商业银行逆周期缓冲资本释放时机研究

The Timing of Releasing Countercyclical Capital Buffers

把握逆周期缓冲资本释放的正确时机是逆周期监管有效实施的关键之一。本文在分析金融危机与信贷关系的基础上,将多重分形消除趋势波动分析方法运用于分析信贷趋势并确定缓冲资本释放的时机;同时,运用美国1952—2013年的信贷数据进行了实证分析。研究结果表明:信贷增长率的Hurst指数可以有效指示信贷由扩张转为紧缩的时点;将名义总信贷增长率和名义银行信贷增长率的Hurst指数相结合,根据所指示的信贷反转点释放逆周期缓冲资本,能及时减少危机对银行业造成的损失。

The timing of releasing countercyclical capital buffers is a key to effectively implement countercyclical capital regulations. After studying the relationship between financial crisis and credit, this paper employs multifractal-detrended fluctuation analysis method in analyzing the credit trend and determining the timing of releasing countercyclical capital buffers. This paper gives an example based on U.S. credit data during 1952-2013. It finds that combining the Hurst exponents of nominal total credit growth and bank credit growth can effectively predict the credit reversal and the appearances of banking stresses, therefore releasing countercyclical capital accordingly can timely reduce losses caused by the crisis in banking sector.