The Effect Of Macro-Prudential Regulation On Chinese Banks-

In the mortgage crisis of the US,the collapse of large financial institution such as the citi bank,UBS,northern rock and bear stearns caused a ripple effect.We put attention on the negative externality of systemically important banks again.Along with the development of the interbank market,the relationship between banks is more and more closely.The micro-prudential supervision which aim at the single bank robust has not effectively maintain the stability of the banking industry.The regulators should take bank risk spillover into account.In practice,China's regulators have issued a series of macro-prudential policy.As the practice implementation,the theory and empirical study on that if additional capital requirements for systemically important banks can effectively restrain the negative externality has great significance and value.Based on that purpose,this article firstly theoretically proves the rationality of the additional capital requirement for systemically important bank.In the third chapter,this paper constructs a central planner and bank individual utility maximization problem.Negative externality of banks is affected by its own bankruptcy risk and its correlation with other banks.Therefore,we set the externality as the probability to ruin and the external impact to other banks:X(L1,L2,...,Ln)· g(L1,L2,...,Ln).We create an endogenous thought of externality of banks and add it into the utility function.The optimal solution shows that the higher capital ratios can reduce the external impact of banks.The fourth chapter and the fifth chapter of this article belongs to the empirical part.In the fourth chapter,we measured the systemic risk spillover of 14 banks in China in the method of DCC-GARCH-CoVaR.The result provides that the large state-owned banks whose overflow obtained the highest degree belong to the systemically important banks.But these banks' own level of value at risk is not high.This provides a basis for macro-prudential regulation.Further more,the fifth chapter constructs a panel dynamic model to analyze the relationship between capital buffer and the risk overflow of banks.The result shows that there exist negative effects between capital buffer and the risk overflow.In state-owned banks,the negative relationship is more significant.We argue that this is because regulators divided the state-owned banks into systemically important banks,and the strict requirement for systemically important banks makes the state-owned banks raise the core capital by supplement the common stock and retained earnings.The core capital can absorb losses under the condition of operation.Our additional capital policy for state-owned banks is effective.But in joint-stock banks and city banks samples,the coefficient of capital buffer is positive,and the relationship in city banks sample is not significant.The conclusion in the third chapter's model may not be suitable for the joint-stock banks and city banks.