资本和流动性双重约束下的银行行为研究：机理与影响评估

A strong and resilient banking system is the foundation for sustainable economic growth, as banks are at the centre of the credit intermediation process between savers and investors. Moreover, banks provide critical services to consumers, small and medium-sized enterprises, large corporate firms and governments who rely on them to conduct their daily business, both at a domestic and international level. One of the main reasons the economic and financial crisis, which began in 2007, became so severe was that the banking sectors of many countries had built up excessive on and off-balance sheet leverage. This was accompanied by a gradual erosion of the level and quality of the capital base, at the same time; many banks were holding insufficient liquidity buffers. The banking system therefore was not able to absorb the resulting systemic trading and credit losses nor could it cope with the re-intermediation of large off-balance sheet exposures that had built up in the shadow banking system. In order to enhance the resilience of the global banking sector, the Basel committee enacted the Basel Capital Accord Ⅲ, which exerts both stronger capital and liquidity constraints on the commercial banks. It will be quite interesting both academically and practically to study the adjustment behaviors of commercial banks under the very change of supervisory requirements. Extant researches have respectively analyzed the behaviors of commercial banks under capital or liquidity constraints. While, so for, no researches have considered the interactive effects of capital and liquidity constraints. Based on a dynamic optimization model and its simulation method, this project analyzes mechanisms of banks' behavior when they face both capital and liquidity constraints, and investigates the effects of these constraints on banks with different characteristics and in different periods of economic cycles. This project proposes and proves the existence of structural adjustment effects and price adjustment effects when banks have capital and liquidity constraints. Furthermore, this project evaluates the dynamics of microeconomic and macroeconomic consequences, discusses the effectiveness of Basel Accord Ⅲ on bank regulations, and provides theoretical guidance for bank regulations in China.

随着巴塞尔协议Ⅲ在全球范围的逐步实施，国际银行业的监管进入到资本和流动性双重约束的新阶段，可能由此造成的银行行为异化及其对货币政策传导的冲击成为监管当局和货币政策当局的普遍担忧。在前期对资本约束下银行行为机理及其宏微观影响充分把握的基础上，本课题以国际银行监管实践为参照系，将资本约束和流动性约束相结合，基于动态优化模型及其仿真模拟分析资本和流动性双重约束的交互影响及其合成效应，深刻剖析资本和流动性双重约束下银行资产配置和信贷行为的动态调整规律，在国际比较中重点考察我国银行行为调整的特殊性，并探讨不同银行特质性和不同经济周期下资本和流动性双重约束导致的银行行为模式调整的差异性。另外，本课题还将分析和评估资本和流动性双重约束下的银行行为调整效应（结构效应和价格效应）及其宏观经济后果，弥补当前流动性约束制度实施背后的理论准备不足，完善银行监管和货币政策传导理论和实践。

随着巴塞尔协议Ⅲ在全球范围的逐步实施，国际银行业的监管进入到资本和流动性双重约束的新阶段，可能由此造成的银行行为异化及其对货币政策传导的冲击成为监管当局和货币政策当局的普遍担忧。本课题以国际银行监管实践为参照系，将资本约束和流动性约束相结合，基于动态优化模型及其仿真模拟分析了资本和流动性双重约束的交互影响及其合成效应，深刻剖析了资本和流动性双重约束下银行资产配置和信贷行为的动态调整规律，在国际比较中重点考察了我国银行行为调整的特殊性，并探讨不同银行特质性和不同经济周期下资本和流动性双重约束导致的银行行为模式调整的差异性。以资本和流动性双重约束下银行行为机理研究为基础，本课题还分析和评估了资本和流动性双重约束下的银行行为调整的微观效应及其宏观经济后果。.本课题探讨了不同特质性和不同经济周期下资本和流动性双重约束的效果差异，弥补了当前流动性约束制度实施背后的理论准备不足，完善了银行监管理论；本课题反思了银行监管与货币政策的冲突和矛盾，对金融监管与货币政策的冲突与协调进行了剖析，有利于维护金融体系的系统性安全，也有利于提高我国宏观金融调控的精准性、有效性和前瞻性；本课题对我国现行银行业资本监管和流动性监管措施的有效性及其宏微观影响进行检验和评估，有利于完善我国银行业监管制度框架。.在研究角度上，本课题突破了现有研究单纯从资本约束或流动性约束出发的缺陷，将资本约束和流动性约束结合在一起，从两者的交互影响和合成效应中分析银行行为机理及其宏微观影响，更符合当前的银行监管实际；在研究方法上，本课题主要采用动态优化建模与仿真模拟相结合的方式展开研究，解决了数据支撑不足的限制，能对高度复杂的具有内部交互作用的系统进行研究和实验，保证了研究的深度和可靠性；在研究内容上，本课题将银行特质性和经济周期引入对资本与流动性约束下银行行为机理及其影响的差异性分析，体现了一般性与特殊性的统一，增强了研究成果与现实的接轨。