Dynamic Adjustment Process Of Capital Buffer And Risk-taking Behavior Under Economic Cyclical Fluctuation

The pro-cyclical characteristics of internal financial system is one of the important causes of the financial crisis.International financial regulatory system enacted Basel III which puts forward more specific requirements to the banking internal capital adequacy ratios.Meanwhile,China Banking Regulatory Commission launched Rules for Management of Commercial Bank's Capital(Trial),which explicitly proposes the regulatory requirements to the statuary capital adequacy.Counter-cyclical capital regulation has become a necessary part of macro-prudential regulation,and it's one of the important directions to the reform of the international financial marketing regulation currently.The heterogeneity of banks,the dynamic adjustment between capital buffer and risk-taking behavior are both important issues of counter-cyclical capital regulation.The paper analyzes theoretically and tests empirically the process of dynamic adjustment,as well as the influence,under the effects of macro-economic cyclical fluctuation,between the capital buffer level and the risk-taking behavior of China listed commercial banks.This paper introduces the macro-influential factors like economic cycle and capital regulation,and the micro-influential factors,such as loan provisioning,profitability,management efficiency.Using the quarter panel data of 16 listed commercial banks from 2006 to 2015 in the banking market of China,the paper builds the regression equation,and uses the generalized moment estimation methods to estimate the commercial banking capital buffer level,and the target level as well as the dynamic adjustment process of risk-taking behavior.We can draw following conclusions of this paper:the level of capital buffer and risk-taking behavior of banking market in China are presented as significant counter-cyclical characteristics;Systemically important commercial banks and other commercial banks present as heterogeneity in the process of capital and risking adjustment;With the pressure of capital regulation to the commercial banks in China,they tend to perform a higher risk.In previous studies,the metrics of banking risk-taking behavior did not reach a consensus,so with innovation,the paper respectively uses non-performing loans of the credit risk and Z value of the bankruptcy risk to process regression estimation,which gets the same conclusion.Currently,the countries and districts such as Sweden,Norway,Hong Kong and British have carried out counter-cyclical capital regulation,while China hasn't taken compulsive measures of it.As one of the three biggest financial centers,Hong Kong has advanced financial markets and financial innovations.The financial market of Hong Kong has close connections with China.There are many similarities such as real estate market and investment channel between them.Thus,the paper discusses the problems of financial market in China implementing counter-cyclical capital provision system,and proposes policy suggestions.