资本约束下我国商业银行信贷的亲周期性研究

发布时间：2018-04-01 06:15

本文选题：亲周期　切入点：商业银行信贷　出处：《江西财经大学》2013年硕士论文

【摘要】：2008年全球金融危机使人们重新审视金融系统的亲周期性问题，许多学者认为金融系统的亲周期性是造成此次金融危机的主要原因之一。商业银行是金融体系中最主要的组成部分，因此金融系统的亲周期主要表现为商业银行尤其是商业银行信贷活动的亲周期性，即商业银行的信贷行为会推动经济周期的形成并加剧经济的周期性波动。造成商业银行信贷亲周期的原因有很多，既包括银行信贷行为内生性的原因，也包括监管部门资本监管的约束。根据新巴塞尔协议的规定，银行的资本要求对经济周期具有较高的风险敏感性，因而加剧了商业银行信贷的亲周期效应，放大了宏观经济的波动。金融危机后，各国加强了对系统性金融风险的防范，建立健全逆周期的宏观审慎监管制度框架已经成为国际金融组织和各国关注的重点。2010年出台的《巴塞尔协议Ⅲ》也对银行资本监管提出了更加严格的要求，并规定巴塞尔协议成员国必须在2013年1月1日起开始实施新的资本协议。在此背景下，我国也出台了中国版的《巴塞尔协议Ⅲ》，强化了资本约束机制。同时研究表明我国商业银行信贷行为具有亲周期性特征，随着我国资本监管制度与国际接轨，资本约束的逐步加强，我国银行信贷亲周期性会受到怎样的影响是值得关注的一个问题。本文主要是对资本约束下我国商业银行信贷亲周期性进行了相关研究，主要内容分为四大部分：第一部分是理论分析。首先对商业银行信贷亲周期性的定义进行了阐述。然后从银行自身和外部资本监管两个方面分析了银行信贷亲周期产生的原因，资本约束对银行信贷亲周期的影响主要通过资本要求、巴塞尔新资本协议和贷款损失拨备三个方面进行了分析。第二部分为我国资本约束和信贷亲周期的现状分析。首先回顾了我国资本监管沿革，然后通过数据表和描述性统计对我国资本监管和商业银行信贷亲周期性的现状进行了分析，分析表明我国商业银行信贷存在亲周期性特征，资本约束也助长了银行信贷的亲周期性。第三个部分对资本约束下我国商业银行信贷亲周期性进行了实证分析。资本约束对商业银行信贷亲周期的影响机制是通过两个阶段进行的，首先资本约束对银行信贷产生影响，然后银行信贷作用于宏观经济。因此本文实证研究包括两个部分：首先，基于我国13家商业银行1998-2011年的数据，采用面板模型研究了资本充足率对我国商业银行信贷扩张的影响，实证从整体上、分1998-2003年和2004-2011年两个时期及分国有银行和股份制银行两类银行进行了回归。回归结果表明:资本监管压力对银行信贷增长产生负效应，且随着2004年资本监管改革，资本监管的加强对银行信贷的约束作用越来越大；资本约束对国有银行和股份制银行的信贷行为的影响也存在差异。然后实证分析了我国经济增长对信贷扩张的影响，通过建立向量自回归模型，并在模型的基础上进行协整检验、Granger因果检验、脉冲响应函数等来进行分析。实证结果表明，经济状况与贷款规模呈现正向的长期稳定关系，银行贷款扩张在短期内推动经济增长，，我国商业银行信贷存在亲周期特征。最后一个部分根据结论和我国实际情况，从银行本身和逆周期宏观审慎监管两个角度提出了建议。从商业银行自身来说，要转变商业银行以信贷为主的盈利模式，拓展商业银行资本金补充渠道。同时提出了建立我国逆周期政策和宏观审慎监管框架的建议，包括增强宏观审慎意识、建立逆周期监管政策机制、注重宏观审慎工具和货币政策的配合使用及加强中央银行和监管部门的沟通和协调等，由此来防范系统性风险，维护整个金融系统的稳定。
[Abstract]:In 2008 the global financial crisis make people re-examine the financial system procyclicality problem, many scholars believe that the procyclicality of the financial system is one of the main causes of the financial crisis. The commercial bank is the most important part of the financial system, the financial system procyclicality mainly for the commercial banks especially the credit activities of commercial banks the pro cyclical, namely the credit behavior of commercial banks will promote the formation of the economic cycle and exacerbate the cyclical fluctuations in the economy.
There are many reasons that cause the commercial bank credit procyclicality, both endogenous causes of bank credit behavior, including regulatory capital regulatory constraints. According to the new Basel accord, capital requirements for banks risk is more sensitive to the economic cycle, and exacerbated the procyclicality of commercial bank credit, enlarged the macro economic fluctuations. After the financial crisis, countries to strengthen the prevention of systemic financial risk and the establishment of the system of macro prudential regulatory framework and improve the counter cyclical.2010 has become the focus of international financial organizations and countries concerned issued "Basel accord" is put forward more strict requirements for bank capital regulation, and the provisions of Basel protocol members must begin to implement the new capital accord in January 1, 2013. Under this background, China has also introduced China version of < Basel 3 >, To strengthen the capital constraint mechanism. At the same time the research shows that the credit behavior of commercial banks in China has pro cyclical characteristics, with the development of China's capital regulatory system with international standards, the gradual strengthening of capital constraints, China's Bank Credit procyclicality will be what kind of impact is a problem worthy of attention.
This article is mainly about the relative research on the credit cycle of China's commercial banks under capital constraints. The main contents are divided into four parts.
