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巴塞尔委员会逆周期资本框架在我国银行业的实证分析 被引量:49

Empirical Analysis on the Countercyclical Capital Framework Proposed by the Basel Committee Based on China's Banking Industry
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摘要 2010年12月16日,巴塞尔委员会公布了《第三版巴塞尔协议》和《各国监管当局实施逆周期资本缓冲指引》,要求各国监管当局参照制定逆周期资本缓冲政策框架,并视需要要求银行计提逆周期资本缓冲。本文采用我国银行业的数据,对该资本缓冲政策框架进行了实证分析,并就我国实施逆周期资本缓冲政策提出了政策建议。 On 16 December 2010,the Basel Committee on Banking Supervision published Basel III and Guidance for national authorities operating the countercyclical capital buffer,which requires national authorities to set up a countercyclical buffer regime under this guidance,i.e.requiring banks to accumulate countercyclical capital buffer when necessary.With the data of China's banking industry,we conducted an empirical analysis on this countercyclical capital buffer framework,and made recommendations on how to implement this framework in China.
作者 李文泓 罗猛
出处 《国际金融研究》 CSSCI 北大核心 2011年第6期81-87,共7页 Studies of International Finance
关键词 逆周期资本缓冲 银行业 Countercyclical Capital Buffer Banking Industry
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参考文献6

  • 1李文泓,罗猛.关于我国商业银行资本充足率顺周期性的实证研究[J].金融研究,2010(2):147-157. 被引量:109
  • 2Basel Committee on Banking Supervision. Basel III: A Global Regulatory Framework for More Resilient Banks and Banking Systems[EB/OL]. http://www.bis.org/publ/bcbs189.htm, December 2010.
  • 3Basel Committee on Banking Supervision. Guidance for National Authorities Operating the Countercyclical Capital Buffer[EB/OL]. http://www.bis.org/publ/bcbs187.htm, December 2010.
  • 4Committee of European Banking Supervisors. Position Paper on a Countercyclical Capital Buffer[EB/OL]. http://www. c -ebs .org/getdoc/715bc0f9 -7af9 -47d9 -98a8 -778a4d20a880/CEBS -position -paper -on -a -countercyclical -capital -b.aspx, July 2009.
  • 5Mathias Drehmann, Claudio Borio, etc. Countercyclical Capital Buffers: Exploring Options [EB/OL]. www.bis.org/ publ/work317.htm, July 2010.
  • 6Stephany Griffith-Jones Joses Antonio Ocampo etc. Building on the Counter-cyclical co-nsensus: A Policy Agenda [EB/OL]. http://www.friendsofeurope.org/Portals/6/download/Towards -Basel -III/Building -on -the -counter -cyclical - consensus_A-policy-agenda.pdf, October 2009.

二级参考文献31

  • 1孙连友.商业银行亲周期性与信用风险计量[J].上海金融,2005(3):28-30. 被引量:27
  • 2刘斌.资本充足率对我国贷款和经济影响的实证研究[J].金融研究,2005(11):18-30. 被引量:121
  • 3Tanaka M. (2002) ,How Do Bank Capital. and Capital Adequacy Regulation Affect the Monetary Transmission Mechanism? http://ideas, repec, org/p/ces/ceswps/_799, html.
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  • 8银监会于2004年发布《商业银行资本充足率管理办法》.
  • 9Ayuso, J. , Pe'rez, D. , Saurina, J. (2004) , "Are capital buffers pro -cyclical? evidence from Spanish panel data", Journal of Financial Intermediation 13, pp. 249 ~264.
  • 10Barcelo, R. (2004), " A Bank Lending Channel of Monetary. Policy in Spain: Evidence from Bank Balance Sheets", Department of Economics, Florida University.

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