监管压力、经济周期与宏观审慎政策效果.docxVIP

监管压力、经济周期与宏观审慎政策效 马勇姚驰 中国人民大学中国财政金融政策研究中心中国人民 大学财政金融学院 摘要： 本文基于我国52家主要银行2007-2015年的面板数据，考察了监管压力和经济 周期对宏观审慎政策效果的影响。相关实证结果表明：（1）监管压力的上升能够 显著促使银行增加资本缓冲，逆周期的宏观审慎政策在总体是有效的。（2）监 管压力的上升会促使银行加快其资本缓冲的调整速度，这在城市商业银行和农 村商业银行等中小银行表现得尤为明显。（3）经济周期会对宏观审慎政策的有 效性产生一定影响，但这一影响在不同性质的银行中有所不同。对于国有商业银 行和股份制商业银行，经济上行期的政策效果相对较弱，而在经济下行期，政 策效果相对较强。对于城市商业银行和农村商业银行，经济周期的影响恰好相 反。（4）在顺周期性机制下，银行行为存在过度承担风险以获取高收益的倾向, 通过提升监管压力可以有效抑制这一倾向，从而促使银行降低风险，提高稳定 性。 关键词： 资本缓冲;监管压力;经济周期;宏观审慎政策; 作者简介：马勇，电子信箱:mayongmail@ruc. cdu. cn 基金：中国人民大学科学研究基金项目“中国财政金融政策前沿问题研究” （17XNQJ01）的资助 REGULATORY PRESSURE, ECONOMIC CYCLE, AND THE EFFECTIVENESS OF MACRO-PRUDENTIAL POLICY MA Yong YAO Chi School of Finance, China Financial Policy Research Center, Renmin University of China; Abstract： Based on panel data of 52 Chinese banks over the period of 2007一2015, this paper investigates the impact of regulatory pressure and economic cycle on the effectiveness of macro-prudential policies. Empirical results show as fol lows: (1) Regulatory pressure, rising from (counter-cyclical) cap ital buffer, prompt banks to in crease their cap ital buffer. (2) Regulatory pressure prompt banks to accelerate their adjustment of capital buffer, especially in city commercial banks and rural commercial banks. (3) Economic cycle has an impact on regulatory effectiveness, which differs in different kinds of banks. As for statcowncd and joint-stock commercial banks, the effect that regulatory pressure prompts banks to accelerate their acljustment of capital buffer is weakened in boom years, while it is strengthened in bust years. However, it is contrary for city and rural commercial banks. (4) When faced with pressure, banks have an incentive to take risks for a higher profit, but the regulatory pressure can partly restreiin this incentive, especially in bust years. Keyword： capital buffer; regulatory pressure; economic cycle; macro-prudential policy; 一、引言与文献综述 《巴塞尔协议III》将逆周期资本缓冲作为宏观审慎的重要工具引入政策框架，要 求银行计提2. 5%的留存资木缓冲以及0~2. 5%的逆周期资木缓冲，从而使银行在 经济上行期计提必要的超额资本