银行资本监管的经济波动效应

基于中国隐性存款保险制度背景,将风险资本要求和监管惩罚因子植入银行目标利润函数中,构建新的理论模型, 探讨巴塞尔新资本协议框架下银行资本监管影响宏观经济波动的内在机理,理论研究表明:风险资本要求的提高或惩罚力度的增强会使最优贷款供给对利率的敏感度减少,当融资市场不完全时, IS曲线将变得更为陡峭并向左下方移动,从而降低了宏观经济的均衡产出.在此基础上,采用动态面板数据模型的GMM方法进行实证检验,估计结果显示: 2001-2008年期间,资本监管在我国具有信贷紧缩效应,通过信贷行为的传导对经济增长有显著负面影响,特别是在经济衰退时期资本监管会加剧宏观经济波动.

Impact of banking capital regulation on economic fluctuation

Based on the background of the implicit deposit insurance system in China, this paper includes risk-sensitive capital adequacy requirement and punish function of regulatory authority in bank profit function, and proposes a new theoretical model to probe into the inherent mechanism of how capital regulation affects macroeconomic fluctuation under new Basel capital accord. The theoretical analysis shows that an increase in the risk-sensitive capital adequacy requirement or punitive measures will make the optimal loan supply less sensitive to changes in the interest rate, and will move the IS curve toward lower left and make the IS curve steeper when the financial market is incomplete, which can reduce the balanced output of economy. The GMM of a dynamic panel data model is adopted to empirical study, the results show that capital regulation in China has a credit shrinking effect and a negative impact on economic growth for the period 2001 to 2008, which aggravates macroeconomic fluctuation especially in a recession.