周期视角下的银行信贷波动与产出波动研究

发布时间：2018-01-20 13:25

本文关键词： 金融周期银行信贷产出波动信贷管理　出处：《南开大学》2014年博士论文　论文类型：学位论文

【摘要】：此次全球金融危机爆发过程中,信贷规模的快速扩张被认为是导致金融体系不稳定的重要因素之一,以信贷为代表的金融变量得到学术界和政策研究者的广泛关注。这类研究主要体现在两个方面,一类认为信贷在资本形成、效率提高的同时,也会给经济体带来巨大的潜在风险,过快的信贷包含了预测金融不稳定的大量有价值的信息；一类研究从金融周期的角度强调了信贷的重要性,金融周期有不同于经济周期的、具有自身特点的变化规律,金融周期并不是附属于经济周期的。这两类研究均表明忽略了信贷等金融变量的重要性是非常危险的事情,而有效的管理信贷就显得异常重要与急迫。此次金融危机的爆发时机恰巧也是我国国内金融改革的攻坚期,利率市场化步伐显著加快,继贷款利率下限放开以后,存款利率上限也有望在一两年内放开。正是在全球金融危机的大背景下,结合中国转轨经济时期的特点,本文系统讨论我国银行信贷对产出的重要作用以及其调控机制。本文首先考察了银行信贷的典型特征以及我国商业银行信贷投放的影响因素。跨国比较显示,危机后我国非金融类企业的信贷规模增长过快,而居民部门的信贷规模维持在一个较低的水平；从总量层面来看,MS-AR分析显示信贷/GDP通常存在一个较低速的稳定增长路径,而以较小的概率转换为较高的增速。在分析商业银行信贷投放影响因素时,本文在CC-LM模型基础上,引入了净资本、存贷比、资本充足率等指标,构建了一个包括银行监管指标的综合分析框架,经验分析结果显示贷款利率对于银行信贷投放的影响并不明显,而存款准备金率、存贷比约束指标等对银行信贷投放的影响较为明显,整体来看数量型工具的效果要好于价格型工具；银行自身的资产负债表特征会通过间接渠道对银行信贷投放产生影响,这也为后续的思考与改进部分提供了现实基础。关于银行信贷与产出的关联性分析,本文主要基于信贷对产出增长的影响分析,以及从周期视角讨论信贷周期与产出周期的关系。本文在Deidda(2006)模型的基础上,综合考虑我国当前的投资驱动型的经济增长模式,构建了一个银行信贷支持与产出增长的理论分析框架。理论研究表明,在特定的经济金融结构下,对于金融中介所提供的信贷规模而言,存在一个最优的信贷规模水平与最高的经济增速相对应。而通过非参数、半参数以及动态GMM方法对中国数据的经验分析也支持上述结论：在我国当前特定的经济金融结构背景下,确实存在最优的信贷规模,信贷规模(长期银行贷款/GDP)的最优区间大约在80%-90%,该结论在考虑银行金融结构的情况下也很稳健。当信贷规模低于该区间,信贷对于产出增长的促进作用明显；而当信贷规模超过该区间,信贷对于产出增长的二次项边际负效应开始凸显。本部分也是从信贷视角来考察我国投资驱动型经济增长模式的可持续性。尔后,本文进一步从周期视角考察了银行信贷与产出之间的关系。从银行信贷余额缺口与产出缺口的直接关系来看,二者的关系是动态的,阶段性是顺周期关系,而阶段性是逆周期关系。然而,一个无法忽视的问题是货币政策在其中发挥的作用,特别是在经济萧条时期货币政策的逆向操作对于信贷与产出关系的影响作用。本部分则基于符号限定的结构向量自回归模型,有效的控制住货币政策的影响,并将信贷供给与信贷需求因素分离开来。从信贷周期、产出周期和货币政策调节的互动机制来看,在控制住其他因素、仅考虑外生冲击的情况下,负向的信贷缺口冲击对产出缺口的影响是负向的,负向的产出缺口冲击对信贷缺口冲击是负向的,信贷缺口与产出缺口关系稳定。基于前述分析,最后对我国信贷管理机制进行分析,对相关影响因素的发展进行判断,并提出相关建议。
[Abstract]:The global financial crisis in the process of the rapid expansion of the credit scale is considered to be one of the important factors leading to the instability of the financial system, taking credit as the representative of the financial variables get widespread attention in academic and policy research. This research is mainly reflected in two aspects, a kind of credit in the capital formation, improve efficiency at the same time, will also bring huge potential risks to the economy, excessive credit includes the prediction of financial instability and a lot of valuable information; a study emphasizes the importance of credit from the financial cycle perspective, the financial cycle is different from the economic cycle, changes with its own characteristics, the financial cycle is not affiliated with the economic cycle. These two studies show that is a very dangerous thing to ignore the importance of credit and other financial variables, and effective management of credit is very important With the urgent time. It also happens to be the financial reform in our country in the crucial period of the outbreak of the financial crisis, accelerate the pace of interest rate market, after the lower lending rate liberalization, the deposit interest rate cap is expected to open in one or two years. It is in the background of the global financial crisis, combined with the characteristics of economic transition China. To discuss the important role of China's Bank credit on output and its regulation mechanism in this system.
