股票价格波动对银行信贷影响的实证研究

发布时间：2018-06-14 01:01

本文选题：股票价格 + 银行信贷　；参考：《浙江工商大学》2017年硕士论文

【摘要】：随着资本市场的发展与金融创新的进步,资产价格的波动与实体经济的相关性已经被学者反复证明。2007年始于美国的次贷危机对其金融体系与宏观经济造成巨大冲击,并迅速蔓延至全球,导致全球性的经济衰退,这一事件也进一步表明,资产价格与商业银行信贷规模之间联系紧密。近年来,我国股票市场发展迅速,股票价格的剧烈波动逐渐成为一种常态,与此相伴的是银行新增信贷也出现大幅波动,两者表现出强烈的相关性。由于商业银行在金融体系中占据重要地位,银行信贷的扩张与紧缩将通过货币创造影响实体经济,因此,研究我国的股票价格波动对银行信贷规模的影响有助于减少股价波动对宏观经济的冲击,对于优化监管指标、维护金融稳定具有重要的理论与现实意义。本文首先对股票价格影响银行信贷的传导机制从供需两方面进行梳理,主要包括财富效应、羊群效应、托宾Q效应、外部融资成本渠道、金融创新渠道、资产负债表渠道以及资本约束机制。在理论分析的基础上,本文利用我国2007—2015年52家商业银行的财务数据,建立面板数据模型对股票价格对银行信贷的影响进行了实证分析。为了进一步研究股权性质及上市与否对于银行信贷敏感性是否有影响,本文在全样本估计后进行了分组计量,并进行了稳健性检验以验证结论的稳健性。实证结果表明:我国股票价格波动对商业银行信贷产生显著的正向影响,股票价格上涨会促使银行扩张信贷;国有银行信贷规模对股票价格波动的敏感性低于非国有银行,且不受资产规模、杠杆率及不良贷款率的影响;上市银行信贷规模受股价波动影响较显著,而非上市银行信贷对股价波动并不敏感。基于以上结论,本文从不同角度提出了相关建议:从商业银行角度应加强商业银行的信贷管理与资本管理,建立逆周期的资本缓冲机制,提高国有银行的经营效率;从股票市场角度应抑制投机行为,加强投资者教育,同时增加居民投资渠道;从监管角度应运用多种宏观审慎监管工具,实行逆周期的资本监管。
[Abstract]:With the development of capital market and the progress of financial innovation, the correlation between the fluctuation of asset price and the real economy has been proved repeatedly by scholars. It quickly spread to the world, leading to a global recession, a further indication that asset prices are closely linked to the size of commercial bank credit. In recent years, the stock market of our country develops rapidly, the sharp fluctuation of the stock price becomes a kind of normal gradually, accompanied by the bank new credit also appears the big fluctuation, both show the strong correlation. Since commercial banks play an important role in the financial system, the expansion and tightening of bank credit will affect the real economy through monetary creation. The study of the impact of stock price fluctuation on the scale of bank credit is helpful to reduce the impact of stock price fluctuation on macro economy and has important theoretical and practical significance for optimizing the supervision index and maintaining financial stability. This paper firstly combs the transmission mechanism of stock price influencing bank credit from two aspects of supply and demand, including wealth effect, herd effect, Tobin Q effect, external financing cost channel, financial innovation channel. Balance sheet channels and capital constraint mechanisms. On the basis of theoretical analysis, using the financial data of 52 commercial banks from 2007 to 2015, this paper establishes a panel data model to analyze the effect of stock price on bank credit. In order to further study the impact of equity property and listing on the bank credit sensitivity, this paper makes a grouping measurement after the full sample estimation, and makes a robustness test to verify the robustness of the conclusions. The empirical results show that the stock price fluctuation in China has a significant positive impact on the credit of commercial banks, and the rise of stock prices will promote banks to expand credit, and the sensitivity of credit scale of state-owned banks to stock price fluctuations is lower than that of non-state-owned banks. It is not affected by asset size, leverage ratio and non-performing loan ratio; the credit size of listed banks is significantly affected by stock price volatility, while non-listed bank credit is not sensitive to stock price volatility. Based on the above conclusions, this paper puts forward some relevant suggestions from different angles: from the perspective of commercial banks, we should strengthen the credit management and capital management of commercial banks, establish a counter-cyclical capital buffer mechanism, and improve the operating efficiency of state-owned banks; From the perspective of stock market, we should restrain speculative behavior, strengthen investor education and increase investment channels of residents. From the perspective of supervision, we should use a variety of macro-prudential supervision tools to carry out countercyclical capital supervision.
【学位授予单位】：浙江工商大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.51;F832.4

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