经济下行压力下我国商业银行顺周期行为分析
发布时间：2018-12-06 21:16
【摘要】：当前我国宏观经济正处于较为明显的下行区间,并且本次波动中所承受的经济下行压力较大,在国民经济的各个方面均有所反映。本篇文章所探究的即为在该种宏观经济整体下行的大背景下,我国商业银行体系中的个体行为呈现怎样的特征,所研究的着眼点即为商业银行以资本缓冲水平选择为代表的顺周期行为。商业银行当前仍然是我国经济生活中较为重要的中枢,也直接影响着国家宏观经济政策的实施,对维护金融和宏观经济稳定起着极为重要的作用。由于商业银行与生俱来具有追求利润最大化的目标以及受到以巴塞尔协议为核心的资本充足率监管体系的制约,容易导致商业银行信贷行为存在一定的顺周期特征。这种特征可能会与经济运行形成正反馈,进而增加金融和宏观经济的不稳定程度。但自巴塞尔协议III出台,对于商业银行保留逆周期资本缓冲进行了相关规定,其目的就在于弱化商业银行顺周期效应可能对宏观经济波动幅度的推动作用。国有成分在我国商业银行体系中长期以来均占据较为重要份额,商业银行整体经营所承担的政策性因素较大,正由于我国银行体系存在该特点,研究其在本次宏观经济下行期间资本缓冲行为是否呈现顺周期特征,具有一定的理论和现实意义。本篇文章对2003-2015年间我国41家商业银行的年度非平衡面板数据进行以动态面板数据模型为基础的计量经济学分析,对所提出的各项假设进行了检验。文章主要分为五章,第1章介绍了文章主题、选题背景以及研究方法,并梳理了创新与不足。第2章对文章研究主题相关的国内外文献进行了综述,提出实证分析过程中将主要研究的问题。第3章对我国宏观经济与商业银行风险指标进行了统计性描述,反映当前经济运行下行趋势情况以及银行承压情况。第4章是对商业银行资本缓冲以及信贷行为周期性趋势相关的实证分析,得出三项实证结论。第5章是对于研究结论进行总结并针对具体实际提出当前条件下可能的政策建议。本文通过理论与实证分析主要得出以下结论:(1)我国商业银行在本文所研究的时间区间内存在顺周期性特征,但该种特征在国有大型商业银行和城市商业银行中表现较弱,推测原因为该两类银行同政府关系密切,受政策性因素影响较大,整体经营的市场化水平相比其他类型银行较低;(2)我国商业银行在统计期内对自身资本缓冲比率进行调节主要通过对资本充足率水平的分母进行调整来实现;(3)监管当局对于商业银行资本缓冲水平的规定提高会降低其信贷投放行为的波动幅度,从而对其顺周期特征具有一定的缓释作用。
[Abstract]:At present, the macro economy of our country is in the obvious downward range, and the downward pressure of the economic fluctuation is great, which is reflected in all aspects of the national economy. What this article explores is the characteristics of individual behavior in the commercial banking system of our country under the background of the overall downward trend of the macro economy. The focus of this study is the pro-cyclical behavior of commercial banks represented by the choice of capital buffer level. Commercial banks are still the more important center in the economic life of our country at present. They also directly affect the implementation of national macroeconomic policies and play an extremely important role in maintaining financial and macroeconomic stability. Because commercial banks are born with the goal of pursuing the maximization of profits and restricted by the capital adequacy regulatory system with Basel Accord as the core, it is easy to lead to certain pro-cyclical characteristics of commercial banks' credit behavior. This feature may lead to positive feedback with economic performance, thereby increasing the degree of financial and macroeconomic instability. However, since the introduction of Basel Accord (III), some regulations have been made on the reserve of countercyclical capital buffer for commercial banks, the purpose of which is to weaken the role of pro-cyclical effect of commercial banks in promoting macroeconomic fluctuations. The state-owned component has occupied a relatively important share in the commercial banking system of our country for a long time, and the whole management of the commercial bank bears a large policy factor, which is precisely due to the existence of this characteristic in the banking system of our country. It is of theoretical and practical significance to study whether the capital buffering behavior in the period of macroeconomic downturn is pro-cyclical. In this paper, the annual non-equilibrium panel data of 41 commercial banks in China from 2003 to 2015 are analyzed by econometrics based on dynamic panel data model, and the hypotheses put forward are tested. The article is divided into five chapters. Chapter 1 introduces the theme, background and research methods, and combs the innovation and deficiency. Chapter 2 summarizes the domestic and foreign literature on the subject of this paper, and points out the main problems to be studied in the process of empirical analysis. Chapter 3 gives a statistical description of the risk index of macroeconomic and commercial banks in China, which reflects the downward trend of the current economic operation and the pressure on the banks. Chapter 4 is an empirical analysis of the capital buffering and the cyclical trend of credit behavior of commercial banks, and draws three empirical conclusions. Chapter 5 summarizes the research conclusions and puts forward the possible policy recommendations under the current conditions. Through theoretical and empirical analysis, this paper draws the following conclusions: (1) China's commercial banks have procyclical characteristics in the time interval studied in this paper, but this kind of characteristics is weak in state-owned large commercial banks and urban commercial banks. The reason is that the two kinds of banks are closely related to the government, influenced by the policy factors, and the market-oriented level of the whole operation is lower than that of the other types of banks. (2) the adjustment of the capital buffer ratio of Chinese commercial banks in the statistical period is mainly realized by adjusting the denominator of the capital adequacy ratio level; (3) the increase of the capital buffer level of commercial banks will reduce the fluctuation of their credit lending behavior, and thus have a certain slow-release effect on the pro-cyclical characteristics of commercial banks.
