Study On The Asymmetry Effects Of Capital Adequacy Ratio To Macroeconomic Fluctuations

Since the Basel I published in 1988, the lowest capital constraint has become the international standard and the core contents of macro prudential regulation, it has the role and milepost epoch-making significance in the history of capital regulation, Basel III raised the minimum capital requirements to further in 2010. Capital constraint effectively curbs the spread of financial risks, opens up a new prospect of capital regulation, brings new opportunities and challenges for the rapid development of the banking industry. By the end of 2014, the capital adequacy ratio of our commercial bank is 13.18%, up 7.62% compared with 2010, the capital adequacy ratio of large commercial bank is 14.10%. As the core content of capital constraint, does it have the impact on macroeconomic fluctuations? How does the influence conduct? Does it have the asymmetric characteristics on different samples and different period? Therefore, study the impact of the capital constraint, not only strengthen the academic theory research, but also has the application value to adjust the assets structure and innovate the capital regulation mechanism.This paper based on the execution path on Basel agreement of the main international economy union as the European Union, the United States, Japan and South Africa and the current development situation of capital constraint on our commercial bank. The innovative contributions are as follows:Firstly, building dynamic Panel model and the Panel VAR model on the individual level to measure the impact effect of capital constraint on bank credit behavior and macroeconomic fluctuations, analysis of the impulse response. Compare with the traditional static analysis on overall level, our dynamic econometric models have more realistic and economic significance; Secondly, discusses the threshold asymmetry, cross-section asymmetry and period asymmetry by setting the virtual variables, two-way gap variables as well as building panel threshold regression model. This is the first systemic exploration about the asymmetry effect of capital constraint.The article's main conclusions are as follows:Firstly, capital constraint has significant positive influence on bank credit, which has significantly negative effect on macroeconomic volatility. Secondly, analyses the impulse response of credit behavior and economic fluctuation to capital constraint, find that the impact of deposit growth to capital constraint changes from negative to positive, the impact of loan growth, non-performing loan growth and M2 growth to capital constraint changes from positive to negative, and the impact of GDP growth to capital constraint is positive in short-term, while negative in long term. Thirdly, the impact of capital constraint has the nonlinear characteristics. The greater pressure of capital constraint is, the more severe the influence is. Finaly, the impact of capital constraint has significant Cross-section asymmetry, but the period asymmetry is not obvious.