Study On Commercial Banks’ Capital Buffer Under The Perspective Of Liquidity In China

In2008, the global financial crisis highlights the defects of financial regulatory framework. In order to improve the financial supervision system, In December2010, the Basel committee formally put forward a new regulatory framework 《Basel agreement Ⅲ》, which propose to continuous strengthen supervision of existing capital. It also put forward the measures of bank capital regulation reform and highlights liquidity supervision should be synchronous with the capital regulation, including establishing counter-cyclical capital buffer mechanism. So from the view of macro prudent supervision and the perspective of liquidity to study whether it will influence capital buffer, this will offer some reference value to establish and improve the counter-cyclical capital buffer mechanism. This article introduced the capital buffer dynamic model to study the relationship between capital buffer and liquidity, our sample includes23commercial Banks of our country over the2003-2011periods. The results show that:capital buffer and liquidity are significantly negatively related, which not only prove the Basel agreement Ⅲ’s decision which liquidity supervision should be synchronous with the capital regulation is applicable to our country,but also suggests that liquidity will influence the capital buffer.So, liquidity should be considered when our financial regulators in So, in order to further improve our capital supervision system, our regulators should consider liquidity expectation establishing countercyclical capital buffer mechanism.Secondly, on the basis of the basic model, this paper will do asymmetric analysis on bank capital buffer and liquidity. Here, the so-called asymmetric analysis is that according to our banks property we divided our sample banks into three categories:state-owned commercial Banks, joint stock commercial Banks national and regional city commercial bank and then we use the same regression model regression, mainly used for investigation for different kinds of commercial bank, whether the relationship between the bank capital buffer and liquidity is different. If the three kinds of different types of Banks’ regression results is the same with the overall sample bank, it means that it’s not exist asymmetric effect between capital buffer and liquidity create, otherwise, there are exist asymmetric effect. The asymmetric analysis is aiming at providing empirical and theoretical basis for China’s financial regulators when they perfect countercyclical capital buffer mechanism for different kinds of commercial banks. This paper can be divided into five parts:Chapter1summarizes the theoretical and practical significance of the topic, makes introduction about the relevant literatures, then states the study methodology and structure.Chapter2introduces the measuring indices on bank capital buffer and liquidity measure. Firstly this paper summarizes the concept of commercial bank capital buffer, and introduces the calculation of bank capital buffer; secondly, this paper summarizes the concept of commercial bank liquidity and the calculation of liquidity creation according to the balance sheet of commercial banks in China.Chapter3The third chapter mainly introduces the bank capital buffer and liquidity of theoretical analysis of the relation between model, sample selection and other explanatory variable and this paper the regression method is introduced. This paper USES the this paper the Juan Ayuso, Daniel Perez and Jesus Saurina (2004) capital dynamic supervision model, combined with China’s actual situation and comprehensive all influence the capital buffer factors, from the most basic reflect actual investment based on the simple equation to establish the regression equation. Sample including commercial banks of2003-2011years. Then according to the regression equation and the sample, the choice of the regression method is generalized method of moment (GMM).Chapter4regressed the capital buffer dynamic model. The results show that: capital buffer and liquidity are significantly negatively related. Secondly, on the basis of the basic model, this paper will do asymmetric analysis on bank capital buffer and liquidity. According to our banks property we divided our sample banks into three categories:state-owned commercial Banks, joint stock commercial Banks national and regional city commercial bank, mainly used for investigation for different kinds of commercial bank, whether the relationship between the bank capital buffer and liquidity is different. The conclusion is:the state-owned commercial bank’s liquidity created coefficient is positive, accord with "risk absorption theory". For national joint-stock commercial Banks and regional commercial bank speaking, liquidity created coefficient is negative, comply with "financial fragile extrusion effect" hypothesis, namely bank capital adequacy level and liquidity are negative correlation relationship that liquidity is not only one of the factors that influence the capital buffer, and for our country different nature of the commercial bank its influence also has asymmetry.Chapter5is mainly according to the return of the above results to our country how to perfect capital supervision system and policy Suggestions and future research direction.