商业研究

商业研究

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商业银行宏微观审慎监管协调性研究 ——基于PVAR模型的实证分析

刘超1,2，马玉洁1   

  1. （1.北京工业大学 经济与管理学院，北京 100124;2.北京现代制造业发展基地,北京 100124）
  • 收稿日期:2018-11-23 出版日期:2019-04-26
  • 作者简介:刘超（1969-），男，山东枣庄人，北京工业大学经济与管理学院教授，博士生导师，研究方向：社会经济系统分析与计算机仿真;马玉洁（1986-），女，山东潍坊人，北京工业大学经济与管理学院博士研究生，研究方向：社会经济系统分析与计算机仿真。
  • 基金资助:
    国家自然科学基金项目“多目标条件下中国金融监管系统优化与风险管理研究”，项目编号：61773029；国家自然科学基金项目“货币政策多目标交互行为协调控制研究”，项目编号：61273230；北京市属高校高水平教师队伍建设支持计划长城学者培养计划项目“金融监管多目标优化研究”，项目编号：CIT&TCD20170304。

Research on the Coordination of Macro and Micro Prudential Supervision of Commercial Banks: An Empirical Analysis based on PVAR Model

LIU Chao1,2,MA Yu-jie1   

  1. (1.School of Economics and Management, Beijing University of Technology, Beijing 100124,China; 2. Beijing Modern Manufacturing Development Base, Beijing 100124,China)
  • Received:2018-11-23 Online:2019-04-26

摘要： 微观审慎监管的局限性和系统性金融风险传染性的增强，使商业银行宏微观审慎协调监管成为当前金融监管改革的趋势。本文选取2008-2017年我国14家上市商业银行半年度数据为样本，在分析银行信贷周期不同阶段宏微观审慎监管作用机制的基础上，采用面板向量自回归（PVAR）模型分析我国银行业宏微观审慎监管协调性。结果表明，微观审慎监管中不良贷款率对当前我国商业银行稳定性的影响长期存在且较为明显，流动比率和核心资本充足率对银行稳定性的冲击作用存在但长期来看影响作用并不显著；宏观审慎监管中广义信贷/GDP偏离度和银行业集中度这两个监管指标对商业银行稳定性的影响都较为明显且长期存在；宏微观审慎监管协调运作能够缓解单一政策实施对金融和经济系统的冲击力度，更有助于金融系统的长期稳定。因此，我国银行业监管不仅要在微观方面加强防范内部信贷违约风险，还要从宏观方面关注信贷结构调整和银行理财业务所可能带来的溢出风险。

关键词: 宏观审慎监管, 微观审慎监管, 商业银行, PVAR模型, 协调性

Abstract: The limitation of micro-prudential supervision and the increase of systemic financial risk contagion make the macro and micro prudential coordination supervision of commercial banks the trend of current financial supervision reform.This paper selects the semi-annual data of 14 listed commercial banks in China from 2008 to 2017 as a sample. Based on the analysis of the macro and micro prudential supervision mechanism in different stages of the bank credit cycle, the panel vector autoregressive (PVAR) model is used to study the coordination of macro and micro prudential supervision of China′s banking industry. The results show that the impact of non-performing loan ratio on the stability of China′s commercial banks will exist for a long time and is obvious,and the impact of liquidity ratio and core capital adequacy ratio on bank stability exists but is not significant in the long run; two regulatory indicators in macro-prudential supervision, the generalized credit/GDP deviation and the concentration of banking industry, have obvious effect on the stability of commercial banks and will exist for a long time;the coordinated operation of macro and micro-prudential supervision can alleviate the impact of single policy implementation on the financial and economic systems, and contribute to the long-term stability of the financial system. Therefore, China′s banking supervision should not only strengthen the prevention of internal credit default risk in the micro aspect, but also focus on the risk of spillovers from the credit structure adjustment and bank wealth management business.

Key words: macro-prudential supervision, micro-prudential supervision, commercial banks, PVAR model, coordination