逆周期资本缓冲、监管压力与宏观审慎管理有效性

Counter-cyclical Capital Buffer,Regulatory Pressure and The Effectiveness of Macroprudential management

本文主要从监管压力的视角出发,研究了我国逆周期资本缓冲的有效性。理论分析表明,逆周期资本缓冲能够通过监管压力渠道对商业银行资本缓冲调整行为产生影响,进而提升商业银行的稳定性。本文运用我国106家商业银行2004~2013年非平衡面板数据进行实证分析,经验研究表明：（1）监管压力促使商业银行增加自身资本缓冲,从而提高商业银行吸收损失能力;（2）预警压力和惩罚压力对商业银行提高资本缓冲的正向影响存在明显差异;（3）逆周期资本缓冲抑制信贷增长的作用并不明显。

This paper study the effectiveness of counter-cyclical capital buffer from the perspective of regulatory pressure. Theo- retical analysis shows that through the regulatory pressure counter-cyclical capital buffer has an impact on commercial banks＇ capital buffers and risky assets. Using unbalanced panel data of 106 commercial banks from 2004 to 2013, empirical studies show that： （1）regulatory pressure prompt commercial banks to increase their capital buffers, thereby enhancing the ability of commercial banks to absorb losses;（2）the positive influence of the warning pressure and the penalty pressure on the commer- cial banks to improve the capital buffer is significantly different; （3）the effect of the counter-cyclical capital buffer on credit growth is not significant.