【学位授予单位】：山东大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.33
本文编号：2366672
[Abstract]:At present, the macro economy of our country is in the obvious downward range, and the downward pressure of the economic fluctuation is great, which is reflected in all aspects of the national economy. What this article explores is the characteristics of individual behavior in the commercial banking system of our country under the background of the overall downward trend of the macro economy. The focus of this study is the pro-cyclical behavior of commercial banks represented by the choice of capital buffer level. Commercial banks are still the more important center in the economic life of our country at present. They also directly affect the implementation of national macroeconomic policies and play an extremely important role in maintaining financial and macroeconomic stability. Because commercial banks are born with the goal of pursuing the maximization of profits and restricted by the capital adequacy regulatory system with Basel Accord as the core, it is easy to lead to certain pro-cyclical characteristics of commercial banks' credit behavior. This feature may lead to positive feedback with economic performance, thereby increasing the degree of financial and macroeconomic instability. However, since the introduction of Basel Accord (III), some regulations have been made on the reserve of countercyclical capital buffer for commercial banks, the purpose of which is to weaken the role of pro-cyclical effect of commercial banks in promoting macroeconomic fluctuations. The state-owned component has occupied a relatively important share in the commercial banking system of our country for a long time, and the whole management of the commercial bank bears a large policy factor, which is precisely due to the existence of this characteristic in the banking system of our country. It is of theoretical and practical significance to study whether the capital buffering behavior in the period of macroeconomic downturn is pro-cyclical. In this paper, the annual non-equilibrium panel data of 41 commercial banks in China from 2003 to 2015 are analyzed by econometrics based on dynamic panel data model, and the hypotheses put forward are tested. The article is divided into five chapters. Chapter 1 introduces the theme, background and research methods, and combs the innovation and deficiency. Chapter 2 summarizes the domestic and foreign literature on the subject of this paper, and points out the main problems to be studied in the process of empirical analysis. Chapter 3 gives a statistical description of the risk index of macroeconomic and commercial banks in China, which reflects the downward trend of the current economic operation and the pressure on the banks. Chapter 4 is an empirical analysis of the capital buffering and the cyclical trend of credit behavior of commercial banks, and draws three empirical conclusions. Chapter 5 summarizes the research conclusions and puts forward the possible policy recommendations under the current conditions. Through theoretical and empirical analysis, this paper draws the following conclusions: (1) China's commercial banks have procyclical characteristics in the time interval studied in this paper, but this kind of characteristics is weak in state-owned large commercial banks and urban commercial banks. The reason is that the two kinds of banks are closely related to the government, influenced by the policy factors, and the market-oriented level of the whole operation is lower than that of the other types of banks. (2) the adjustment of the capital buffer ratio of Chinese commercial banks in the statistical period is mainly realized by adjusting the denominator of the capital adequacy ratio level; (3) the increase of the capital buffer level of commercial banks will reduce the fluctuation of their credit lending behavior, and thus have a certain slow-release effect on the pro-cyclical characteristics of commercial banks.
【学位授予单位】：山东大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.33
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