A Study On China Countercyclical Capital Buffer Model Under Macro-Prudential Supervision

In 2008,the crisis that amazed the word promotes the way of financial supervision from the micro regulation towards macro prudential supervision,and forms the regulation structure from top to bottom with the tool of countercyclical capital buffer policy.The policy can reduce the effect of CIS periodicity of financial institutions and stable cyclical swings.China also proposes to establish the countercyclical regulatory framework,and in the "13th Five-Year" plan,China claims that regulators have to have forward-looking and reform and improve the financial regulatory framework which adapt the development of modern financial market.Therefore,it is urgent to study the countercyclical capital buffer model which is suitable for China.This paper first analyzes the causes of financial CIS cyclical,and point out the effect of CIS periodicity of the economy.Then the paper explore the countercyclical policy tools.Finally,the paper studies the countercyclical capital buffer in depth,aiming to establish a Chinese model of countercyclical capital buffer.The model researches from the model that Basel Committee proposed.And the paper texts the applicability of the model of “credit/GDP” in China.Then The paper uses ROC curve to choose a variable from the variables of easy reflecting economic crisis situation,with the same data from the quarter of 2002 to 2016.Research shows that “credit/GDP” applies to China,only with a flaw.But the model of “ M2/GDP ” can work with the model of “credit/GDP”,making up the countercyclical capital buffer together.Therefore,this thesis believes that establishing the countercyclical capital buffer with the variable of “ M2/GDP ”and “credit/GDP” together more fits the China's economic environment.