Study Of Bank’s Procyclical Features And Factors

The financial crisis that broke out in 2008 caused a downturn in the global economy,severe declines in asset prices,and increased financial volatility.Micro-prudential supervision revealed many shortcomings.The Basel III,released in 2010,was based on the general regulatory requirements for the banking industry proposed by the international banking industry,laying the foundation for countries to conduct research on macro-prudential supervision.At the same time,the procyclicality of commercial banks has once again entered the public eye and causing widespread discussion.China has not yet experienced a systemic financial crisis,but local risks have continued to occur.The regulatory requirements set out in the Basel III Agreement cannot fully meet China’s current development situation.As early as before the financial crisis,China has carried out various financial regulatory reforms based on its own national conditions,and further improved the “dual-pillar” financial regulatory framework in the 2018 Two Sessions,bringing more financial markets and institutions into the macro prudent management to maintain the stability of the modern financial system.In this context,studying the characteristics of procyclical behavior of commercial banks has important theoretical and practical significance for improving the macro-prudential supervision mechanism,strengthening government countercyclical regulation,regulating and weakening procyclical behavior of commercial banks,and maintaining the stability of the financial system.Based on a review of relevant domestic and foreign literature,this article first defines the procyclicality of commercial banks and systematically analyzes the forming factors of procyclicality of commercial banks from its internal and external dimensions.It laid the foundation for empirical analysis.Secondly,using the annual data of 17 listed commercial banks from 2008 to 2018,and the leverage level and the capital adequacy ratio as the explanatory variables,the generalized moment estimation method was used to analyze the dynamic panel data to measure whether the procyclical behavior of China’s commercial banks existence and its influencing factors.The empirical analysis results show that the commercial banks’ leverage and capital adequacy ratios in China have very obvious procyclicality,and the credit activities of commercial banks have contributed to the procyclical behavior of commercial banks to a certain extent.Thirdly,the quarterly data of major commercial banks in China from 2004 to 2018 were used to construct a vector regression model,and the correlation between the procyclical behavior of commercial banks’ leverage and capital adequacy ratios and economic fluctuations was analyzed.It shows that China’s commercial banks have a negative correlation between procyclical leverage and economic fluctuations,and there is an amplification mechanism in the opposite direction,which is different from the positive feedback mechanism that leads to increase and decrease in general.The impact of the capital adequacy ratio of China’s commercial banks on economic growth is relatively rapid,and the restrictions imposed by the regulatory authority on the capital adequacy ratio will limit China’s economic growth.Finally,according to the actual situation in China,it puts forward relevant countermeasures and suggestions on how to alleviate the procyclical behavior of our commercial banks from the perspective of the commercial banks themselves and the regulators.For the commercial banks themselves,they must optimize their credit business and strengthen financial Innovation,at the same time,we must constantly strengthen our own risk awareness and establish and improve the commercial bank’s own risk management system.For the regulatory authorities,on the premise of continuously improving China’s capital buffer mechanism and dynamic provisioning system,it is even more necessary to strengthen the supervision of systemically important banks,gradually strengthen the correct guidance of commercial banks,and improve the risk awareness and ability to withstand risks.