The Research On Counter-cyclical Capital Buffer Of Banking Industry In China Based On Macro-prudential Assessment System

After the international financial crisis,the national financial regulatory authorities realized that the procyclicality of the banking industry can easily lead to the accumulation of systemic risk,so they began to pay attention to macro-prudential supervision.Basel III incorporates countercyclical capital buffer into the framework of macro-prudential supervision.China's banking industry has a clear procyclical.Appropriate introduction of countercyclical capital buffer mechanism has great significance to maintain financial stability.In 2016,China formally established Macro-prudential Assessment System,it provides a new way of thinking for the construction of the countercyclical capital buffer index system in China.Therefore,this paper studies counter-cyclical capital buffer mechanism of commercial banks in China based on Macro-prudential Assessment System.Mainly perform the following aspects of the work:Firstly,the domestic and foreign research is reviewed from the aspects of the pro-cyclical and countercyclical capital buffer supervision of the banking industry.Secondly,it reviews the new contents and new changes in Basel III,introduces Macro-prudential Assessment System,the method of recursive capital buffer and the implementation principle.Thirdly,This paper analyzes the internal relationship between Macro-prudential Assessment System and the countercyclical cyclical capital regulatory,empirically analyses the assessment of the capital adequacy index and the countercyclical capital buffer of 16 listed banks in China under Macro-prudential Assessment System and tries to calculate the countercyclical capital buffer of China's banking system in Macro-prudential Assessment System since 2005.Subsequently,the quarterly data of China's banks was calculated based on the countercyclical capitalization extension method proposed by Basel III from 2002 to 2017.By comparing the empirical results and the development of China's macroeconomy and banking industry,we draw a conclusion that there is a deviation if only use generized credit / GDP to trigger counter-cyclical capital buffer.Therefore,we build a more accurate indicator system on the basis of Macro-prudential Assessment System.This paper conducts an empirical study on the actual operation data of China's banking industry from 2009 to 2017.It is found that the four indi cators of capital adequacy ratio,CPI growth rate,generalized credit growth rate and liquidity ratio are significant for monitoring the countercyclical capital buffe rs under Macro-prudential Assessment System.Lastly,This paper puts forward policy suggestions for improving Macro-prudential Assessment System and the countercyclical capital supervision in China.In view of the empirical test results,this paper propos es policy recommendations for improving China's counter-cyclical capital buffer mechanism from the perspective of implementing the guiding principles and the specific measures of counter-cyclical capital buffer mechanism,and the banking industry's response.