基于产能过剩的商业银行贷款合成谬误问题研究
发布时间：2019-04-02 01:05
【摘要】：当前，产能过剩给银行带来了巨大风险，在2014年的全国银行业监管工作会议上银监会就提出需重点防范产能过剩贷款风险。相关研究指出，企业在投资上的“潮涌现象”是导致产能过剩的主要原因，“潮涌现象”本质上是由信息不完全所导致的过度投资，是一种投资上的合成谬误。金融体系中也存在合成谬误问题，对单家银行来说是审慎合理的某种行为，如果成为各银行集体的一致行动，则可能破坏整个金融体系的稳定。因此，研究在产能过剩的形成过程中，银行是否也存在贷款合成谬误，对防范产能过剩及其所带来的贷款风险具有重要意义。 本文首先通过历史与逻辑相统一的方法对银行贷款合成谬误的概念进行了界定，指出信息不完全下的银行过度贷款就是贷款合成谬误问题。然后，运用DEA-Tobit两步法分析了产能过剩和贷款的关系，首先用DEA法计算了我国制造业28个行业的产能利用率，计算结果显示黑色金属冶炼及延压业、非金属矿物制品业、化学原料及化学制品制造业、造纸制品业和化学纤维制造业等行业存在明显的产能过剩现象。对产能利用率与行业贷款的Tobit回归分析显示，产能利用率与贷款存在倒U型关系，即在产能过剩的形成过程中存在贷款过度现象。进一步的分析指出，产能过剩形成过程中的贷款过度就是贷款合成谬误问题。 为了深入探究贷款合成谬误问题的成因，本文运用序贯博弈模型对银行的贷款行为进行分析，分析结果显示信息不完全是贷款合成谬误问题发生的重要原因，，实证分析也支持了这一结论。 贷款合成谬误问题本质上是由信息不完全导致的市场不完全。因此，完善企业和银行的信息披露机制，发挥政府的总量信息优势和引导市场预期的能力，对行业贷款提出第二支柱的资本要求，开展基于行业特征的宏观压力测试，加强金融监管机构与宏观调控部门间的协调等措施有助于缓解银行贷款合成谬误问题以及由此导致的产能过剩和贷款风险。
[Abstract]:At present, overcapacity poses a huge risk to banks. At the 2014 national banking regulatory work meeting, the CBRC proposed the need to focus on preventing the risk of overcapacity loans. The related research points out that the "surge phenomenon" in investment is the main cause of overcapacity, and the "surge phenomenon" is essentially an overinvestment caused by incomplete information, which is a kind of synthetic fallacy in investment. There is also a compositional fallacy in the financial system, which is a prudent and reasonable act for a single bank, and could destabilize the entire financial system if it becomes the collective action of the banks. Therefore, it is of great significance to study whether there is a loan composition fallacy in the process of the formation of overcapacity, which is of great significance to prevent overcapacity and the loan risk brought by it. This paper first defines the concept of bank loan synthesis fallacy by means of the unification of history and logic, and points out that bank over-lending under incomplete information is the problem of loan composition fallacy. Then, the relationship between overcapacity and loan is analyzed by using DEA-Tobit two-step method. Firstly, the capacity utilization ratio of 28 industries in China's manufacturing industry is calculated by DEA method. The results show that ferrous metal smelting and press industry, non-metallic mineral products industry, and so on. There are obvious overcapacity in chemical raw material and chemical products manufacturing, papermaking and chemical fiber manufacturing. The Tobit regression analysis of capacity utilization ratio and industry loan shows that there is an inverted U-shaped relationship between capacity utilization ratio and loan, that is, there is an over-loan phenomenon in the forming process of overcapacity. Further analysis points out that the excessive loan in the process of overcapacity formation is the problem of loan composition fallacy. In order to probe into the causes of loan composition fallacy, this paper analyzes the loan behavior of banks by sequential game model, and the results show that the incomplete information is an important reason for the occurrence of loan composition fallacy. The empirical analysis also supports this conclusion. The problem of loan composition fallacy is essentially an incomplete market caused by incomplete information. Therefore, we should improve the information disclosure mechanism of enterprises and banks, give full play to the advantages of the government's aggregate information and the ability to guide market expectations, put forward the capital requirements of the second pillar of industry loans, and carry out macro-stress tests based on industry characteristics. Measures such as strengthening coordination between financial regulators and macro-regulatory departments will help to alleviate the fallacy of bank loan composition and the resulting overcapacity and loan risks.
【学位授予单位】：湖南大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F224;F832.4
本文编号：2452079
[Abstract]:At present, overcapacity poses a huge risk to banks. At the 2014 national banking regulatory work meeting, the CBRC proposed the need to focus on preventing the risk of overcapacity loans. The related research points out that the "surge phenomenon" in investment is the main cause of overcapacity, and the "surge phenomenon" is essentially an overinvestment caused by incomplete information, which is a kind of synthetic fallacy in investment. There is also a compositional fallacy in the financial system, which is a prudent and reasonable act for a single bank, and could destabilize the entire financial system if it becomes the collective action of the banks. Therefore, it is of great significance to study whether there is a loan composition fallacy in the process of the formation of overcapacity, which is of great significance to prevent overcapacity and the loan risk brought by it. This paper first defines the concept of bank loan synthesis fallacy by means of the unification of history and logic, and points out that bank over-lending under incomplete information is the problem of loan composition fallacy. Then, the relationship between overcapacity and loan is analyzed by using DEA-Tobit two-step method. Firstly, the capacity utilization ratio of 28 industries in China's manufacturing industry is calculated by DEA method. The results show that ferrous metal smelting and press industry, non-metallic mineral products industry, and so on. There are obvious overcapacity in chemical raw material and chemical products manufacturing, papermaking and chemical fiber manufacturing. The Tobit regression analysis of capacity utilization ratio and industry loan shows that there is an inverted U-shaped relationship between capacity utilization ratio and loan, that is, there is an over-loan phenomenon in the forming process of overcapacity. Further analysis points out that the excessive loan in the process of overcapacity formation is the problem of loan composition fallacy. In order to probe into the causes of loan composition fallacy, this paper analyzes the loan behavior of banks by sequential game model, and the results show that the incomplete information is an important reason for the occurrence of loan composition fallacy. The empirical analysis also supports this conclusion. The problem of loan composition fallacy is essentially an incomplete market caused by incomplete information. Therefore, we should improve the information disclosure mechanism of enterprises and banks, give full play to the advantages of the government's aggregate information and the ability to guide market expectations, put forward the capital requirements of the second pillar of industry loans, and carry out macro-stress tests based on industry characteristics. Measures such as strengthening coordination between financial regulators and macro-regulatory departments will help to alleviate the fallacy of bank loan composition and the resulting overcapacity and loan risks.
【学位授予单位】：湖南大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F224;F832.4
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