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Study on Procyclicality of the Bank Capital Regulatory

Author: LiuZiCheng
Tutor: ZengLingHua
School: Hunan University
Course: Finance
Keywords: Banking regulatory Procyclicality Capital adequacy Ratio BaselAccord
CLC: F832.1
Type: Master's thesis
Year: 2012
Downloads: 12
Quote: 0
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Capital regulatory as the core of the prudential supervision towards banks, enhance the capability of banks to withstand external shocks, timely write-off kinds of losses in the business by setting the minimum capital requirement. It plays a key role in protecting the interests of depositors and reducing the bank failure probabilities, and ultimately it helps the financial system and even the entire entity keep stable.Due to the significant role that the capital regulatory plays, the procyclicality that it exposed in the financial crisis in2008has attracted considerable attention by both regulatory authorities and academic. Under this background, this paper discusses the procyclicality in-depth.This paper, on the basis of the existing research, firstly discusses about the procyclicality of the capital regulatory from a general perspective by both theoretical study and quantitative analysis. Based on the K.T. Jacques model, it is analyzed from retained earnings, total debt, credit rating migration and excess capital buffer about the procyclicality of the capital regulatory, as well as using static comparison and simulation with a two-period relationship lending model. The result shows that under the Basel there is procyclicality existing in a general capital regulatory regime which will cause credit ration and have a negative influence on the economic recovery.Then, the article discusses about the procyclicality in the capital regulatory model of China. Using capital adequacy ratio, non-performance ratio, GDP growth ratio, an empirical test has been done, which finds that the capital regulatory is cyclical to some extent. According to this result, the reasons have been discussed.Finally, some suggestions have been given from the aspects of commercial banks and regulatory authorities according to the analysis.

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CLC: > Economic > Fiscal, monetary > Finance, banking > China's financial,banking > Finance, banking system
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