中国逆周期缓冲资本调整指标研究——基于金融体系脆弱时期的实证分析

A Study on Chinese Regulative Indicators of Countercyclical Capital Buffer——An Empirical Analysis Based on the Vulnerable Periods of the Financial System

本文在使用主成分分析法对我国2001-2012年期间金融体系脆弱性进行测度的基础上,使用信号提取法来实证考察我国逆周期缓冲资本调整指标的选择问题。结果表明,在μ+σ的高危临界值标准下,2002Q1、2003Q2、2005Q1和2009Q1是我国金融体系较为脆弱的时期。GDP缺口和贷款损失准备金率分别是我国逆周期缓冲资本积累阶段和释放阶段较为合适的调整指标,而巴塞尔协议Ⅲ所建议的信贷/GDP缺口在整个阶段未能对缓冲资本的调整发出及时可靠的信号。无论是在积累阶段还是释放阶段,逆周期缓冲资本政策的制定都不能过于依赖单一调整指标发出的信号,稳妥的政策决策还需关注其他维度的信息。

Based on the vulnerable periods of the financial system during 2001-2012 measured with principal component analysis method, this paper uses signal extraction method to investigate the selection of China＇s regulative indicators of eountercyclical capital buffer. The results show that 2002Q1, 2003Q2, 2005Q1 and 2009Q1 are vulnerable periods of China＇s financial system under the high-risk critical value standard. GDP gap and the loan loss reserve ratio perform well as indicators in the capital accumulation and release phases respectively. However, Credit/GDP gap proposed by Basel Ⅲ fails to provide timely signals at the whole stage of capital butler adjustment. Whether it is at the stage of capital buffer＇s releasing phase or accumulation phase, the eountercyclical buffer capital policy shouldn＇t rely on the single regulative indicator, and we need pay attention to other dimensional information.