关于我国商业银行逆周期资本管理规则的探讨

The Discuss About Commercial Bank Counter-cyclical Capital Management Rules

2008年的金融危机对全球实体经济造成重创,缓解金融体系顺周期性,构建宏观审慎监管体系成为全球金融监管改革的重要发展趋势。将逆周期资本计提规则作为研究内容,总结了巴塞尔银行监管委员会在逆周期资本管理方面的研究结论。通过模型推导和情景模拟对如何科学制定逆周期资本计提与运用的规则进行了分析。运用OLS模型和t统计量显著性检验的方法检验了周期性行业不良率和PPI的相关性。研究认为,应针对不同类型机构信贷组合的周期性特征加强我国商业银行的逆周期资本的分类管理。

The 2008 financial crisis hit the global economy, alleviate the pro -cyclical financial system, build the macro- prudential regulation system has become an important development trend of the global financial regulatory reform. The research content of this paper is counter - cyclical capital rules, we firstly summarizes the main research findings of the Basel committee. Secondly quantitative analyze the rhythm and amplitude of build up and release the countercyclical capital buffers. Using the OLS model and the t - statistic significance test, the correlation between the cyclical industry and PPI was tested. In this paper, we should strengthen the classification management of reverse cyclical capital of commercial banks in China based on the cyclical characteristics of credit portfolio .