资本监管对银行信贷的非对称影响研究

发布时间：2018-01-01 04:13

本文关键词：资本监管对银行信贷的非对称影响研究　出处：《湖南大学》2012年硕士论文　论文类型：学位论文

【摘要】：本文将资本监管对信贷的非对称效应分为直接和间接两种，从非对称效应的角度研究资本监管对银行信贷的影响。文章分析在不同经济周期和不同方向货币政策下，资本监管对银行信贷的影响，以及资本监管影响货币政策对信贷的调控程度，得到理论分析的结论：资本监管压力会抑制银行信贷增长，这种抑制作用的强度在经济萧条时期大于在经济繁荣时期，形成资本监管的直接非对称效应；资本监管压力还会影响货币政策对银行信贷的效果，资本监管的存在使得扩张性货币政策难以刺激信贷增长，但使得紧缩性货币政策能更有效地阻碍信贷过快增长，形成资本监管的间接非对称效应。在此基础上，本文从我国商业银行资本充足率、贷款增长率、货币政策三者之间的直观关系，结合我国资本监管的情况和经济周期的变化，得到了资本监管对信贷非对称影响的初步证据。进一步地，本文搜集整理了我国16家上市商业银行和宏观经济2004年1季度-2012年1季度的相关季度数据，构建样本银行整体、高资本充足率银行和低资本充足率银行三个非平衡面板回归模型，对理论分析结论进行定量检验，结果表明：（1）资本监管压力上升导致贷款增长率下降，且下降的幅度在经济萧条时更大，验证了资本监管的直接非对称效应。但是高资本充足率银行中直接非对称效应不显著。（2）由于资本监管的存在，使得央行在上调利率时，信贷下降更多；央行在下调利率时，信贷上升减少，验证了资本监管的间接非对称效应。低资本充足率银行的间接非对称效应最大。（3）资本监管压力的直接非对称效应还可以加剧银行信贷顺周期性；资本监管压力的间接非对称效应则会强化不同方向货币政策对信贷调控效果的非对称性，使扩张性货币政策刺激信贷增长更加乏力。由理论和实证的结果，，本文提出建立全周期的评级模型和逆周期变动的资本充足率标准，调整不同方向货币政策的力度，商业银行应努力提高自身资本充足率等对策建议。
[Abstract]:This paper divides the asymmetric effect of capital supervision on credit into direct and indirect. This paper studies the effect of capital supervision on bank credit from the perspective of asymmetric effect. This paper analyzes the impact of capital supervision on bank credit under different economic cycles and different directions of monetary policy. And the capital supervision influence the monetary policy to the credit regulation degree, obtains the theoretical analysis conclusion: the capital supervision pressure will restrain the bank credit growth. The intensity of this inhibition is greater in the economic depression than in the economic boom, forming the direct asymmetric effect of capital supervision; The pressure of capital supervision will also affect the effect of monetary policy on bank credit. The existence of capital supervision makes it difficult for expansionary monetary policy to stimulate credit growth. However, the contractionary monetary policy can effectively hinder the rapid growth of credit and form the indirect asymmetric effect of capital supervision. On this basis, this article from our country commercial bank capital adequacy ratio, the loan growth rate, the monetary policy three visual relations, unifies our country capital supervision situation and the economic cycle change. A preliminary evidence of the asymmetric impact of capital regulation on credit has been obtained. Further, this paper collects and collates the relevant quarterly data of 16 listed commercial banks and macroeconomic in the first quarter of 2004 to 2012, and constructs the sample bank as a whole. Three non-equilibrium panel regression models of high capital adequacy banks and low capital adequacy banks are used to quantitatively test the conclusions of theoretical analysis. The results show that the rise of capital supervision pressure leads to the decline of loan growth rate. And the extent of the decline in the economic depression is even greater, which verifies the direct asymmetric effect of capital supervision. However, the direct asymmetric effect in banks with high capital adequacy ratio is not significant because of the existence of capital supervision. So that the central bank in the interest rate increase, the credit decline more; As the central bank cut interest rates, credit rose and fell. The indirect asymmetric effect of capital supervision is verified. The indirect asymmetric effect of banks with low capital adequacy ratio is the largest. (3) the direct asymmetric effect of capital supervision pressure can also aggravate the pro-cyclicality of bank credit; The indirect asymmetric effect of capital supervision pressure will strengthen the asymmetry of the effect of different monetary policies on credit regulation and control and make the expansionary monetary policy stimulate the credit growth more feebly. Based on the theoretical and empirical results, this paper proposes the establishment of a full-cycle rating model and counter-cyclical capital adequacy standards to adjust the dynamics of monetary policy in different directions. Commercial banks should strive to improve their own capital adequacy ratio and other countermeasures.
【学位授予单位】：湖南大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.4;F832.5

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