利率工具、银行决策行为与信贷期限结构

发布时间：2018-01-20 02:31

本文关键词： 贷款基准利率利率定价机制信贷期限结构　出处：《中国工业经济》2017年12期 　论文类型：期刊论文

【摘要】：信贷期限结构是信贷量发挥作用的重要影响因素之一,但是中国对利率工具如何影响信贷期限结构的探讨尚不充分。与国外已有的基于风险管理动机视角的机制分析不同,本文基于中国商业银行特殊的利率定价机制,从盈利动机的视角出发,构建两阶段的商业银行信贷决策模型,理论分析了贷款基准利率政策对信贷期限结构的影响机制。研究发现,贷款基准利率与商业银行贷款中的短期贷款比例呈正相关关系,但短期贷款和中长期贷款的基准期限利差水平会减弱这一正向关系,并且基准期限利差本身也会直接对短期贷款比例产生负向冲击。基于2005—2016年的宏观季度数据,本文通过TVPFAVAR模型和时间序列线性回归模型的实证检验支持了上述结论 ,并且还进一步验证了从盈利动机视角分析传导机制的可信性。本文的研究结论带来一些启示:宏观调控要充分考虑商业银行的微观行为,重视贷款利率收益率曲线对信贷资源配置的调控作用,充分运用市场化利率价格信号的预期管理,综合使用利率工具和结构性货币政策工具。
[Abstract]:The term structure of credit is one of the important factors that affect the effect of credit volume. However, the study of how interest rate instruments affect the term structure of credit is not sufficient in China, which is different from the existing mechanism analysis based on the motivation of risk management in foreign countries. Based on the special interest rate pricing mechanism of Chinese commercial banks, this paper constructs a two-stage credit decision-making model of commercial banks from the perspective of profit motive. This paper theoretically analyzes the influence mechanism of loan benchmark interest rate policy on the term structure of credit. The study finds that the benchmark loan interest rate has a positive correlation with the proportion of short-term loans in commercial bank loans. But the benchmark maturity spreads for short-term and medium- and long-term loans would weaken this positive relationship. And the benchmark term spreads themselves will have a direct negative impact on the ratio of short-term loans, based on macro quarterly data for 2005-2016. This paper supports the above conclusion by empirical test of TVPFAVAR model and time series linear regression model. And it further verifies the credibility of the transmission mechanism from the perspective of profit motive. The conclusion of this paper brings some enlightenment: the macro-control should fully consider the micro-behavior of commercial banks. We should pay more attention to the regulation of loan interest rate yield curve on the allocation of credit resources, make full use of the expected management of market-oriented interest rate price signal, and use the interest rate tool and structural monetary policy tool synthetically.
【作者单位】：南京农业大学金融学院;南京大学经济学院;
【基金】：教育部创新团队发展计划滚动支持项目“经济转型期稳定物价的货币政策”(批准号IRT_17R52) 国家自然科学基金面上项目“中国金融压力、宏观经济波动与最优货币政策规则研究”(批准号1473090) 南京农业大学中央高校基本科研业务费人文社会科学研究基金项目“监管政策对商业银行信贷行为的影响效应研究”(批准号SKYC2017017)
【分类号】：F822.0;F832.4
【正文快照】： 一、引言长期以来,中国的金融体系以间接融资为主导,2016年底商业银行提供的资金在存量社会融资规模中的占比达到84%(1),信贷量对于中国经济的发展起到了巨大作用。与此同时,不少学者发现由于短期贷款和中长期贷款的用途明显不同(2),两类贷款对宏观经济会产生不同的影响效应,

【相似文献】