货币政策预期与银行信贷的关系研究

发布时间：2018-06-20 21:08

本文选题：信贷渠道 + 风险承担渠道　；参考：《江西财经大学》2013年硕士论文

【摘要】：货币政策传导机制一直是学术界的研究热点，从央行发布货币政策信息到作用于实体经济需要一条具体的渠道，学术界对它的研究形成了诸多观点。早期的研究建立在IS-LM分析框架之下，货币政策通过利率的调整影响企业投资规模，因此被称为货币政策传导的利率渠道。在这个理论中有一个重要的假设，就是金融市场是完全的，只存在债券和货币两种资产，而银行贷款和债券是完全替代的，企业在受到货币政策冲击时能够通过调整两种资产的持有比率来改变经济行为。随着研究的进展，学者们发现金融市场并不是完全的，企业存在诸多外部融资成本，债券融资渠道并不通畅，且在紧缩性货币政策下商业银行的信贷资金有限，存在信贷配给的现象。因此，货币政策传导的信贷渠道理论应运而生。在这个渠道下，货币政策的变化会影响商业银行的信贷行为，从而影响企业获得资金的规模，最终作用到实体经济。信贷渠道观点的形成背景是20世纪90年代西方各国普遍实施紧缩性的货币政策，同时《巴塞尔协议》的出现加强了对商业银行的资本监管，使得商业银行的信贷投放受到约束。进入21世纪后，随着美国互联网经济泡沫的破灭，美联储开始长期实行宽松的货币政策，市场上出现流动性过剩的局面，此时信贷渠道观点强调的信贷配给现象已不是很明显。宽松的货币政策提高了商业银行的风险承担意愿，也引起了学术界的关注，直到2007-2009年金融危机的爆发，货币政策的银行风险承担渠道观点被正式提出。该观点作为信贷渠道观点的补充，重点讨论货币政策变动对银行风险承担意愿的影响，但其理论分析的框架基础与信贷渠道观点是相同的。本文在货币政策传导的信贷渠道和银行风险承担渠道的理论框架之下，结合我国实际情况，分析货币政策传导下我国商业银行的信贷行为。本文发现长期的流动性过剩造成了商业银行的风险承担意愿增强，另外为控制通货膨胀和市场风险实行的稳健货币政策又约束了商业银行的信贷投放，两者同时对我国商业银行的信贷行为产生影响。前者对商业银行信贷行为的影响是正向的，后者则是负向的，在两者的同时作用下商业银行的信贷行为面临矛盾的抉择。因此，需要在研究中加入新的因素，分析其对商业银行信贷行为的影响，以及在这种情况下商业银行如何在两者之间进行权衡。本文首先对影响商业银行信贷行为的因素进行区分和解释，发现它们分别为宏观经济因素、货币政策因素、金融监管因素和银行自身因素，并且根据理性预期理论提出了商业银行对货币政策的预期因素。这些因素同时在宏观和微观层面对商业银行的信贷行为产生影响，并且因银行自身特征的不同，影响程度也不相同。在参考前人对货币政策传导渠道的实证研究之后，结合以上因素，本文选择了实证分析所需的变量，并建立了实证模型。然后根据变量选取搜集了我国20家商业银行2004-2011年的微观数据，还有相应的宏观经济数据和货币政策数据，并对20家商业银行按照规模和产权进行分类。通过传统的实证模型回归结果，本文发现我国货币政策传导的信贷渠道和银行风险承担渠道是同时存在的，，而且商业银行的自身特征对银行信贷的影响是显著的。资本充足率虽然约束了商业银行信贷扩张的能力，但增强了商业银行稳定经营的信心，银行上市同样会约束商业银行的信贷扩张，但资本充足率高的银行通过上市融资更容易扩大信贷规模。大型的国有商业银行拥有更多样化的融资渠道，货币政策冲击难以影响其信贷行为，其大多是在固定的发展轨道上经营。在引入货币政策预期变量的模型回归中，本文发现商业银行对货币政策的预期是存在的，且有效影响了股份制商业银行的信贷行为，但是对国有大型商业银行信贷行为的影响几乎不存在。根据所得结论，本文提出了五点政策建议：（1）商业银行要通过自身实力的增强提高抵御风险的能力；（2）要加强对国有大型商业银行的监管，促进金融稳定；（3）积极引导银行资金流向中小企业；（4）加强对商业银行的预期引导，使其对可能出现的货币政策变化提前做出业务调整；（5）加强对非银行业金融机构的监管，使货币政策的传导能够真正发挥效力。
[Abstract]:The transmission mechanism of monetary policy has been a hot topic in academic circles, the monetary policy information released from the central bank to apply to the real economy needs a specific channel, the academic researches on it formed many views. Early studies based on the IS-LM analysis framework, monetary policy through the adjustment of interest rates affect the enterprise investment scale, because This is called the interest rate channel of monetary policy transmission. There is an important assumption in the theory, that financial markets are complete, there are only two kinds of bonds and currency assets, and bank loans and bonds are imperfect substitutes, holding ratio of enterprises can through two kinds of assets under monetary policy impact to change the behavior of the economy . with the progress of the study, researchers found that the financial market is not perfect, there are many enterprises in the cost of external financing and bond financing channel is not smooth, and the commercial banks to tighten monetary policy under the credit funds are limited, there is credit rationing phenomenon. Therefore, as monetary policy conduction in the credit channel theory. This A channel, changes in monetary policy will affect the credit behavior of commercial banks, thus affecting the enterprises access to capital scale, and ultimately affects the real economy. The formation of credit channel view is the background of the 1990s western countries generally implement the tight monetary policy, at the same time, Basel agreement > < strengthening of the commercial bank Capital regulation, the commercial bank credit constrained. After entering in twenty-first Century, with the Internet economy bubble burst, the Fed began to implement monetary policy for a long time, the situation of excess liquidity in the market, credit rationing in the credit channel view that is not obvious. The loose monetary policy Policy to increase the risk of commercial banks will undertake, also attracted the attention of the academic circles for 2007-2009 years, until the outbreak of the financial crisis, the bank risk-taking channel of monetary policy point of view. The view was put forward as a supplement to the credit channel view, focuses on the influence of changes in monetary policy will bear the risk of the bank, but the On the basis of analysis of the framework and the credit channel view is the same.
