巴塞尔协议Ⅲ的资本监管改革和银行应对措施研究——基于DSGE模型的数值模拟分析  

Implementation of Capital Requirements of Basel Ⅲ and Bank's Countermeasures Research——Based on Numerical Simulation of DSGE Model

作　　者：黄锐[1,2] 蒋海[1] 

机构地区：[1]暨南大学金融系,广东广州510632 [2]广东金融学院金融系,广东广州510521

出　　处：《金融经济学研究》2013年第6期116-127,共12页Financial Economics Research

基　　金：中央高校基本科研业务费专项资金资助项目(11JYB3001);教育部人文社科基金项目(13YJA790038)

摘　　要：利用带金融中介的动态随机一般均衡模型(DSGE)研究巴塞尔协议Ⅲ资本监管实施策略和银行应对措施的经济影响,结果表明,首先,增加资本充足率要求可以降低金融体系的顺周期性,宏观经济成本在银行的不同应对措施下稍微有些差别,在银行采取"提高贷款利差"的策略时宏观经济成本最大;其次,银行偏好"提高贷款利差"的策略,因为该措施对银行ROE的影响最小;最后,监管部门实施更高资本监管规则时,如果采取更长的政策过渡期或者提前公布政策可以降低改革成本从而惠及实体经济。In this paper, we use DSGE model to study the economic impact of Basel Ⅲ＇ s bank capital requirements and the bank＇ s response strategies. Bank＇ s response to tightening capital requirements includes three strategies ： （ 1 ） to raise more capital, （ 2 ） re- duce the payment of dividends to shareholders, （3） to raise lending spreads. The main con- clusions are as follows：First, the increase of the capital adequacy requirements can reduce the procyclieality of the financial system, the economic impact is somewhat different under different response measures. The macroeeonomie costs of strategy（3） is maximum ;Secondly, this study showed that banks prefer（3）to raise lending spreads, because the impact to ROE of banks is minimal; Finally, the implementation of a higher capital requirements, longer pol- icy transition period or advance publication of policy can reduce the cost of reform and in- crease the benefit of the entity economy.

关 键 词：巴塞尔协议Ⅲ 资本充足率要求 宏观经济效应 银行应对措施 动态随机一般均衡 

分 类 号：F831.0[经济管理—金融学]