【摘要】：當(dāng)前我國(guó)宏觀經(jīng)濟(jì)正處于較為明顯的下行區(qū)間,并且本次波動(dòng)中所承受的經(jīng)濟(jì)下行壓力較大,在國(guó)民經(jīng)濟(jì)的各個(gè)方面均有所反映。本篇文章所探究的即為在該種宏觀經(jīng)濟(jì)整體下行的大背景下,我國(guó)商業(yè)銀行體系中的個(gè)體行為呈現(xiàn)怎樣的特征,所研究的著眼點(diǎn)即為商業(yè)銀行以資本緩沖水平選擇為代表的順周期行為。商業(yè)銀行當(dāng)前仍然是我國(guó)經(jīng)濟(jì)生活中較為重要的中樞,也直接影響著國(guó)家宏觀經(jīng)濟(jì)政策的實(shí)施,對(duì)維護(hù)金融和宏觀經(jīng)濟(jì)穩(wěn)定起著極為重要的作用。由于商業(yè)銀行與生俱來(lái)具有追求利潤(rùn)最大化的目標(biāo)以及受到以巴塞爾協(xié)議為核心的資本充足率監(jiān)管體系的制約,容易導(dǎo)致商業(yè)銀行信貸行為存在一定的順周期特征。這種特征可能會(huì)與經(jīng)濟(jì)運(yùn)行形成正反饋,進(jìn)而增加金融和宏觀經(jīng)濟(jì)的不穩(wěn)定程度。但自巴塞爾協(xié)議III出臺(tái),對(duì)于商業(yè)銀行保留逆周期資本緩沖進(jìn)行了相關(guān)規(guī)定,其目的就在于弱化商業(yè)銀行順周期效應(yīng)可能對(duì)宏觀經(jīng)濟(jì)波動(dòng)幅度的推動(dòng)作用。國(guó)有成分在我國(guó)商業(yè)銀行體系中長(zhǎng)期以來(lái)均占據(jù)較為重要份額,商業(yè)銀行整體經(jīng)營(yíng)所承擔(dān)的政策性因素較大,正由于我國(guó)銀行體系存在該特點(diǎn),研究其在本次宏觀經(jīng)濟(jì)下行期間資本緩沖行為是否呈現(xiàn)順周期特征,具有一定的理論和現(xiàn)實(shí)意義。本篇文章對(duì)2003-2015年間我國(guó)41家商業(yè)銀行的年度非平衡面板數(shù)據(jù)進(jìn)行以動(dòng)態(tài)面板數(shù)據(jù)模型為基礎(chǔ)的計(jì)量經(jīng)濟(jì)學(xué)分析,對(duì)所提出的各項(xiàng)假設(shè)進(jìn)行了檢驗(yàn)。文章主要分為五章,第1章介紹了文章主題、選題背景以及研究方法,并梳理了創(chuàng)新與不足。第2章對(duì)文章研究主題相關(guān)的國(guó)內(nèi)外文獻(xiàn)進(jìn)行了綜述,提出實(shí)證分析過(guò)程中將主要研究的問(wèn)題。第3章對(duì)我國(guó)宏觀經(jīng)濟(jì)與商業(yè)銀行風(fēng)險(xiǎn)指標(biāo)進(jìn)行了統(tǒng)計(jì)性描述,反映當(dāng)前經(jīng)濟(jì)運(yùn)行下行趨勢(shì)情況以及銀行承壓情況。第4章是對(duì)商業(yè)銀行資本緩沖以及信貸行為周期性趨勢(shì)相關(guān)的實(shí)證分析,得出三項(xiàng)實(shí)證結(jié)論。第5章是對(duì)于研究結(jié)論進(jìn)行總結(jié)并針對(duì)具體實(shí)際提出當(dāng)前條件下可能的政策建議。本文通過(guò)理論與實(shí)證分析主要得出以下結(jié)論:(1)我國(guó)商業(yè)銀行在本文所研究的時(shí)間區(qū)間內(nèi)存在順周期性特征,但該種特征在國(guó)有大型商業(yè)銀行和城市商業(yè)銀行中表現(xiàn)較弱,推測(cè)原因?yàn)樵搩深愩y行同政府關(guān)系密切,受政策性因素影響較大,整體經(jīng)營(yíng)的市場(chǎng)化水平相比其他類型銀行較低;(2)我國(guó)商業(yè)銀行在統(tǒng)計(jì)期內(nèi)對(duì)自身資本緩沖比率進(jìn)行調(diào)節(jié)主要通過(guò)對(duì)資本充足率水平的分母進(jìn)行調(diào)整來(lái)實(shí)現(xiàn);(3)監(jiān)管當(dāng)局對(duì)于商業(yè)銀行資本緩沖水平的規(guī)定提高會(huì)降低其信貸投放行為的波動(dòng)幅度,從而對(duì)其順周期特征具有一定的緩釋作用。
[Abstract]:At present, the macro economy of our country is in the obvious downward range, and the downward pressure of the economic fluctuation is great, which is reflected in all aspects of the national economy. What this article explores is the characteristics of individual behavior in the commercial banking system of our country under the background of the overall downward trend of the macro economy. The focus of this study is the pro-cyclical behavior of commercial banks represented by the choice of capital buffer level. Commercial banks are still the more important center in the economic life of our country at present. They also directly affect the implementation of national macroeconomic policies and play an extremely important role in maintaining financial and macroeconomic stability. Because commercial banks are born with the goal of pursuing the maximization of profits and restricted by the capital adequacy regulatory system with Basel Accord as the core, it is easy to lead to certain pro-cyclical characteristics of commercial banks' credit