This paper first investigates the factors of typical features of credit risk and the impact of China's commercial bank credit. International comparison shows, non financial enterprises in China after the crisis of credit growth is too fast, and the household sector's credit scale maintained at a low level; from the total perspective, MS-AR analysis shows that the credit /GDP usually there is a slow steady growth path, but with a smaller probability of conversion for the high growth rate. In the analysis of commercial bank credit factors, this paper based on the CC-LM model, the net capital, loan ratio, capital adequacy ratio and other indicators, construct a comprehensive analysis framework including banking supervision index, empirical analysis shows the loan interest rate for bank credit is not obvious, while the deposit reserve ratio, loan deposit ratio constraint index on the effect of bank credit is obvious. Obviously, the effect of quantitative tools is better than price tools. The balance sheet characteristics of banks will have an impact on bank credit delivery through indirect channels, which also provides a realistic basis for subsequent thinking and improvement.
Correlation analysis on bank credit and output, this paper is mainly based on the analysis of the credit impact on output growth, and discuss the relationship between the credit cycle and output from the cycle cycle perspective. Based on the Deidda (2006) model on the basis of comprehensive consideration of the economic growth mode of China's current investment driven growth, build a bank credit support and output in the framework of theoretical analysis. Theoretical research shows that in the specific economic and financial structure, financial intermediary to provide credit scale, there is an optimal level of credit scale and economic growth should be the highest relative. Through non parametric, semi parametric and dynamic GMM method of data China experience the analysis also supports the conclusion that the specific economic and financial structure background, the existence of the optimal credit scale, the scale of credit (long-term bank loans / GDP) optimal Range of about 80%-90%, the conclusion in consideration of the bank financial structure under the condition of very robust. When the size of credit is lower than the interval, the credit for output growth promoting effect is obvious; and when the credit scale exceeds the credit for the two time interval, a marginal negative effect of output growth has begun. This part is from the perspective of credit on the sustainability of China s investment driven economic growth mode.
Then, this paper further from the perspective of cycle relationship between bank credit and output. From the direct relationship between bank credit balance gap and output gap, the relationship between the two is dynamic, the stage is a cyclical relationship, and the stage is counter cyclical. However, a problem can not be ignored is that monetary policy the role, especially for the relationship between credit and output function in the reverse operation period of economic recession monetary policy. This part is defined based on symbol structure vector autoregressive model, effectively control the effects of monetary policy, and the factors of credit supply and credit demand. Apart from the credit cycle, interaction the mechanism of production cycle and the adjustment of monetary policy, in the control of other factors, only considering the exogenous shocks under the condition of negative credit gap impact on the output gap is negative The impact of the negative impact of the output gap on the credit gap is negative, and the relationship between the credit gap and the output gap is stable.
Based on the analysis of the previous analysis, the credit management mechanism in China is analyzed, the development of the related factors is judged, and the relevant suggestions are put forward.

【学位授予单位】：南开大学
【学位级别】：博士
【学位授予年份】：2014
【分类号】：F832.4;F124

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