The first part is the theoretical analysis. Firstly, the definition of procyclicality of commercial bank credit are expounded. Then it analyzes the reasons of bank credit procyclicality resulting from the two aspects of banks and external capital regulation, capital constraints on bank credit procyclicality mainly through capital requirements, analyzes three aspects of the new Basel capital and allowance for loan losses.
The second part is the analysis of the current situation of China's capital constraints and credit procyclicality. Firstly reviews the capital regulation in China history, analyses the current situation and then through the data tables and descriptive statistics of the pro cyclicality of capital regulation in China and the commercial bank credit, analysis shows that China's commercial bank credit has pro cyclical characteristics, capital constraints also contributed to the pro cyclicality of bank credit.
The empirical analysis of China's commercial bank credit to the pro cyclicality of the third parts of the capital constraints. The capital constraint is carried out through two stages on the influence mechanism of commercial bank credit procyclicality, first capital constraints affect the bank credit, and bank credit in the macro economy. Therefore this paper consists of two parts first, the data of 13 commercial banks in China based on 1998-2011 years of research, the impact of capital adequacy ratio on credit expansion of commercial banks in China by empirical panel model, on the whole, 1998-2003 years and 2004-2011 years of the two period and the state-owned banks and joint-stock banks two banks by regression regression results. Show that the pressure of capital regulation has a negative effect on bank credit growth, and with the 2004 capital regulatory reform, strengthen capital regulation on bank credit constraints more and more Large; influence of capital constraint on the credit behavior of state-owned banks and joint-stock banks are also differences. Then an empirical analysis of the impact of China's economic growth on credit expansion, through the establishment of vector autoregressive model and cointegration test on the basis of the model, Granger causality test, impulse response function analysis. The empirical results show that the economic situation and the loan scale showing a positive relationship between long-term stability, the expansion of bank loans to promote economic growth in the short term, China's commercial bank credit has pro cyclical characteristics.
Finally according to the conclusions and the actual situation of our country, put forward the suggestions from the two aspects of the bank itself and countercyclical macro prudential supervision. The commercial banks should change to commercial bank credit as the main profit model, expand the gold channels to supplement the capital of commercial banks. At the same time put forward the establishment of China's counter cyclical policies and the framework of macro prudential supervision suggestions, including enhancing macro Prudential consciousness, the establishment of a counter cyclical regulatory policy mechanism, with the focus on macro Prudential tools and the use of monetary policy and strengthen communication and coordination with central banks and regulatory authorities, so as to prevent systemic risk, maintain the stability of the whole financial system.

【学位授予单位】：江西财经大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.4;F224

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