behavior. This feature may lead to positive feedback with economic performance, thereby increasing the degree of financial and macroeconomic instability. However, since the introduction of Basel Accord (III), some regulations have been made on the reserve of countercyclical capital buffer for commercial banks, the purpose of which is to weaken the role of pro-cyclical effect of commercial banks in promoting macroeconomic fluctuations. The state-owned component has occupied a relatively important share in the commercial banking system of our country for a long time, and the whole management of the commercial bank bears a large policy factor, which is precisely due to the existence of this characteristic in the banking system of our country. It is of theoretical and practical significance to study whether the capital buffering behavior in the period of macroeconomic downturn is pro-cyclical. In this paper, the annual non-equilibrium panel data of 41 commercial banks in China from 2003 to 2015 are analyzed by econometrics based on dynamic panel data model, and the hypotheses put forward are tested. The article is divided into five chapters. Chapter 1 introduces the theme, background and research methods, and combs the innovation and deficiency. Chapter 2 summarizes the domestic and foreign literature on the subject of this paper, and points out the main problems to be studied in the process of empirical analysis. Chapter 3 gives a statistical description of the risk index of macroeconomic and commercial banks in China, which reflects the downward trend of the current economic operation and the pressure on the banks. Chapter 4 is an empirical analysis of the capital buffering and the cyclical trend of credit behavior of commercial banks, and draws three empirical conclusions. Chapter 5 summarizes the research conclusions and puts forward the possible policy recommendations under the current conditions. Through theoretical and empirical analysis, this paper draws the following conclusions: (1) China's commercial banks have procyclical characteristics in the time interval studied in this paper, but this kind of characteristics is weak in state-owned large commercial banks and urban commercial banks. The reason is that the two kinds of banks are closely related to the government, influenced by the policy factors, and the market-oriented level of the whole operation is lower than that of the other types of banks. (2) the adjustment of the capital buffer ratio of Chinese commercial banks in the statistical period is mainly realized by adjusting the denominator of the capital adequacy ratio level; (3) the increase of the capital buffer level of commercial banks will reduce the fluctuation of their credit lending behavior, and thus have a certain slow-release effect on the pro-cyclical characteristics of commercial banks.
【學(xué)位授予單位】：山東大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2017
【分類號(hào)】：F832.33

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