货币政策冲击对我国商业银行信贷资产的影响研究

发布时间：2018-01-19 15:15

本文关键词： 货币政策冲击商业银行信贷资产总量与期限结构结构向量自回归模型随机波动时变参数自回归模型　出处：《湖南大学》2016年博士论文　论文类型：学位论文

【摘要】：2009年后,全球大部分国家一直笼罩在次贷金融危机带来的阴影下,世界经济似乎也因此而一蹶不振。为了扭转经济下行局面,各国央行纷纷采取如下调利率、提供常备借贷便利等一系列宽松的货币政策行动,其中隐含的货币政策冲击对全球经济的复苏起到了一定的积极作用。与全球发展趋势相同,“新常态”时期,我国经济下行压力不容小觑。为了引导货币信贷和社会融资规模平稳适度增长,促进“新常态”下经济健康平稳运行,中国人民银行不断进行宽松的货币政策调整。可见,货币政策在宏观经济调控中仍然占据重要地位,货币政策冲击的宏观经济影响作用显著。因此,相对于包括我国在内的各国央行来说,是否真的通过货币政策冲击达到了调整信贷规模与结构的预期效果、效果怎样,需要更准确、更细致的深入研究。本文通过搭建“理论架构→现状剖析→实证分析→策略选择”的逻辑框架,研究货币政策冲击对我国商业银行信贷资产的影响,具有“完善货币政策”以及“强化商业银行信贷资产管理”的双重作用。具体思路为:首先,在界定货币政策冲击内涵并介绍相关理论的前提下,从渠道和路径两个方面着手,深入剖析货币政策冲击影响我国商业银行信贷资产的内在机理;其次,结合经济背景,对我国货币政策操作框架、体现我国货币政策冲击变动的我国货币政策工具的变动情况、我国商业银行信贷资产变动情况进行现实考察;再次,结合计量经济学、数量经济学等学科的最新发展,从识别指标、识别策略以及识别模型三个层次,详细研究货币政策冲击的识别问题;最后,在对我国货币政策冲击识别的基础上,研究其对我国商业银行信贷资产信贷资产总量及期限结构的影响,并最终结合理论与实证研究成果,从货币当局角度出发,为完善货币政策的制定、传导与实施提供策略选择。理论准备方面:首先,将货币政策冲击定义为货币政策变动中,对宏观经济状况响应之外的部分政策变动。冲击可能来源于货币当局政策偏好的外生变动、货币当局的策略性考虑以及技术因素等方面。货币政策与货币政策冲击是包含与被包含的关系,货币政策包含货币政策冲击,货币政策冲击不能独立于货币政策而存在。本文也是从货币政策出发,来研究货币政策冲击的。其次,在论证货币政策是外生且短期有效的同时,从商业银行信贷资产的调整配置行为入手,分别分析资产组合理论、不完全市场理论、信息不对称理论、有限理性理论。最后,从渠道和路径两个方面,对我国货币政策冲击影响商业银行信贷资产的机理进行分析。现实考察方面:首先,自中国人民银行正式开始行使中央银行职能以来,我国的货币政策发展主要经历了以直接信贷规模调控为目标的阶段、以存款准备金为主要工具的阶段、向资产负债表管理倾斜的阶段三个主要阶段。其次,货币政策工具中,货币供应量的总体规模呈现出稳步快速上增长的趋势、增长速度经历了一个从平稳到快速上升又快速下降的过程。金融机构不同期限存贷款基准利率以及银行间市场利率呈现出同步变化的趋势,均经历了稳步缓慢上升、快速上升、快速下降最后相对平稳的变动过程。最后,我国商业银行信贷资产总量稳步增长,期限结构长期化,且其增长率的变动与货币政策工具增长率的变动存在同步性特征。实证分析方面,通过结构向量自回归与随机波动时变参数向量自回归模型的结合使用,发现:第一,我国货币政策冲击对我国商业银行信贷资产总量以及短期贷款、长期贷款的影响均存在结构迁移效应;第二,我国货币政策的短期调整效果较好,而缺乏长期的持续性影响;第三,我国数量型货币政策冲击对商业银行信贷总量的调整效果强于价格型货币政策冲击,特别是对中小型商业银行的调整效果在持续时间和强度上,都明显强于大型商业银行;第四:数量型货币政策冲击对长期贷款的影响程度大、持续时间长,价格型货币货币政策冲击对短期贷款的影响程度大、持续时间长;第五,不同规模的商业银行之间,信贷资产总量也会产生相互促进作用,且大型商业银行对中小型商业银行信贷的促进作用程度较强;第六,我国数量型货币政策冲击还不具备水平效应,也即需要通过政策中间变量,间接调节和刺激产出。最后,在规范分析与实证分析的基础上,基于我国商业银行信贷资产对货币政策冲击的响应模式,从“完善货币政策”的角度出发,对于货币当局,从差异化货币政策调控机制、疏通货币政策传导渠道、改进货币政策中介目标、注重与商业银行监管政策的协调配合四个方面提出对策建议。本文研究成果兼具理论性与实用性,在理论上贡献是较为明确的从文字上界定了货币政策冲击,并对其如何识别进行了系统全面的论述;在实践上的贡献是创新性地从货币政策冲击角度,分析货币政策对商业银行信贷资产的调控效果,丰富了货币政策有效性的相关研究成果,为货币当局更好地制定执行货币政策提供策略支持。
[Abstract]:After 2009, most of the countries in the world has been shrouded in the shadow of the subprime crisis, the world economy seems to have this in order to reverse the economic downturn situation. Unable to get up after a fall, such as central banks have cut interest rates, to provide convenient standing lending and a series of loose monetary policy actions, which implied the impact of monetary policy has certain positive role for the recovery of the global economy. The global development trend and the same, the "new normal" period, China's downtown pressure on the economy should not be underestimated. In order to guide monetary credit and social financing scale steady moderate growth, to promote the smooth operation of the new normal under the economic health of the people's Bank of Chinese continue to adjust monetary policy easing. Therefore, monetary policy still occupies an important position in macroeconomic regulation, the macroeconomic impact of monetary policy shocks significantly. Therefore, the package Including China, the central bank, whether through the impact of monetary policy to achieve the desired effect, adjust the scale and structure of credit effect how, the need for more accurate, more detailed in-depth study. In this paper, through the platform of "theoretical framework, analysis of the status quo, empirical analysis, logical framework, strategy selection, effects of monetary policy the impact of China's commercial bank credit assets, with" perfect monetary policy "and" the dual role of strengthening management of credit assets of commercial banks. The idea is as follows: first, the premise in the definition of monetary policy shocks in the culvert and introduces related theory, from two aspects of channel and path, in-depth analysis of the impact of monetary policy the intrinsic mechanism of credit assets of commercial banks in China; secondly, combined with the economic background of China's monetary policy framework, reflecting China's monetary policy impact change I The changes of monetary policy tools, makes an investigation in the credit assets of commercial banks in China; thirdly, combined with the latest development of econometrics and quantitative economics, from the identification index, the three level recognition strategy and recognition model, identify problems with research of monetary policy shocks; finally, based on the I the impact of monetary policy on the identification and study its impact on China's commercial bank credit assets total assets and credit term structure, and finally combined with the results of theoretical and empirical research, starting from the perspective of monetary authorities, for