我国银行微观特征对货币政策信贷反应的影响

发布时间：2018-07-05 19:21

本文选题：银行特征 + 货币政策　；参考：《华中科技大学》2013年硕士论文

【摘要】：目前，我国进行宏观经济调控的重要途径是调节银行信贷规模，而银行信贷渠道正是一种典型的货币政策信用传导机制。银行的信贷反应指商业银行在面对货币政策变化的冲击时，所作出的信贷增发或收紧等行为。以往在研究货币政策信贷传导时，，大多集中于分析货币政策冲击对全社会及整个银行业信贷水平的影响，这当中隐含了各家银行具有同质性的假设。然而我国银行业结构具有明显的两极分化特征，不同规模、不同盈利能力和资产状况的银行对货币政策作出的反应不尽相同，这需要从微观层面上按照银行自身特征进行区分，以研究不同银行对货币政策信贷传导机制的影响。本文采用非线性回归中的门限面板模型，搜集我国目前16家上市银行2005—2012年间发放贷款情况和自身特征的数据，来分析我国银行在面对货币政策冲击时，其信贷反应是否受到银行自身微观特征的影响，从而使信贷传导效应具有非线性。本文以M2增速作为货币政策代理变量，分别使用反映银行规模特征的资产总额、代表银行盈利能力的利润增长率，和反映银行资产安全性与资本水平特征的不良贷款率和资本充足率作为门限变量进行回归。实证研究发现，银行的规模、盈利能力和不良贷款率使货币政策传导具有明显的门限效应，资本充足率的门限效应不明显。其中，规模特征和盈利能力的门限值恰好将16家银行区分为工商、建设、农业、中国四大银行和其他中小商业银行两组，两个体制内银行的信贷行为对货币政策冲击的反应程度不同。在本文所采用的样本期内，规模更大、盈利能力更强、不良贷款率更低的银行对这几年内央行频繁的货币调控措施反应更加灵敏。本文从我国特殊的银企关系、货币政策的风险承担渠道和特殊的样本期等角度尝试对实证结果作出解释，并提出相关的政策建议。
[Abstract]:At present, the important way of macro-economic regulation in China is to regulate the scale of bank credit, and the bank credit channel is a typical credit transmission mechanism of monetary policy. The credit response of banks refers to the credit issuance or tightening of commercial banks in the face of the impact of monetary policy changes. In the past, the study of monetary policy credit transmission mostly focused on the analysis of the impact of monetary policy shocks on the whole society and the whole banking credit level, which implied the assumption that each bank has homogeneity. However, the banking structure of our country has the obvious polarization characteristic, the different scale, the different profit ability and the asset condition bank makes the different response to the monetary policy, which needs to distinguish from the microscopic level according to the bank own characteristic. In order to study the impact of different banks on the monetary policy credit transmission mechanism. In this paper, the threshold panel model of nonlinear regression is used to collect the data of the loans issued by 16 listed banks in China from 2005 to 2012 and their own characteristics to analyze the impact of monetary policy on the banks in our country. Whether the credit response is influenced by the microcosmic characteristics of the bank makes the credit conduction effect nonlinear. In this paper, M2 growth rate is taken as the monetary policy agent variable, and the total assets reflecting the characteristics of the bank's size are used to represent the profit growth rate of the bank's profitability. And the non-performing loan ratio and capital adequacy ratio, which reflect the characteristics of bank asset security and capital level, are used as threshold variables for regression. The empirical study shows that the size of banks, profitability and non-performing loan ratio make the transmission of monetary policy have obvious threshold effect, but the threshold effect of capital adequacy ratio is not obvious. Among them, the threshold values for scale characteristics and profitability exactly divide 16 banks into two groups: industry and commerce, construction, agriculture, China's four largest banks and other small and medium-sized commercial banks. The credit behavior of banks in the two systems is different in response to the impact of monetary policy. In the sample period used in this paper, the scale is larger, the profitability is stronger, and the banks with lower non-performing loan ratio are more sensitive to the central bank's frequent monetary control measures in the past few years. This paper tries to explain the empirical results from the perspective of the special relationship between banks and enterprises, the risk-bearing channels of monetary policy and the special sample period, and puts forward some relevant policy recommendations.
【学位授予单位】：华中科技大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F822.0;F832.4

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