我国商业银行信贷顺周期性研究

发布时间：2018-02-27 10:32

本文关键词： 商业银行信贷顺周期性货币政策调控实证研究　出处：《上海社会科学院》2014年硕士论文　论文类型：学位论文

【摘要】：2007年美国次贷危机爆发的最后演变成了全球性的经济危机,对各国的金融体系、金融机构以及实体经济造成了巨大的冲击。商业银行的顺周期性是次贷危机形成的重要原因之一,商业银行主体在危机中顺周期经营的特征表现和行为调整引发了学术界和监管机构的讨论,并促使重新审视金融体系特别是银行信贷顺周期性的问题。商业银行作为市场主体的经营行为和信贷投放往往具有顺周期的特征,表现为信贷投放与经济周期之间明显的相关性,在推动经济周期形成的同时,还加剧了经济的波动。我国目前实体经济还严重依赖银行信贷融资,银行信贷的顺周期行为对我国的影响将更大。同时,商业银行信贷仍然是我国货币政策传导的主要渠道,商业银行经营的市场化和货币政策的信贷调控之间关系在我国显得越来越重要。商业银行的顺周期是如何形成的?我国商业银行业是否存在顺周期的形成条件和特征?如果存在,是否会对货币政策调控效果和宏观经济的稳定产生不利影响?本文通过定性分析和定量实证分析的结合,对上述问题进行了讨论和研究。第一,从梳理国内外学者的文献和理论研究入手,总结了商业银行信贷顺周期性的行为表现和形成机制。在文献研究基础上,从商业银行自身行为因素以及资本监管等制度层面因素,探究我国商业银行信贷顺周期性的形成条件是否具备。第二,为验证我国银行业是否存在顺周期性,选取了1998年到2013年间我国人民币信贷余额和国内生产总值的季度数据,利用向量误差修正模型的计量方法进行了实证检验,结果表明我国银行信贷投放具有顺经济周期性。第三,在实证结果基础上,进一步研究信贷顺周期性,特别是资本充足率监管要求对货币政策调控的影响；并结合我国1998-2013年货币政策调控和银行信贷投放的实践,从构建逆周期资本监管工具降低顺周期效应和改善货币政策调控效果角度提出应对政策和建议。通过研究本文主要得出以下结论： (1)我国银行业信贷投放具有顺经济周期性。在政府对商业银行的信贷规模控制从指令性要求转变为了指导性要求之后,银行信贷投放行为的自主性和市场化的程度进一步的加强,我国银行业信贷投放具有明显的顺经济周期性。 (2)对于逆周期的货币政策调控,银行信贷的顺周期性对货币政策的效果有一定的削弱作用。银行信贷作为我国货币政策传导的主导渠道,银行内生行为因素以及监管部门对于银行的外生监管所产生的顺周期性都将影响货币政策传导和调控的效果。 (3)银行信贷顺周期性对扩张性货币政策和紧缩性货币政策各自调控效果的影响程度不同,相对于紧缩性货币政策,扩张性货币政策调控受到信贷顺周期性的影响程度更大。 (4)银行信贷的顺周期性作为经济和金融运行的内在特征,很难完全消除其对经济周期波动的影响,我们应该采用积极和主动的措施来应对银行信贷顺周期的问题。一方面,在宏观审慎政策框架下建立逆周期信贷调控机制,利用逆周期的政策工具缓解银行信贷顺周期性问题；另一方面,将银行信贷的顺周期性及其负面效应考虑进币政策的制定和实施,同时加强货币政策调控与银行监管的协调,建立中央银行与银行监管部门间及时有效的的信息交流和协调机制。本文的创新主要表现在：(1)在研究视角上,此前大多数研究集中在讨论商业银行信贷对经济波动的影响,或者局限于商业银行信贷投放的顺周期性行为。本文从另一个视角,将微观金融机构的内生行为和风险监管与宏观货币政策调控联系起来,系统探讨了银行信贷的顺周期性及其对货币政策调控的影响；(2)结合国内外学者对银行信贷顺周期已有的相关研究,对银行信贷顺周期的特征表现、形成的内因外因进行了较为详细的分类整理。
[Abstract]:Last 2007 the U.S. subprime mortgage crisis evolved into a global economic crisis, the financial system, financial institutions and the real economy caused a huge impact. Procyclicality is one of the important reasons for the formation of sub loan crisis, the main commercial banks triggered a discussion of academia and regulators in the adjustment of performance and characteristics in the business cycle behavior of the crisis, and to re-examine the financial system especially the bank credit procyclicality problem. Commercial banks as the main body of the market management behavior and credit are often shun cycle performance characteristics, a significant correlation between credit and economic cycle, in promoting economic cycle formation at the same time, also intensified the fluctuations of the economy. China's current real economy is heavily dependent on bank credit financing, cyclical behavior of bank credit will impact on China At the same time, commercial banks' credit is still the main channel for China's monetary policy transmission. The relationship between commercially operated banks' marketization and credit regulation of monetary policy is becoming more and more important in China.
Commercial Bank procyclicality is how it formed? China's commercial banking industry are procyclical formation conditions and characteristics? If there is, it will have an adverse impact on the effect of monetary policy regulation and macroeconomic stability? In this paper through the qualitative analysis and quantitative empirical analysis, the above problems are discussed and studied.
First, starting from the literature and theoretical research review of scholars at home and abroad, summarizes the behavior of commercial bank credit procyclicality and formation mechanism. On the basis of literature, from the commercial banks behavior factors and capital regulation and system level factors, the research of our commercial bank credit conditions have formed along the periodic.
