内生货币体制中资本监管对我国信贷的影响研究

发布时间：2018-02-16 22:42

本文关键词： 资本充足率资本充足系数货币循环货币内生银行资本预期收益率　出处：《上海交通大学》2013年博士论文　论文类型：学位论文

【摘要】：我国的货币发行机制是我国货币政策发挥作用的前提条件，我国的货币发行机制使得我国的货币运动处于一种开放式循环体系中，这使得传统的准备金率政策对贷款数量的约束作用失效，并且对我国货币政策提出了挑战。资本充足率作为监管要求，也得到了商业银行体系的高度重视。由于银行贷款的风险特性，资本充足率可以约束银行的贷款数量，进而使得银行资本预期收益率与贷款存在数量关系。本课题认为：在我国既有货币制度体系下，资本充足率通过资本充足系数约束银行贷款数量，人民银行可以通过调控央行票据的收益率影响资本充足系数，进而影响银行贷款数量。第一章指出选题背景与意义，提出研究问题；第二章对文献进行综述，对研究问题进一步提炼和具体化。第三章以货币运动循环方式为线索，构建了我国货币政策选择的理论分析框架，解释了我国货币内生性的原因。在此条件下，建立我国银行贷款增量的数量化模型，指出我国货币政策所面临的挑战。着重分析存款准备金率对我国银行贷款数量的影响，指出其失效的原因和机理。第四章的重点讨论了资本充足率通过资本充足系数约束银行贷款数量的机制。现代的世界金融市场中，，资本充足率对银行风险管理具有重要的意义。我国的监管机构也已经开始对商业银行进行资本充足率管理。由于贷款的风险特性，资本充足率必然对贷款数量有影响。在我国货币内生和准备金率的共同作用下，资本充足率通过资本充足系数仍然对贷款数量起着决定性的作用。第五章对我国银行资本预期收益率与贷款的数量关系展开研究。银行资本的预期收益率反映了风险与收益的关系，风险可以由监管资本来反映；收益则由管制利率与市场化利率的组合来反映，我国利率体系存在着管制利率和市场化利率两种利率，商业银行既是管制利率的执行者又是市场化利率的参与者。资本市场对银行资本的预期收益率也有定价，根据无套利原理，二者应该相等，否则会有无风险套利机会。由此，构建出资本预期收益率与贷款的数量关系，进而得到了央行票据收益率与贷款的关系。第六章概括主要结论，给出我国制度变迁的政策建议，对论文后续研究进行展望。本课题研究我国现有货币制度框架下，资本监管对我国银行贷款的影响，从而构建出我国货币政策选择的理论框架。主要创新点有：（1）我国商业银行的贷款通过对外贸易循环转化成基础货币，所以我国的基础货币是内生的。（2）准备金率对我国银行贷款数量约束无效，资本充足率对我国银行贷款数量约束有效。（3）利用无套利方法，从银行资本预期收益率的角度构建我国贷款数量模型，从而得到央行票据收益率与我国贷款的关系。
[Abstract]:The monetary issue mechanism of our country is the precondition for the monetary policy of our country to play a role. The monetary issue mechanism of our country makes the monetary movement of our country in an open circulation system. This makes the traditional reserve ratio policy have no effect on the amount of loans, and challenges the monetary policy of our country. The capital adequacy ratio is the regulatory requirement. The commercial banking system has also attached great importance to it. Because of the risk characteristics of bank loans, the capital adequacy ratio can constrain the amount of bank loans. This paper holds that under the existing monetary system in China, the capital adequacy ratio restricts the amount of bank loans through the capital adequacy coefficient. The people's Bank of China can influence the capital adequacy coefficient and the amount of bank loans by regulating the yield of central bank paper. The first chapter points out the background and significance of the topic and puts forward the research issues; the second chapter summarizes the literature and further refines and concretizes the research issues. The third chapter takes the circulation mode of monetary movement as the clue, constructs the theoretical analysis frame of the monetary policy choice of our country, explains the reason of the monetary endogeneity of our country, under this condition, establishes the quantitative model of the increment of the bank loan in our country. This paper points out the challenges faced by China's monetary policy, analyzes the influence of reserve requirement ratio on the amount of bank loans in China, and points out the causes and mechanism of its failure. Chapter 4th focuses on the mechanism by which the capital adequacy ratio restricts the amount of bank loans through the capital adequacy coefficient. The capital adequacy ratio is of great significance to the risk management of banks. Our country's regulators have also begun to manage the capital adequacy ratio of commercial banks. The capital adequacy ratio is bound to have an influence on the amount of loans. Under the joint action of the endogenous currency and the reserve ratio, the capital adequacy ratio still plays a decisive role in the amount of loans through the capital adequacy coefficient. Chapter 5th studies the relationship between the expected rate of return of bank capital and the quantity of loans. The expected rate of return of bank capital reflects the relationship between risk and income, and the risk can be reflected by regulatory capital. Income is reflected by the combination of regulated interest rate and market-oriented interest rate. In our interest rate system, there are two kinds of interest rates: regulated interest rate and market-oriented interest rate. Commercial banks are both executors of regulated interest rates and participants of market-oriented interest rates. The expected rate of return on bank capital is also priced in the capital market. According to the no-arbitrage principle, the two should be equal, otherwise there will be no risk arbitrage. The relationship between the expected rate of return of capital and the quantity of loan is established, and the relationship between the yield of central bank paper and the loan is obtained. Chapter 6th summarizes the main conclusions, gives the policy recommendations of institutional changes in China, and looks forward to the follow-up study. This paper studies the influence of capital supervision on Chinese bank loans under the framework of the existing monetary system. Thus, the theoretical framework for the choice of monetary policy in China is constructed. The main innovation point is: 1) the loans of commercial banks in China are transformed into basic currency through the circulation of foreign trade. Therefore, the basic currency of our country is endogenous. 2) the reserve ratio has no effect on the number of bank loans in our country, and the capital adequacy ratio is effective for the number of bank loans in our country. From the perspective of the expected rate of return on bank capital, this paper constructs a model of the amount of loans in China, and then obtains the relationship between the yield of central bank bills and the loans of our country.
【学位授予单位】：上海交通大学
【学位级别】：博士
【学位授予年份】：2013
【分类号】：F832.4;F822.0

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