An Empirical Research on Pro-cyclicality of Securities Companies' Net Capital Ratio in China
研究了2006-2010年间45家中国证券公司的净资本比率，发现其随经济周期和资产价格波动而顺周期变化，并提出构建逆周期监管机制以增强金融系统稳定性。
Net capital ratio is a reflection of risk business ratio of securities companies.It changes with the fluctuation of economic cycle,asset prices and further affects the assets prices and amplifies the macroeconomic volatility, so it has the characteristics of pro-cyclicality.Using the.panel data model which includes 45 securities companies in 2006-2010,we clearly find the pro-cyclical characteristics of the securities companies' net capital ratio in China.It is necessary for China to construct the securities companies' net capital ratio counter cycle supervision mechanism in order to alleviate the pro-cyclicality and enhance the financial system's stability.