Under the theoretical framework of this article assume the credit channel in the monetary policy transmission channel and bank risk, combined with China's actual situation, analysis of credit behavior of commercial banks in China's monetary policy conduction. This paper found that long-term excess liquidity caused by commercial banks risk taking will increase, in addition to control inflation and market The implementation of prudent monetary policy risk and constraints of the commercial bank credit, both have an impact on the credit behavior of commercial banks in China. The influence of commercial bank credit behavior is positive, the latter is negative, faced with contradictory choice in the credit behavior of commercial banks under the action of both. Therefore, to To add a new factor in the research, analyzes its influence on the credit behavior of commercial banks, and in this case how the commercial banks in the trade-off between the two.
Firstly, differentiate and explain the influence factors of commercial bank credit behavior, found that they are macroeconomic factors, monetary policy, financial regulatory factors and the bank's own factors, and according to the rational expectations theory put forward the factors of commercial banks on monetary policy expected. At the same time these factors in the macro and micro level Have an impact on the credit behavior of commercial banks, and banks due to the different characteristics of the influence degree is not the same. After the empirical basis of the previous research on the monetary policy transmission channel, combined with the above factors, this paper choose the empirical analysis of the variables required, and established the empirical model. Then according to the variables collected in China 20 Micro data of commercial banks for 2004-2011 years, as well as the corresponding macroeconomic data and monetary policy data of 20 commercial banks in accordance with the size and property classification.
Through the empirical model of traditional regression results, we found that China's monetary policy transmission channels of credit and bank risk taking channel exist simultaneously, and the impact of commercial banks on bank credit characteristics is significant. Although the capacity constraints of capital adequacy ratio of commercial bank credit expansion, but enhanced the stability of commercial banks Fixed business confidence, banks will also restrain the banks credit expansion, but the capital adequacy rate of banks through the listing and financing to expand the scale of credit. Large state-owned commercial banks have more diversified financing channels, the impact of monetary policy to affect the credit behavior, which is mostly in the development of rail fixed on by Camp. The introduction of monetary policy is expected to return variable model, this paper found that the expected commercial banks on monetary policy exists, and effectively influence the credit behavior of joint-stock commercial banks, but the impact on the large state-owned commercial bank credit behavior is almost non-existent. According to the conclusion, this paper puts forward five suggestions: (1 ) commercial banks should improve the ability to resist risks through their strength; (2) to strengthen the supervision of large state-owned commercial banks, to promote financial stability; (3) actively guide bank capital flows to small and medium-sized enterprises; (4) strengthening the guidance on commercial banks is expected to make the business adjustment of monetary policy may change the advance ; (5) to strengthen the supervision of non bank financial institutions, so that monetary policy can really play effect.
【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;F822.0

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