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Credit of commercial bank procyclicality and regulatory proposals

Author: YangZuo
Tutor: FengRuiHe
School: Capital University of Economics
Course: Finance
Keywords: Commercial bank Credit activity. Pro-cyclicality Risk of credit Riskof liquidity. Dynamic capital adequacy ratio Dynamic losses reserve Macro-prudential supervision of systemic risk
CLC: F832.4
Type: Master's thesis
Year: 2014
Downloads: 3
Quote: 0
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Abstract


Research has already shown that credit activities of commercial banks hold asignificant characteristic of pro-cyclical fluctuation, which may lead to correlation ofcredit cycle, capital cycle, and risk cycle. China’s commercial banks’ credit activitiesalso have significant pro-cyclical fluctuation characteristics. Although the2008financial crisis no longer exist, the economic crisis has exposed the weakness of thebanking credit system, which also attracts the attention from both academia scientistand government regulators. Their research on pro-cyclical commercial bank creditactivity is in quiet a large amount. Their perspectives have also been very diversified.Based on this background, the article will be started with some economics principles.By two channels of the bank debt and the balance sheet, this article will demonstratethe pro-cyclical theory of China’s commercial bank credit activity. And by usingempirical methods, I made a statistic research of financial statement of the listed14banks in China to verify the pro-cyclicality of commercial bank credit activity doesexist, and there may be some regular of risks evolution. Also, to the problem of credit,risk management and liquidity risk management of the current situation, I tried todesign a set of forms, from the perspective of commercial banking regulators,including three aspects. They are dynamic capital adequacy ratio, a forward-lookingdynamic capital loss ratio, and diversified monitoring indicators. In the last, the articlewill explore the feasibility of the forms above, with the more important practicalsignificance.

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