摘要
巴塞尔协议将资本和风险相关联,使得资本监管政策具有了内禀的顺周期性。为解决这一问题,巴塞尔协议Ⅲ引入逆周期资本缓冲机制,在经济上行时期积累逆周期资本,下行时期释放逆周期资本以吸收损失。逆周期资本缓冲机制的核心,是将信贷/GDP指标转换为逆周期资本计提比例。对此,巴塞尔委员会制定了规范的操作指引供各国监管当局参考。本文在分析逆周期资本缓冲机制的基础上,对其在我国的适用性进行了实证研究。结果表明,信贷/GDP指标能够较好地反映银行业系统风险的累积程度和经济的周期性波动,在我国有较好的适用性。
The correlation of capital and risk in Basel Agreement has brought intrinsic procyclicality within capital regulation policy.The Basel Committee introduced countercyclical capital buffer mechanism to solve this problem by accumulating buffer capital in economic upward cycle and releasing it in down cycle.The key of countercyclical capital buffer mechanism is converting credit-to-GDP ratio into the capital buffer.The Basel Committee established standard implementation criteria that supervisors of each nation could refer to.This paper analyzes the applicability of Basel countercyclical capital buffer mechanism in China.The empirical results show that Basel countercyclical capital buffer mechanism is fairly applicable in China.
出处
《金融监管研究》
2012年第10期31-47,共17页
Financial Regulation Research
关键词
逆周期资本缓冲
HP滤波
宏观审慎
Countercyclical Capital Buffer
HP Filter
Macroprudential
