中国商业银行逆周期缓冲资本的计提——基于Markov区制转换模型的实证检验与国际比较

Provision for the Counter-cyclical Capital Buffer of Chinese Commercial Banks——An Empirical Test Based on the Markov Switching Model and the International Comparison

基于1998-2016年的时间序列,在《巴塞尔协议III》的逆周期缓冲资本框架下,通过Markov区制转换模型对经济周期波动性进行拟合,并基于Markov区制转换模型拟合的信贷/GDP指标对我国商业银行的逆周期缓冲资本进行计提;通过对中国、巴西、日本、美国和韩国同一周期的逆周期缓冲资本进行计提,发现基于非Markov区制转换模型拟合信贷/GDP指标计提的逆周期缓冲资本波动频率远高于基于Markov区制转换模型的计提,且后者与《巴塞尔协议III》的设计主旨更为吻合,与经济运行实际也更为契合。

Based on the time series from January 1998 to 2016, under the framework of the Basel III countercyclical capital buffers, this paper constructed a Markov switching model, and fitted the economic cycle based on the model, then draw the provision for the counter-cyclical capital buffer of Chinese Commercial banks with the index of Credit/GDP. Through the comparison of China,Brazil, Japan, the United States and South Korea, this paper found that the provision for the counter-cyclical capital buffer based on the Markov Switching model were different to the counterpart not based on the model, the frequency of the latter was higher than the former, but the former was more consistent with the design gist of the Basel III, and also more fit with the actual economic operation.