中国商业银行顺周期行为及逆周期资本监管研究——基于宏观审慎的视角  

Research on Chinese Commercial Banks' Pro-cyclicality Behavior and Counter - cyclicality Capital Regulation——Based on Macro-prudential Perspective

作　　者：冯科[1] 刘静平[2] 何理[3] 

机构地区：[1]北京大学经济学院 [2]北京大学软件与微电子学院 [3]北京大学经济研究所

出　　处：《经济与管理研究》2012年第10期91-96,81,共7页Research on Economics and Management

基　　金：北京市哲学社会科学规划重点项目"北京市‘去工业化'之都市金融中心构建研究:产业结构变迁视角"(10AbJG366)

摘　　要：金融系统固有的顺周期性导致金融失衡的累积与释放,放大了经济的波动,加剧了系统性风险和金融不稳定,建立宏观审慎监管框架下的逆周期政策机制,成为次贷危机后金融监管体制改革的重要内容。本研究利用VEC模型及互谱分析,探讨了中国商业银行信贷的顺周期行为现状,结果显示,在中国,商业银行信贷存在顺周期行为,经济繁荣时扩张信贷,衰退时惜贷,针对该现象,本文提出了基于宏观审慎视角的逆周期资本监管建议,包括动态资本监管、前瞻的贷款损失拨备、全周期信用评级等。The inherent pro - cyclicality of financial system leads the financial imbalances and aggravates the systemic risk and financial instability. So the establishment of counter - eyclieality policy mechanisms under the framework of macro - prudential has become an important part of the reform of financial regulation after the sub - prime mortgage crisis. This paper used the VEC model and cross spectrum analysis to study whether the pro - cyclicality exists in Chinese commercial banks. The results show that pro - cyclicality phenomenon dose exist, the banks tend to expand credit during macro - economic prosperity, and reluctant to lend when the economy is going down. To solve this problem, the paper suggests adopting counter- cyclieality capital regulation based on macro -prudential, such as dynamic capital regulation, prospective loan loss provision ,fully cycling credit rating etc.

关 键 词：信贷 顺周期 宏观审慎 逆周期监管 互谱分析 

分 类 号：F832[经济管理—金融学]