银行行为与经济周期波动：来自银行家调查问卷的证据

发布时间：2018-09-19 16:20

【摘要】：经济发展长期来看虽然呈现上升趋势,却始终伴随着经济运行的周期性波动,其极端表现是经济危机时有发生。在经济全球化背景下,一国甚至是一个部门的经济波动都会造成严重的系列性影响。经济危机对经济长期增长的阻碍作用也日益突出。现代市场经济中,伴随金融体系日益发展,金融市场对实体经济影响日益加深。在影响经济周期的众多因素中,金融因素的作用逐步凸显。一方面,金融部门发挥资金融通和优化资源配置的作用。金融中介的存在大大降低了交易费用,有效分散市场风险,为市场提供流动性,促进生产发展和经济稳定增长,金融部门居于经济体系核心位置。但另一方面,金融市场存在摩擦,因而具有明显顺周期特点。随着金融体系改革不断推进,金融因素对经济周期的影响不断增强,其中银行部门更是经济波动的重要根源。中国是名副其实的银行主导型金融体系国家,间接融资是中国企业的主要融资方式,银行体系在金融资源配置过程中的角色举足轻重。银行信贷决策调整直接影响企业融资成本,商业银行信贷变化直接影响企业产出,经济波动对其也是极为敏感。从事银行贷款业务的银行家是信贷行为直接决策者。受经济形势、监管政策和同业竞争等因素影响,银行家根据经济预期调整信贷审核标准,调节信贷规模,如此直接影响宏观经济。随着利率市场化推进,银行业经营自主性有所提高,深入研究银行家预期与经济波动对于防范金融业系统风险和保持经济平稳增长具有重要意义,也为宏观审慎监管提供新的参考对象。本文通过实证研究中国银行家预期与宏观经济的相关性,探究中国银行家对宏观经济判断的准确性,采用中国人民银行银行家问卷调查结果—银行家信心指数与宏观经济景气指数(先行指数、一致指数、滞后指数)进行联动性研究。本文分别采用HP滤波分析法、“拐点”法中的BBQ算法和MSAR方法、基于VAR预测误差的时域方法以及基于谱分析的频域方法共五种方法,测度银行家信心指数与宏观经济景气指数(先行指数、一致指数、滞后指数)关联性,验证中国信贷周期与经济周期的关系,通过对比探究银行家对经济波动感知程度,探讨在中国提高银行家决策自由的可能性和必要性。本文对中国银行家预期与宏观经济波动的相关性进行系统对比分析,得出以下结论:通过分析五种实证方法测度银行家信心指数与宏观经济景气指数(先行指数、一致指数、滞后指数)的联动性,证明银行家信心指数与宏观经济景气指数先行指数相关性更强,这反映出银行家对未来经济的预测和感知能力更强,中国信贷周期具有较强顺周期效应。此外,虽然现有研究中银行贷款余额被广泛用以衡量银行行为,本文通过对比分析证明银行家信心指数更具衡量银行自身行为的优越性。
[Abstract]:In the long run, although the economic development shows an upward trend, it is always accompanied by the cyclical fluctuation of economic operation, and its extreme performance is that the economic crisis occurs from time to time. Under the background of economic globalization, the economic fluctuation of a country or even a sector will cause a series of serious effects. The economic crisis to the economic long-term growth hindrance function also day by day prominent. In the modern market economy, with the development of the financial system, the financial market has a deeper impact on the real economy. Among the many factors affecting the economic cycle, the role of financial factors is gradually prominent. On the one hand, the financial sector plays a role in financing and optimizing resource allocation. The existence of financial intermediation has greatly reduced transaction costs, effectively dispersed market risks, provided liquidity for the market, promoted the development of production and stable economic growth, and the financial sector occupies the core position in the economic system. On the other hand, there is friction in the financial market, so it has a distinct pro-cyclical characteristic. With the development of the financial system reform, the influence of financial factors on the economic cycle is increasing, among which the banking sector is an important source of economic fluctuations. China is a country of bank-dominated financial system. Indirect financing is the main financing method of Chinese enterprises, and the banking system plays an important role in the process of allocation of financial resources. The adjustment of bank credit decision directly affects the financing cost of enterprises, and the change of commercial bank credit directly affects the output of enterprises, and the economic fluctuation is extremely sensitive to it. Bankers engaged in bank lending are direct decision makers of credit behavior. Under the influence of economic situation, regulatory policy and interbank competition, bankers adjust credit auditing standards according to economic expectations and adjust credit scale, which directly affects the macro economy. With the promotion of interest rate marketization, the banking industry has increased its operational autonomy. It is of great significance to study bankers' expectations and economic fluctuations to prevent the financial sector system risks and maintain the steady economic growth. It also provides a new reference for macro-prudential regulation. This paper explores the accuracy of Chinese bankers' macroeconomic judgment through empirical study of the correlation between Chinese bankers' expectations and macro economy. This paper adopts the results of the Chinese people's Banker questionnaire-Banker confidence Index and Macroeconomic Prosperity Index (leading index, consistent index, lag index) to carry on the linkage research. In this paper, HP filter analysis method, BBQ algorithm and MSAR method, time-domain method based on VAR prediction error and frequency-domain method based on spectral analysis are used respectively. To measure the correlation between banker confidence index and macroeconomic climate index (leading index, consistent index, lag index), to verify the relationship between Chinese credit cycle and economic cycle, and to explore the perception of economic fluctuation by bankers. Explore the possibility and necessity of improving bankers' freedom of decision-making in China. This paper makes a systematic comparative analysis of the correlation between banker expectations and macroeconomic fluctuations in China, and draws the following conclusions: by analyzing five empirical methods to measure bankers' confidence index and macroeconomic climate index (leading index, consistent index), The correlation between the index of banker confidence and the leading index of macroeconomic boom index is stronger, which reflects that bankers have stronger ability to predict and perceive the future economy, and the credit cycle in China has a strong pro-cyclical effect. In addition, although bank loan balance is widely used to measure bank behavior in the current research, this paper proves that the banker confidence index has the advantage of measuring banks' own behavior through comparative analysis.
【学位授予单位】：吉林大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832;F124.8

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