本文關(guān)鍵詞： 資本充足率 資本充足系數(shù) 貨幣循環(huán) 貨幣內(nèi)生 銀行資本預(yù)期收益率　出處：《上海交通大學(xué)》2013年博士論文　論文類型：學(xué)位論文

【摘要】：我國的貨幣發(fā)行機(jī)制是我國貨幣政策發(fā)揮作用的前提條件，我國的貨幣發(fā)行機(jī)制使得我國的貨幣運(yùn)動處于一種開放式循環(huán)體系中，這使得傳統(tǒng)的準(zhǔn)備金率政策對貸款數(shù)量的約束作用失效，并且對我國貨幣政策提出了挑戰(zhàn)。資本充足率作為監(jiān)管要求，也得到了商業(yè)銀行體系的高度重視。由于銀行貸款的風(fēng)險特性，資本充足率可以約束銀行的貸款數(shù)量，進(jìn)而使得銀行資本預(yù)期收益率與貸款存在數(shù)量關(guān)系。本課題認(rèn)為：在我國既有貨幣制度體系下，資本充足率通過資本充足系數(shù)約束銀行貸款數(shù)量，人民銀行可以通過調(diào)控央行票據(jù)的收益率影響資本充足系數(shù)，進(jìn)而影響銀行貸款數(shù)量。 第一章指出選題背景與意義，提出研究問題；第二章對文獻(xiàn)進(jìn)行綜述，對研究問題進(jìn)一步提煉和具體化。 第三章以貨幣運(yùn)動循環(huán)方式為線索，構(gòu)建了我國貨幣政策選擇的理論分析框架，解釋了我國貨幣內(nèi)生性的原因。在此條件下，建立我國銀行貸款增量的數(shù)量化模型，指出我國貨幣政策所面臨的挑戰(zhàn)。著重分析存款準(zhǔn)備金率對我國銀行貸款數(shù)量的影響，指出其失效的原因和機(jī)理。 第四章的重點討論了資本充足率通過資本充足系數(shù)約束銀行貸款數(shù)量的機(jī)制�，F(xiàn)代的世界金融市場中，，資本充足率對銀行風(fēng)險管理具有重要的意義。我國的監(jiān)管機(jī)構(gòu)也已經(jīng)開始對商業(yè)銀行進(jìn)行資本充足率管理。由于貸款的風(fēng)險特性，資本充足率必然對貸款數(shù)量有影響。在我國貨幣內(nèi)生和準(zhǔn)備金率的共同作用下，資本充足率通過資本充足系數(shù)仍然對貸款數(shù)量起著決定性的作用。 第五章對我國銀行資本預(yù)期收益率與貸款的數(shù)量關(guān)系展開研究。銀行資本的預(yù)期收益率反映了風(fēng)險與收益的關(guān)系，風(fēng)險可以由監(jiān)管資本來反映；收益則由管制利率與市場化利率的組合來反映，我國利率體系存在著管制利率和市場化利率兩種利率，商業(yè)銀行既是管制利率的執(zhí)行者又是市場化利率的參與者。資本市場對銀行資本的預(yù)期收益率也有定價，根據(jù)無套利原理，二者應(yīng)該相等，否則會有無風(fēng)險套利機(jī)會。由此，構(gòu)建出資本預(yù)期收益率與貸款的數(shù)量關(guān)系，進(jìn)而得到了央行票據(jù)收益率與貸款的關(guān)系。 第六章概括主要結(jié)論，給出我國制度變遷的政策建議，對論文后續(xù)研究進(jìn)行展望。 本課題研究我國現(xiàn)有貨幣制度框架下，資本監(jiān)管對我國銀行貸款的影響，從而構(gòu)建出我國貨幣政策選擇的理論框架。主要創(chuàng)新點有：（1）我國商業(yè)銀行的貸款通過對外貿(mào)易循環(huán)轉(zhuǎn)化成基礎(chǔ)貨幣，所以我國的基礎(chǔ)貨幣是內(nèi)生的。（2）準(zhǔn)備金率對我國銀行貸款數(shù)量約束無效，資本充足率對我國銀行貸款數(shù)量約束有效。（3）利用無套利方法，從銀行資本預(yù)期收益率的角度構(gòu)建我國貸款數(shù)量模型，從而得到央行票據(jù)收益率與我國貸款的關(guān)系。
[Abstract]:The monetary issue mechanism of our country is the precondition for the monetary policy of our country to play a role. The monetary issue mechanism of our country makes the monetary movement of our country in an open circulation system. This makes the traditional reserve ratio policy have no effect on the amount of loans, and challenges the monetary policy of our country. The capital adequacy ratio is the regulatory requirement. The commercial banking system has also attached great importance to it. Because of the risk characteristics of bank loans, the capital adequacy ratio can constrain the amount of bank loans. This paper holds that under the existing monetary system in China, the capital adequacy ratio restricts the amount of bank loans through the capital adequacy coefficient. The people's Bank of China can influence the capital adequacy coefficient and the amount of bank loans by regulating the yield of central bank paper. The first chapter points out the background and significance of the topic and puts forward the research issues; the second chapter summarizes the literature and further refines and concretizes the research issues. The third chapter takes the circulation mode of monetary movement as the clue, constructs the theoretical analysis frame of the monetary policy choice of our country, explains the reason of the monetary endogeneity of our country, under this condition, establishes the quantitative model of the increment of the bank loan in our country. This paper points out the challenges faced by China's monetary policy, analyzes the influence of reserve requirement ratio on the amount of bank loans in China, and points out the causes and mechanism of its failure. Chapter 4th focuses on the mechanism by which the capital adequacy ratio restricts the amount of bank loans through the capital adequacy coefficient. The capital adequacy ratio is of great significance to the risk management of banks. Our country's regulators have also begun to manage the capital adequacy ratio of commercial banks. The capital adequacy ratio is bound to have an influence on the amount of loans. Under the joint action of the endogenous currency and the reserve ratio, the capital adequacy ratio still plays a decisive role in the amount of loans through the capital adequacy coefficient. Chapter 5th studies the relationship between the expected rate of return of bank capital and the quantity of loans. The expected rate of return of bank capital reflects the relationship between risk and income, and the risk can be reflected by regulatory capital. Income is reflected by the combination of regulated interest rate and market-oriented interest rate. In our interest rate system, there are two kinds of interest rates: regulated interest rate and market-oriented interest rate. Commercial banks are both executors of regulated interest rates and participants of market-oriented interest rates. The expected rate of return on bank capital is also priced in the capital market. According to the no-arbitrage principle, the two should be equal, otherwise there will be no risk arbitrage. The relationship between the expected rate of return of capital and the quantity of loan is established, and the relationship between the yield of central bank paper and the loan is obtained. Chapter 6th summarizes the main conclusions, gives the policy recommendations of institutional changes in China, and looks forward to the follow-up study. This paper studies the influence of capital supervision on Chinese bank loans under the framework of the existing monetary system. Thus, the theoretical framework for the choice of monetary policy in China is constructed. The main innovation point is: 1) the loans of commercial banks in China are transformed into basic currency through the circulation of foreign trade. Therefore, the basic currency of our country is endogenous. 2) the reserve ratio has no effect on the number of bank loans in our country, and the capital adequacy ratio is effective for the number of bank loans in our country. From the perspective of the expected rate of return on bank capital, this paper constructs a model of the amount of loans in China, and then obtains the relationship between the yield of central bank bills and the loans of our country.
【學(xué)位授予單位】：上海交通大學(xué)
【學(xué)位級別】：博士
【學(xué)位授予年份】：2013
【分類號】：F832.4;F822.0

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