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借鉴Dewaripont和Tirole(1994)的研究思路和马尔科夫原理,以连续时间的公司金融模型为基础,并充分考虑商业银行特有的金融中介属性,建立起关于商业银行行为的动态模型,对巴塞尔协议三大支柱间的交互关系及机理进行了研究。研究表明:(1)监管者应当将资本充足要求作为银行的破产临界点看待,而不是资产重置的间接信号;(2)在对风险监控比较宽松的情况下,市场约束可以降低银行的破产临界点;(3)监督检查并非是对所有银行都进行不间断监控,监管者应当对银行筛选后进行有针对性的监测。
Drawing on the research ideas of Dewaripont and Tirole (1994) and Markov’s theory, taking continuous-time corporate financial model as a foundation and fully considering the unique financial intermediary attributes of commercial banks and establishing a dynamic model of the behavior of commercial banks, The interaction between the three pillars of the agreement and the mechanism were studied. The research shows that: (1) Regulators should regard the capital adequacy requirement as the bankruptcy threshold of bankruptcy instead of the indirect signal of asset replacement; (2) Under the circumstance of more relaxed risk control, the market constraint can reduce the bankruptcy of the bank Critical point; (3) supervision and inspection is not for all banks to conduct uninterrupted monitoring, supervision of banks should be targeted screening after screening.