establishing monetary policy conduction, and provide theoretical preparation. The strategy choice: first, monetary policy the impact is defined as a change in monetary policy in response to changes in policy, part of the macroeconomic situation outside. The impact may be derived from exogenous changes in monetary policy preferences, monetary The authorities consider the strategic and technical factors. Monetary policy and monetary policy shocks are containing relation, monetary policy includes monetary policy shocks, monetary policy shocks can not be independent of monetary policy exists. The paper is also starting from the monetary policy, to study the impact of monetary policy. Secondly, in the demonstration of monetary policy is exogenous and short-term effect at the same time, starting from the adjustment of allocation behavior of commercial bank credit assets, respectively, analysis of portfolio theory, incomplete market theory, asymmetric information theory, the theory of bounded rationality. Finally, from the two aspects of channel and path, the mechanism of the credit assets of commercial banks of China's monetary policy shocks are analyzed. The reality: first, since the people's Bank of Chinese started to exercise the functions of the central bank monetary policy, the development of our country mainly experienced by direct credit The scale of regulation as the goal of the stage, with the deposit reserve as the main tool, to balance sheet management tilt stage three main stages. Secondly, the monetary policy tools, the overall size of the money supply showing a steady rapid growth trend, the growth rate experienced a rapid rise to a rapid and stable from the process of decline. Financial institutions of different term loans to keep the benchmark interest rate and the inter-bank market interest rate trend shows synchronous changes, have experienced a steady slow rise, rapid rise, rapid decline finally relatively stable change process. Finally, the steady growth of credit assets of commercial banks in our country, the term structure of the long-term, changes and currency the policy tools and the growth rate of the growth rate changes in synchronism. Through empirical analysis, structural vector autoregression and random fluctuation of time-varying parameter vector autoregressive According to the model, found that: first, China's monetary policy impact on the total amount of China's commercial bank credit assets and short-term loans, the structure transfer effect has influence on long-term loan; second, good short-term adjustment effect of China's monetary policy, and the lack of sustained long-term effects; third, the number of monetary policy I the impact on the adjustment effect of total commercial bank credit in the price based monetary policy shocks, especially the adjustment effect of small and medium sized commercial banks in duration and intensity, is significantly stronger than the large commercial banks; Fourth: quantitative monetary policy impact on long-term loan levels, long duration, price the impact of monetary policy on short-term loans to the extent, lasted for a long time; fifth, between different scale commercial banks, the total amount of credit assets will have a mutual promotion, and large Commercial banks for small and medium-sized commercial banks to promote the role of credit degree is strong; sixth, the number of China's monetary policy shocks do not have the level effect, namely through policy variables, indirect regulation and stimulate output. Finally, on the basis of normative analysis and Empirical Analysis on the impact response model of China's commercial bank credit the assets of monetary policy based on starting from the "perfect monetary policy" point of view, for the monetary authorities, from the difference of monetary policy mechanism, clear the monetary policy transmission channels, improve the intermediate target of monetary policy, coordination and supervision of commercial banks pay attention to the coordination of policy suggestions in four aspects. The research results of this paper has theoretical and practical contribution in theory is clear from the text defines the impact of monetary policy, and the recognition of how to make a systematic and comprehensive discussion in practice; The contribution is to analyze the effect of monetary policy on credit assets of commercial banks from the perspective of monetary policy shocks, enrich the related research results of monetary policy effectiveness, and provide policy support for monetary authorities to better formulate monetary policy.

【学位授予单位】：湖南大学
【学位级别】：博士
【学位授予年份】：2016
【分类号】：F822.0;F832.4

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