留存资本缓冲与逆周期资本缓冲的模型分析

Model Analysis of Capital Conservation Buffer and Countercyclical Capital Buffer

将巴塞尔协议Ⅲ新增的两项资本规定引入Blum和Hellwig(1995)模型中,研究新增的资本规定对银行信贷、企业投资与经济波动互动关系的影响。研究发现,银行借贷和企业经营的顺周期性会加剧经济波动;当商业银行的借贷行为受到资本充足率的约束时,银行信贷和企业投资的顺周期性通过资本约束途径发生作用;而巴塞尔协议Ⅲ新增的两项资本规定可以显著地降低银行信贷和企业投资的顺周期性。

This paper introduced two new capital requirements of Basel Ⅲ into the base model of Blum and Hellwig （1995）, and focused on the relationship among new capital requirements, bank credit, corporate investment and the economic fluctuations. The study found that, the pro-cyclicality of bank lend- ing and loan payment could exacerbate the economic fluctuation; When the bank lending behaviors are constrained by the capital adequacy requirements, the capital adequacy requirements provide a pro-cyclical way to affect bank lending and corporate investment; However the two new capital requirements of Basel Ⅲ could significantly reduce the pro-cyclicality of bank credit and corporate investment.