新资本协议内部评级法对宏观经济运行的影响：亲经济周期效应研究  

The Impacts of IRB on the Macroeconomic Performance:from a Procyclicality Perspective

作　　者：王胜邦[1] 陈颖[1] 

机构地区：[1]中国银行业监督管理委员会国际部,北京100800

出　　处：《金融研究》2008年第5期48-64,共17页Journal of Financial Research

摘　　要：新资本协议内部评级法大幅度提高了资本监管的风险敏感度,有助于增强银行体系的运行效率和稳定性,但可能导致信贷运行和经济周期的过度波动。本文认为,由于信用风险是变化的,违约概率、违约损失以及违约风险暴露具有亲周期的特点,亲周期程度取决于银行所采用的模型方法和预测时间;通过第一支柱下降低风险参数的风险敏感度、降低风险权重函数曲线的斜率,第二支柱下的压力测试、设立超额资本要求、平滑风险权重函数的输出值,以及提取动态准备金和实施宏观经济政策等方法能够有效缓解内部评级法的亲经济周期效应;监管当局应在更宏观的框架下分析内部评级法的宏观经济效应,选择合理的政策工具解决亲经济周期效应问题。The IRB under Basel Ⅱ substantially enhances the risk sensitivities of capital regulation and strengthens the efficiency and stability of the banking sector on a global basis. There is an argument that the IRB approach may lead to excessive fluctuations of business cycles. This paper points out that the risk parameters under IRB, such as PD, LGD and EAD, show pmcyclical pattems because risk is time varying throughout the economic cycle. The extent of procyclicality largely depends on modeling methodologies and time horizons applied by an individual bank. Several policy designs of Basel Ⅱ implementation framework could be chosen to decrease the effects of pmcyclieality： reducing risk sensitivities of risk parameters, introducing a flatten riskweighted curve under pillar Ⅰ, conducting the stress testing, holding buffer capitals, smoothing outputs of riskweighted function under pillar Ⅱ. Other possible tools include conducting a dynamic provisioning system and other monetary policies. Supervisory authorities should analyze macroeconomic implications of IRB under a more broaden framework and choose reasonable policy tools to cope with procyclicality.

关 键 词：内部评级法 亲经济周期效应 违约概率 违约损失率 违约风险暴露 风险权重函数 

分 类 号：F831[经济管理—金融学] F224