银行风险与银行贷款渠道

发布时间：2016-11-05 07:45

摘  要

中国经济经历的宏观经济波动，从国际收支顺差、银行体系的“非理性繁荣”造成的流动性假性过剩，到货币信贷的过分扩张、资产价格虚高以及通胀压力导致了宏观经济系统性风险累积，进入了另一面，即银行银根紧缩、流动性不足以及货币信贷从主观到客观的全面收缩，资产价格忽涨忽跌而通货紧缩压力增大的问题，宏观经济运行的非正常膨胀与紧缩出现了时间与空间上“犬牙交错”，加剧了宏观经济运行的脆弱性，金融作为宏观经济的指示器，会对经济的发展变化起到预测的重要作用，中国金融的脆弱性与脆弱性金融恰如其分地先宏观经济运营风险而存在，例如，央行通过调整存款准备金率、利率实施或紧或松的货币政策，从宏观经济运行与波动的特征，到货币政策与信贷政策的执行，体现在金融风险的压力测试之上，而这一体现经济、金融的“测试”正是通过银行体系来予以实现。
实际上，因为商业银行性质而存在的研究对象异质性差异，即不同资产规模、流动性水平、资本充足程度的银行其信贷供给对银行风险测度具有怎样的异质性反应。本文旨在测度我国银行风险与银行贷款渠道之间的关系，即考察风险测度指标与商业银行微观经营指标测度银行贷款渠道之间的关系。实际上，银行贷款渠道理论一般而言是针对货币政策，货币政策的信贷传导理论其实质是货币政策利率变动的商业银行资产负债结构表的变动。以利率变动为外生性政策刺激，利率作为金融机构经营业务与风险的价格，直接决定了金融机构运营的成本与收益，随之通过金融机构的信贷业务调整社会资金的供给。商业银行作为一国货币政策的主要传导介质主体，信贷渠道成为测度与量化货币政策实施的中间通道。因此，以银行资产负债表示的商业银行信贷传导渠道，主要是以货币政策为政策实施的中间通道。换言之，风险作为商业银行经营信用的共生产品，通过商业银行经营特征予以体现，无论是理论还是实践都是有理可循的逻辑。
    本文选取2005—2014年间我国商业银行年度数据为研究对象，样本主要包括全国性商业银行以及部分城市商业银行两个主要的银行层次，以分组分析建立了面板模型对比并测度出我国商业银行主要结构组成经营风险的贷款渠道敏感程度。研究首先发现资本充足率指标与商业银行经营风险指标之间关系的非确定性，笔者提出了资本充足率指标作为监管风险指标所具备的外生性，同时也是商业银行安全性经营的独立内生性指标，因此，，出现了商业银行因规模不同、异质体差异产生的经营特征差异，具体就表现于风险资本对资本充足率指标关系的不确定性。具体来说，全国性股份制商业银行与地方性城市商业银行的面板回归结果是迥异的，全国股份制商业银行尤其是国有商业银行，其筹资渠道以及政府背景，都使其在自主经营决定的风险管理上存在主客观上的“弱化”甚至是“忽视”；但地方性城市商业银行却因为地域限制以及筹资渠道单一问题，使其不得不保证安全性经营与稳健经营的基本标准，形成了不同性质商业银行自身特有的经营特征决定的风险特征。正是基于以上实证分析的论据，为进一步推进商业银行风险管理科学化与有效性，提供了政策建议的思路。
关键字：商业银行    经营风险    信贷渠道    风险监管    资本充足率 

