商业银行贷款顺周期性研究

发布时间：2018-09-07 18:01

【摘要】：商业银行作为重要的经济主体向来都是各界关注的重点，而频发的金融危机使得商业银行贷款顺周期性成为最新的关注焦点。为了保证商业银行的稳定经营，金融业的良好秩序以及宏观经济的平稳发展，有必要弄清商业银行贷款是否受经济周期的影响、影响程度有多大和如何控制商业银行贷款的顺周期性。本文在先前国内外相关研究的基础上致力于中国商业银行贷款顺周期性存在与否和其影响因素的研究。首先，对商业银行贷款顺周期性进行了理论分析。其次，依据中国经济周期和贷款周期的历年表现和现状对中国的商业银行贷款顺周期性做了定性分析。再次，选择了恰当的样本、计量模型和计量方法对中国商业银行贷款顺周期性进行了实证分析。文章选取了格兰杰因果检验来验证中国商业银行贷款顺周期性的存在，选取多元回归模型来检验宏观经济影响因素对商业银行贷款顺周期性的影响程度，选取动态面板回归模型检验商业银行微观因素对贷款顺周期性的影响程度。最后，根据具体的分析结果，为控制中国商业银行贷款顺周期性提出了具体的建议。研究结果表明中国商业银行存在明显的商业银行贷款顺周期性。在经济的上行区间，由于抵押品价格上升，借款人资信状况变好，商业银行对借款人的前景叫乐观，，因此会主动调整信贷政策，降低信贷标准，增加信贷供给。同时，商业银行为了获得更多收益以及保持自己的竞争地位，促使商业银行增加贷款供给。然而，实践表明，在经济上行期间，商业银行会做出一些错误选择，这些错误选择带来的问题会在经济开始下行时显现。当经济开始下行时，借款人的财务状况恶化，贷款的风险增加，商业银行会缩减其信贷供给来保证其正常经营。同时，对商业银行的资本监管的趋紧会导致商业银行不得不减少贷款来满足监管要求。多元回归模型和动态面板模型的分析结果表明中国商业银行贷款顺周期性的程度受到通货膨胀水平、利率水平、货币供应量、准备金制度和资本金要求的影响。在理论分析、定性分析和实证分析的基础上，本文最后对控制中国商业银行贷款顺周期性提出了具体的建议。
[Abstract]:As an important economic subject, commercial banks have always been the focus of attention from all walks of life, and the frequent financial crisis makes the pro-cyclical loans of commercial banks become the latest focus of attention. In order to ensure the stable operation of the commercial banks, the good order of the financial industry and the steady development of the macro economy, it is necessary to make clear whether the loans of commercial banks are affected by the economic cycle. The degree of influence and how to control the pro-cyclical commercial bank loans. On the basis of previous studies at home and abroad, this paper is devoted to the study of the existence of pro-cyclicality of Chinese commercial bank loans and its influencing factors. First of all, the commercial bank loan pro-cyclical theoretical analysis. Secondly, according to the performance and present situation of China's economic cycle and loan cycle, this paper makes a qualitative analysis of the pro-cyclicality of Chinese commercial bank loans. Thirdly, we choose the appropriate sample, econometric model and measurement method to analyze the pro-cyclicality of Chinese commercial bank loans. This paper selects Granger causality test to verify the existence of pro-cyclicality of Chinese commercial bank loans, and selects the multiple regression model to test the degree of influence of macroeconomic factors on the pro-cyclicality of commercial bank loans. The dynamic panel regression model is selected to test the influence of microcosmic factors on loan procyclicality of commercial banks. Finally, according to the concrete analysis results, some concrete suggestions are put forward to control the procyclicality of Chinese commercial bank loans. The results show that China's commercial banks have obvious pro-cyclical loans. In the upward range of the economy, because the collateral price rises, the borrower's credit condition becomes better, the commercial bank is optimistic about the borrower's future, therefore, will adjust the credit policy, lower the credit standard, increase the credit supply. At the same time, in order to gain more income and maintain their competitive position, commercial banks are urged to increase the supply of loans. However, practice has shown that during the economic upswing, commercial banks will make some wrong choices, and the problems caused by these mischoices will become apparent at the beginning of the economic downturn. As the economy begins to decline, borrowers' financial health deteriorates, lending risks increase, and commercial banks reduce their credit supply to ensure their normal operations. At the same time, the tightening of capital supervision of commercial banks will result in commercial banks having to reduce loans to meet the regulatory requirements. The results of multiple regression model and dynamic panel model show that the degree of procyclicality of Chinese commercial bank loans is influenced by inflation level, interest rate level, money supply, reserve system and capital requirement. On the basis of theoretical analysis, qualitative analysis and empirical analysis, this paper finally puts forward some concrete suggestions to control the pro-cyclicality of Chinese commercial bank loans.
【学位授予单位】：山西财经大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.4

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