of counter-cyclical capital is strengthened,in order to jointly maintain the sound development of the entire financial system and the macro-economy.