摘要
宏观审慎监管旨在降低宏观金融风险,平滑经济周期,其中巴塞尔协议Ⅲ中的动态拨备监管可以起到类似资本缓冲的作用。本文利用含金融中介的动态随机一般均衡模型(DSGE)研究前瞻型拨备规则及后顾型拨备规则和经济波动之间的相互作用。结果表明,前瞻型拨备在周期内较为平滑,持有更多的预期拨备可降低经济的顺周期性;传导渠道的分析表明,拨备类型、贷款拨备率会直接或间接的影响到不良贷款率和贷款利率,进而对金融体系和实体经济的顺周期性造成影响;在考虑逆周期资本监管的情形下,前瞻型拨备可进一步降低顺周期性,其幅度有赖于参数的选择。
Macro-prudential regulation is designed to reduce macro-financial risks and smooth the economic cycle. In that aspect, dynamic provisioning in Basel ~ can play a similar role as regu- latory capital buffers. This paper studies backward-looking provisioning, forward-looking provisio- ning rules and their interactions with economic fluctuations using dynamic stochastic general equilib- rium model （DSGE） with financial intermediaries. The findings show that the provisioning in the forward-looking is smoother, and more provision is expected to reduce pro-cyclicality of economy; transmission channel analysis shows that the type of loan loss provisioning has a direct or indirect impact on the NPL ratio and loan interest rates. Thus, the financial system and the economy pro- cyclical are affected. Considering counter-cyclical capital regulation, forward-looking provisioning can further reduce pro-cyclical, and its magnitude depends on the choice of parameters.
出处
《现代财经（天津财经大学学报）》
CSSCI
北大核心
2014年第2期29-41,共13页
Modern Finance and Economics：Journal of Tianjin University of Finance and Economics
基金
中央高校基本科研业务费专项资金项目(11JYB3001)
教育部人文社会科学基金项目(13YJA790038)
关键词
动态拨备
金融风险
经济周期
逆周期缓冲
DSGE
forwardqooking provisioning
backward-looking provisioning
countercycli-cal capital requirement
