商业银行资本缓冲周期性的非对称效应——以美国为例  

On the Asymmetric Effect of Capital Buffer Cyclicity of Commercial Banks:A Case of USA

作　　者：陈文哲[1] 郝项超[1] 

机构地区：[1]南开大学经济学院金融系,天津300071

出　　处：《当代财经》2013年第6期54-65,共12页Contemporary Finance and Economics

基　　金：国家社会科学基金重大攻关项目(09&ZD037);国家自然科学基金项目(71272183;71172066);南开大学基本科研业务费专项资金项目(NKZXB1147)

摘　　要：Basel Ⅲ首次提出将资本缓冲作为逆周期监管的备选工具,但并未说明逆周期政策实施的时机。实施逆周期监管,需要根据资本缓冲周期性在经济周期不同阶段的表现来确定时机,这样才能起到熨平经济波动的目的。基于美国商业银行1996-2010年的季度数据对资本缓冲在经济周期不同阶段的表现进行的分析,发现整体上资本缓冲并没有明显的周期性,但在经济上行期具有显著的顺周期性,在下行期呈现一定的逆周期性,因此,资本缓冲周期性在不同阶段表现出非对称效应。这些研究结论对于中国商业银行的监管改革提供了经验支持。Basel III proposes for the first time that capital buffer should be used as an alternative instrument for procyclicality regulation,but the exact time of the implementation of the procyclicality policy is not indicated.To implement the procyclicality regulation,the timing should be determined according to the performance of the capital buffer cyclicality during the different stages of economic cycles,so as to play the role of smoothing economic fluctuations.Based on the quarterly data of U.S.commercial banks from 1996 to 2010,it conducts an analysis of the performance of capital buffer at different stages of the economic cycle.The results indicate that on the whole capital buffer has no obvious periodicity,but during the economically upward period,it shows significant procyclicality,while during the downward period,it shows certain counter-cyclicity.Therefore,the capital buffer cyclicity will display asymmetrical effects at different stages.These research conclusions can provide empirical support for the regulation reform of China’s commercial banks.

关 键 词：资本缓冲 顺周期性 经济周期 非对称效应 

分 类 号：F830.22[经济管理—金融学]