Abstract

Macroeconomic fluctuations in the Chinese economy experience, from the international balance of payments surplus, the banking system, "irrational exuberance" pseudo excess liquidity, the excessive expansion of money and credit, asset prices artificially high and inflation pressures led to the macroeconomic systemic risk accumulation, into the other side, namely the bank credit-tightening, lack of liquidity and monetary credit from the subjective to the objective of comprehensive contraction, asset prices rise and fall and the problem that the deflationary pressures, macro economic operation of expansion and contraction appeared abnormal "jagged" on time and space, aggravate the fragility of macro economic operation, financial as macroeconomic indicator, will change to the development of the economy have the important role of forecasting, China's financial fragility and vulnerability to the appropriate macroeconomic operating risks and financial exist, for example, central Banks by adjusting the deposit reserve rate, interest rate or tight or loose monetary policy, from the macro economic operation and fluctuating characteristics, to the implementation of monetary policy and credit policy, reflect on the pressure test of financial risks, which reflects the economic, financial "test" is to be implemented by the banking system. 
Because of the heterogeneity of commercial banks in terms of asset size, liquidity, capital, and so on, the changes in monetary policy affect the total amount of bank credit, which may cause the difference of cross section (section - Cross) of different characteristics of bank credit supply. In fact, because of the nature of the commercial banks, there are different kinds of research objects, namely, the different assets, liquidity, capital adequacy of bank credit supply to the bank risk measure has a heterogeneous reaction. This paper is to measure the relationship between bank risk and bank loan channel, and the capital adequacy of bank risk. Therefore, the risk index of commercial banks is an indirect measure of capital adequacy ratio. In fact, the bank loan channel theory generally speaking is the monetary policy, but the monetary policy of the bank risk pressure index usually also take the benchmark interest rate to measure, therefore, the author believes that the bank risk of bank credit transmission mechanism, and the operation mode has the consistency, in other words, the micro characteristics of commercial banks, such as different asset size, liquidity level, capital adequacy ratio of commercial banks credit channel to bank risk. This paper is to measure the relationship between bank risk and bank loan channel, and to measure the bank loan channel. This paper selects the annual data of China's commercial banks from 2005 to 2014. The sample mainly includes the national commercial banks and the two major banks. Empirical analysis of the relationship between the capital adequacy ratio of capital adequacy ratio of commercial banks and the commercial banks in the commercial banks of the National Commercial Bank of China. As a result of the empirical analysis of the characteristics of the commercial banks. The commercial banks in particular are different from the empirical analysis. For example the national joint-stock commercial banks especially state-owned banks. For example the national joint-stock commercial banks especially state-owned banks. For example the national joint-stock commercial banks especially state-owned banks. For example the national joint-stock commercial banks especially state-owned banks. For example the national joint-stock commercial banks especially state-owned banks, such as the national joint-stock commercial banks, especially state-owned commercial banks, especially state-owned banks, whose financing channels and government background. All of them make their own decisions. Have to ensure that the basic standards of security management and sound operation, the formation of a different nature of the characteristics of the commercial banks' own unique business characteristics of the decision of the risk. It is based on the above empirical analysis of the argument, in order to further promote the commercial bank risk management scientific and effective, and provide the policy recommendations.
Keywords：Commercial Bank    Operation Risk   Credit channel  Capital adequacy ratio
 
目录
摘  要 1
Abstract 3
第一章 引言 7
1.1 选题的背景与意义 7
1.1.1选题背景 7
1.1.2 选题意义 7
1.2 主要研究内容与论文结构 8
1.2.1 主要研究内容 8
1.2.2 论文的逻辑结构 8
1.3 理论基础与研究方法 9
1.3.1 文献整理 9
1.3.2 研究方法 12
1.4 主要结论与创新点 13
1.5 本章小结 14
第二章 银行风险与信贷渠道 18
2.1 我国商业银行经营风险的现状 18
2.1.1 信用风险 18
2.1.2 市场风险 18
2.1.3 流动性风险 19
2.2银行经营风险、资本充足率与信贷渠道 19
2.2.1资本充足率与银行风险的监管 20
2.2.2 资本充足率对资产负债结构的影响 20
2.3 本章小结 20
第三章  实证分析 22
3.1 样本选择及数据来源 22
3.1.1 样本选择 22
3.1.2 数据来源 22
3.2 模型构建 22
3.3 统计描述 23
3.4 实证检验 27
3.4.1 相关系数检验 27
3.4.2 动态面板模型估计 28
3.4.3 稳健性检验 30
3.5 实证检验结果 33
3.5.1 全样本估计结果分析 33
3.5.2 分样本估计结果分析 35
3.6 本章小结 37
第四章 主要结论与政策建议 38
4.1 主要结论 38
4.1.1银行经营风险与银行信贷渠道的关系 38
4.1.2 全国股份制与地方城市商业银行经营特征差异 39
4.2完善我国银行信贷渠道的政策建议 40
4.2.1 完善我国银行贷款渠道 40
4.2.2 完善我国资本充足率、流动性监管机制 41
4.2.3商业银行需建立合理的资产负债结构应对约束机制 41
参考文献 42
附录 43
 
第一章 引言

1.1 选题的背景与意义
1.1.1 选题背景
中国经济经历的宏观经济波动，从国际收支顺差、银行体系的“非理性繁荣”造成的流动性假性过剩，到货币信贷的过分扩张、资产价格虚高以及通胀压力导致了宏观经济系统性风险累积，进入了另一面，即银行银根紧缩、流动性不足以及货币信贷从主观到客观的全面收缩，资产价格忽涨忽跌而通货紧缩压力增大的问题，宏观经济运行的非正常膨胀与紧缩出现了时间与空间上“犬牙交错”，加剧了宏观经济运行的脆弱性，金融作为宏观经济的指示器，会对经济的发展变化起到预测的重要作用，中国金融的脆弱性与脆弱性金融恰如其分地先宏观经济运营风险而存在，例如，央行通过调整存款准备金率、利率实施或紧或松的货币政策，从宏观经济运行与波动的特征，到货币政策与信贷政策的执行，体现在金融风险的压力测试之上，而这一体现经济、金融的“测试”正是通过银行体系来予以实现。

本文编号：164810