Second, China's banking industry in order to verify the existence of procylicality, selected from 1998 to 2013, China's credit balance of RMB and quarterly GDP data, measurement method using vector error correction model. Empirical results show that bank credit in China has put along the economic cycle.
Third, based on the empirical results, further research on credit procyclicality, especially regulatory capital adequacy requirements impact on monetary policy; and combined with the practice of the 1998-2013 years of monetary policy and bank credit in China launch, from the construction of counter cyclical capital regulation tool to reduce procyclicality and improve the effect of monetary policy regulation is put forward policy responses and suggestions.
Through the study, the main conclusions are drawn as follows:
(1) banking credit in China has put along the economic cycle. In the transition from the mandatory requirements for guidance requires commercial bank credit scale control, autonomy and marketization of bank credit behavior of the degree of further strengthening, China's banking credit has a significant Pro cyclical.
(2) for counter cyclical monetary policy, bank credit procyclicality of the effect of monetary policy has weakened. The bank credit as the main channel of China's monetary policy transmission, bank behavior factor and supervision department for the supervision of banks caused by exogenous procyclicality will affect monetary policy the conduction and the effect of regulation.
(3) the impact of credit periodicity on expansionary monetary policy and tight monetary policy is different. Compared with tight monetary policy, expansionary monetary policy regulation is more influenced by credit Pro cyclicai.
(4) the pro cyclicality of bank credit as the inherent characteristics of economic and financial operation, it is difficult to completely eliminate the influence of fluctuations in the economic cycle, we should adopt a positive and proactive measures to deal with the bank credit procyclicality problem. On the one hand, the establishment of a counter cyclical credit regulation mechanism in the macro Prudential policy framework, the use of counter cyclical policy tools to ease the credit procyclicality problem; on the other hand, bank credit procyclicality and the negative effects of the formulation and implementation of monetary policy into consideration, while strengthening the coordination of monetary policy and banking supervision, timely and effective information exchange and coordination mechanism for the establishment of the central bank and banking supervision department.
The innovation of this thesis lies in: (1) in the research perspective, most previous research focuses on Commercial Bank Credit Influence on economic fluctuation, limitations or procyclical behavior in commercial bank credit. In this paper, from another perspective, the micro financial institutions endogenous behavior and risk supervision and macro currency policy control link system of the Pro cyclicality of bank credit and its impact on monetary policy; (2) with the relevant research of domestic and foreign scholars on bank credit procyclicality has the features of bank credit cycle, the formation of internal and external causes are classified in detail.

【学位授予单位】：上海社会科学院
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.33;F832.4

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