基于宏观压力测试方法的逆周期资本监管框架研究

Research of Countercyclical Capital Regulation Framework:Based on Macro Stress Testing?

本文提出了具有前瞻性的逆周期资本测算方法,该方法不同于《巴塞尔协议Ⅲ》将信贷/GDP指标作为逆周期超额资本提取的参考基准,为金融监管部门提供了一种新的宏观审慎管理工具:依据发放相同数量贷款所需的监管资本不出现波动这一逆周期调整原则设置宏观压力情景,监管资本等于8%的最低监管资本要求加上根据宏观压力测试结果计提的逆周期超额资本。实证研究结果及其相关分析可与《巴塞尔协议Ⅲ》逆周期资本监管框架相互佐证。

This paper presents a proactive countercyclical capital regulation method, this method is different from Basel Accord Ⅲ which use credit/GDP index as reference benchmark of countercyclical excess capital extraction, a new macroprudential management tool is provided for financial regulation department. We establish the macro stress scenarios based on the countercyclical adjustment principle in which there is no regulatory capital fluctuation for same loan, regulatory capital equal to 8% of the minimum regulatory capital requirements plus countercyclical excess capital according to the result of macro stress testing. Basel Ⅲ eountercyclical capital regulatory framework, empirical research results and related analysis can support each other.