转型中的中国银行业的银行异质性与银行贷款渠道理论及实证研究

发布时间：2018-05-23 23:25

本文选题：银行业务经营转型 + 银行异质性　；参考：《复旦大学》2014年硕士论文

【摘要】：近年来,银行经营不断转型,银行融资渠道由原来单一的信贷融资渠道演化成多渠道融资模式。随着银行经营模式的转型不断深化,央行货币政策传导渠道的效果会受到一定的影响。在银行转变经营模式背景下,本文创新性地进行了理论和实证分析,得出了更有针对性、更具有现实意义的银行信贷传导渠道研究结论。本文的理论分析部分首次引入博弈的分析框架,研究了商业银行间、中央银行和商业银行间的博弈状态。分析包括：(1)银行业竞争引起经营模式转变的静态博弈模型：博弈的均衡解显示银行趋向于转型发展；(2)中央银行对商业银行的货币政策影响效果的动态博弈模型：银行在转型前后的信贷规模的货币政策反应弹性不同,并且银行决策受到货币政策的影响,银行的最终决策也影响货币政策二轮反应效果。本文实证分析部分采用动态GMM计量方法,实证数据选择了为162家中国银行2002年至2012年面板数据,创新性地进行了六大标准的分组法和交叉项估计法。实证结论：(1)银行转变经营模式弱化了银行贷款渠道有效性。(2)同业业务规模大的银行受到法定存款准备金率和存贷款利率的影响都较小,受公开市场操作的冲击明显；(3)竞争加剧使银行积极转变经营模式,盈利性越强(盈利性指标反映了银行一定的创新性),银行信贷资产的增速对同业拆借利率反应越敏感,对存贷基准利率、法定存款准备金率反应越不敏感。(4)银行利息收入占比越小,其非利息收入占比越大,银行转型程度高,此时银行信贷资产的增速对同业拆借利率反应越敏感。以同业业务为重要内容的中国银行业的转型潜在影响了货币政策传导渠道,监管机构也对这一部分的监管加大关注。未来银行业监管方向：监管重点应以防范金融风险为核心；监管导向应该以“实质重于形式”为原则,要求实际的风险承担者来承担风险；未来的监管手段应更加“市场化”,随着利率市场化的逐步推进、银行间市场资金规模增大,三大货币政策中公开市场操作应该起到越来越重要的作用。
[Abstract]:In recent years, bank management has been undergoing continuous transformation, and the bank financing channel has evolved from a single credit financing channel to a multi-channel financing mode. As the transformation of bank management mode deepens, the effect of monetary policy transmission channel of central bank will be affected to a certain extent. Under the background of bank's changing management mode, this paper has carried on the theory and the demonstration analysis innovatively, has obtained the bank credit transmission channel research conclusion which has the more pertinence, has the realistic significance. In the theoretical analysis part of this paper, the game analysis frame is introduced for the first time, and the game states between commercial banks, central banks and commercial banks are studied. The analysis includes: 1) the static game model of the change of business mode caused by banking competition: the equilibrium solution of the game shows that the bank tends to transform and develop) the dynamic game model of the effect of the central bank on the monetary policy of the commercial bank; The monetary policy response of banks to the scale of credit before and after the transition is different. And the bank decision is influenced by the monetary policy, and the final decision of the bank also affects the effect of the two-round reaction of the monetary policy. In this paper, the dynamic GMM method is used in the empirical analysis, and the panel data of 162 banks of China from 2002 to 2012 are selected, and six standard grouping and cross item estimation methods are innovatively carried out. Empirical conclusion: 1) the banks with large scale of interbank business are less affected by the legal deposit reserve ratio and deposit and loan interest rate. Under the impact of open market operation, it is obvious that competition intensifies the banks actively change their business models, and the more profitable (profitability indicators reflect certain innovative banks, the more sensitive the growth rate of bank credit assets to the interbank offered rate, the more sensitive it is to the interbank lending rate. For the benchmark interest rate of deposit and loan, the more insensitive the legal reserve ratio is, the smaller the proportion of bank interest income is, the larger the proportion of non-interest income is, and the higher the degree of bank transformation is, the more sensitive the growth rate of bank credit assets is to the interbank lending rate. The transformation of China's banking sector with interbank business as an important part has potentially affected the transmission channels of monetary policy, and regulators have also paid more attention to this part of the regulation. The direction of banking supervision in the future: the focus of supervision should be on preventing financial risks; the direction of supervision should be based on the principle of "substance is more important than form", and the actual risk bearers should be required to bear the risks; the future means of supervision should be more "market-oriented". With the development of interest rate marketization and the increase of interbank market capital, the open market operation should play a more and more important role in the three monetary policies.
【学位授予单位】：复旦大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.4

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