基于MPA体系的逆周期资本缓冲研究  

Research on countercyclical capital buffer based on Macro-Prudential Assessment System

作　　者：龙海明[1] 尹朝晖 

机构地区：[1]湖南大学金融与统计学院,湖南长沙410079

出　　处：《金融理论与实践》2018年第4期25-30,共6页Financial Theory and Practice

摘　　要：基于巴塞尔委员会推荐的逆周期资本缓冲方法,依据我国宏观经济数据,对"挂钩变量"的有效性进行实证研究。得出"广义信贷余额/GDP"指标适用性不足,而"社会融资总量/GDP"指标更优的结论。运用宏观审慎评估体系构建逆周期资本缓冲指标体系,实证结果表明,CPI增速、资本充足率、流动性比例和广义信贷增速指标可以有效判断逆周期资本计提时机。Utilizing the data of macro-economy in China to empirically research on the applicability of different signaling variables of countercyclical capital buffer recommended by Basel Committee on Banking Supervision,the results show that the index generalized credit/GDP is not suitable in China and the index aggregate financing to the real economy/GDP is the better signaling variable.On this basis,using Macro-Prudential Assessment System to construct the countercyclical capital buffer index system,the empirical research shows that the CPI growth rate,capital adequacy ratio,liquidity ratio and generalized credit growth rate can effectively monitor the time to count and draw the countercyclical capital buffer in China.

关 键 词：宏观审慎评估体系 逆周期资本缓冲指标体系 广义信贷余额/GDP 社会融资总量/GDP 

分 类 号：F832.0[经济管理—金融学]