杠杆率新规对商业银行行为的影响研究  

Research of New Regulations on Leverage Ratio towards the Behavior of Commercial Banks

作　　者：黄海波[1] 汪翀[2,3] 汪晶[4] 

机构地区：[1]西南财经大学金融学院 [2]西南财经大学会计学院 [3]中国银行四川省分行 [4]西南财经大学统计学院

出　　处：《国际金融研究》2012年第7期68-74,共7页Studies of International Finance

摘　　要：在金融危机背景下巴塞尔委员会对资本监管出台了一系列新规,业界称之为巴塞尔协议Ⅲ,其中一个非常重要的建议是对商业银行实施无风险敏感性的杠杆率限制。本文将在一定假设的基础上,运用线性规划方法,分析在杠杆率和资本充足率双重约束下商业银行的行为。本文认为,巴塞尔委员会寄希望于杠杆率约束对资本充足率约束形成有效的补充,缓释顺周期性,但这种做法同时也降低了风险敏感度,造成监管资本套利。两种约束有可能相互补充,但同时也极有可能相互抵触。Against the background of the financial crisis, the Basel Committee introduced a series of new regulations on capital regulation, called Basel Ⅲ. A very important advice is to use the leverage ratio of no risk sensitivity to limit commercial banks. Based on a certain assumptions, this paper will use the method of linear programming to analyze the commercial bank＇s behavior with the dual restraints of leverage ratio and capital adequacy ratio. This paper argues that the Basel Committee hopes that the leverage ratio restraints may become an effective supplementary to the capital adequacy ratio restraint, and relieve the pro-cyclical pressure. However, it also reduces the risk of sensitivity and results in regulatory capital arbitrage. Two kinds of restraints may complement each other, but they may also conflict with each other.

关 键 词：巴塞尔协议Ⅲ 杠杆率 监管资本套利 

分 类 号：F831[经济管理—金融学]