宏观审慎监管的国际借鉴——基于加拿大银行杠杆率的顺周期性及监管研究  

International Reference of Macro- prudential Supervision based on Leverage Pro- cyclicality of Canadian Banks and Regulatory

作　　者：郑庆寰[1] 王嘉懿[2] 

机构地区：[1]华东理工大学商学院,上海200237 [2]同济大学经济管理学院,上海200092

出　　处：《贵州师范大学学报（社会科学版）》2013年第6期73-79,共7页Journal of Guizhou Normal University(Social Sciences)

基　　金：国家社科基金青年项目"地方政府融资平台债务风险的顺周期机制及监管研究"(12CJY106);2011年度华东理工大学基本科研业务费探索性基金项目"融资杠杆率的动态反馈机制及逆周期监管研究"(WN1123005);教育部人文社会科学研究青年项目"金融脆弱性的动力学机制及逆周期管理政策研究"(11YJC790303)

摘　　要：巴塞尔协议Ⅲ提出将无风险敏感性的杠杆率作为风险调整资本充足率的补充,以减轻金融体系的顺周期性和系统性风险积累。加拿大是次贷危机前实施杠杆率监管的国家之一。通过分析加拿大银行杠杆率监管框架的体制和特征,发现杠杆率监管不仅限制了个体银行杠杆的增长,也使得加拿大银行体系整体杠杆率水平安全和稳定。但在杠杆率监管下,加拿大银行的杠杆率水平仍体现出顺周期性,这主要是由于银行实施"杠杆率缓冲"管理以及和批发资金市场的密切联系。因此,必须将杠杆率、银行流动性风险管理、逆周期资本缓冲等纳入统一框架,结合本国的金融市场环境进行系统分析,才能提高杠杆率的监管效果,实现宏观审慎监管目标。Basel Ⅲproposed an un- weighted leverage ratio as a supplement to existing risk- weighted capital requirements in order to mitigate pro - cyclicality of the financial system and the accumulation of systemic risk. Canadian bank was subject to le- verage regulation before subprime crisis and was a useful case to analyze the characteristics and effect of leverage regulatory. It can be founded that regulatory contributes to limit the growth of specific bank＇ s leverage and make the aggregate leverage of banks safe and stable. However, Canadian banks＇ leverage reflected pro -cyclicality under leverage constrains, which was due to banks＇ management of ＂leverage buffer＂ and close connection with whole sale fund market. Therefore, leverage and liquidity risk management and counter - cyclical capital buffers should be put into a unified framework combining with systematic analysis of domestic financial markets, in order to enhance regulatory effectiveness and achieve the goal of macro - prudential supervision.

关 键 词：杠杆率 顺周期性 宏观审慎监管 巴塞尔协议Ⅲ 

分 类 号：F831[经济管理—金融学]