An Empirical Study of Procyclicality of the Capital Adequacy Ratio of Commercial Banks in China
研究了1998-2008年间中国16家主要银行的资本充足率与GDP增长的关系，发现资本充足率存在一定程度的顺周期性，但数据未覆盖完整经济周期，结果需进一步验证。
Lots of attention has been paid to the procyclicality of the regulatory capital requirement in the aftermath of the international financial crisis.This paper,with reference to the empirical study models used by some foreign academia and using the least square and generalized moment method(GMM),analyses the relationship between the capital adequacy ratio of 16 major Chinese banks and the GDP growth during the period of 1998～2008.This empirical result shows that the capital adequacy ratio(currently under Basel I)has been,to some extent,procyclical in China.However,as the data used in this paper does not represent a complete economic cycle and the Chinese economy is still at its transitional stage,this empirical result may be disturbed by‘noise' of data,hence may need further cross-check.