对巴塞尔新资本协议亲周期效应缓释机制的改进  

Improvement on the Mitigation Mechanism for Basel-ⅡProcyclicality

作　　者：彭建刚[1] 钟海[1] 李关政[1] 

机构地区：[1]湖南大学金融学院,湖南长沙410079

出　　处：《金融研究》2010年第9期184-197,共14页Journal of Financial Research

基　　金：国家自然科学基金项目"我国商业银行违约模型与经济资本配置研究"(项目批准号:70673021);教育部科学技术研究重大项目"投资组合中的最优化问题研究"(项目批准号:309023)的阶段性成果

摘　　要：缓释机制的设计是解决巴塞尔新资本协议亲周期效应的核心问题。本文指出了Michael B.Gordy等和Rafael Repullo等提出的缓释机制的不足,对缓释机制作了实质性的改进,提出了新的缓释乘数,同时对H-P滤波平滑参数的选择作了深入的研究,并在缓释效果的评判上增加了相关系数这一反映亲周期特征的指标。本文在运用我国数据对改进后的缓释机制进行了实证分析;结果表明,改进后的缓释机制能更好地解决巴塞尔新资本协议的亲周期效应。Designing mitigation mechanism is the core issue to solve the procyclicality problem. In this paper, the authors point out the lacks of Michael B. Gordy＇ and Rafael Repullo＇s design on mitigation mechanism. And then, the authors substantially improve their mitigation mechanism and proposed a new mitigation mechanism. The paper also deeply discuss the choosing of smoothing parameter for H-P filter and add a correlation coeffi- cient as one indicator for mitigation effects judgment. Finally, the authors use China＇s economic data to empirically analyze the mitigation mechanism they improved. The empirical results show that the improved mitigation mechanism can mitigate Basel-II procyclicality more effectively.

关 键 词：巴塞尔新资本协议 亲周期效应 缓释机制 

分 类 号：F831[经济管理—金融学] F224