本文選題：股票價(jià)格 + 銀行信貸��； 參考：《浙江工商大學(xué)》2017年碩士論文

【摘要】：隨著資本市場的發(fā)展與金融創(chuàng)新的進(jìn)步,資產(chǎn)價(jià)格的波動(dòng)與實(shí)體經(jīng)濟(jì)的相關(guān)性已經(jīng)被學(xué)者反復(fù)證明。2007年始于美國的次貸危機(jī)對(duì)其金融體系與宏觀經(jīng)濟(jì)造成巨大沖擊,并迅速蔓延至全球,導(dǎo)致全球性的經(jīng)濟(jì)衰退,這一事件也進(jìn)一步表明,資產(chǎn)價(jià)格與商業(yè)銀行信貸規(guī)模之間聯(lián)系緊密。近年來,我國股票市場發(fā)展迅速,股票價(jià)格的劇烈波動(dòng)逐漸成為一種常態(tài),與此相伴的是銀行新增信貸也出現(xiàn)大幅波動(dòng),兩者表現(xiàn)出強(qiáng)烈的相關(guān)性。由于商業(yè)銀行在金融體系中占據(jù)重要地位,銀行信貸的擴(kuò)張與緊縮將通過貨幣創(chuàng)造影響實(shí)體經(jīng)濟(jì),因此,研究我國的股票價(jià)格波動(dòng)對(duì)銀行信貸規(guī)模的影響有助于減少股價(jià)波動(dòng)對(duì)宏觀經(jīng)濟(jì)的沖擊,對(duì)于優(yōu)化監(jiān)管指標(biāo)、維護(hù)金融穩(wěn)定具有重要的理論與現(xiàn)實(shí)意義。本文首先對(duì)股票價(jià)格影響銀行信貸的傳導(dǎo)機(jī)制從供需兩方面進(jìn)行梳理,主要包括財(cái)富效應(yīng)、羊群效應(yīng)、托賓Q效應(yīng)、外部融資成本渠道、金融創(chuàng)新渠道、資產(chǎn)負(fù)債表渠道以及資本約束機(jī)制。在理論分析的基礎(chǔ)上,本文利用我國2007—2015年52家商業(yè)銀行的財(cái)務(wù)數(shù)據(jù),建立面板數(shù)據(jù)模型對(duì)股票價(jià)格對(duì)銀行信貸的影響進(jìn)行了實(shí)證分析。為了進(jìn)一步研究股權(quán)性質(zhì)及上市與否對(duì)于銀行信貸敏感性是否有影響,本文在全樣本估計(jì)后進(jìn)行了分組計(jì)量,并進(jìn)行了穩(wěn)健性檢驗(yàn)以驗(yàn)證結(jié)論的穩(wěn)健性。實(shí)證結(jié)果表明:我國股票價(jià)格波動(dòng)對(duì)商業(yè)銀行信貸產(chǎn)生顯著的正向影響,股票價(jià)格上漲會(huì)促使銀行擴(kuò)張信貸;國有銀行信貸規(guī)模對(duì)股票價(jià)格波動(dòng)的敏感性低于非國有銀行,且不受資產(chǎn)規(guī)模、杠桿率及不良貸款率的影響;上市銀行信貸規(guī)模受股價(jià)波動(dòng)影響較顯著,而非上市銀行信貸對(duì)股價(jià)波動(dòng)并不敏感�；谝陨辖Y(jié)論,本文從不同角度提出了相關(guān)建議:從商業(yè)銀行角度應(yīng)加強(qiáng)商業(yè)銀行的信貸管理與資本管理,建立逆周期的資本緩沖機(jī)制,提高國有銀行的經(jīng)營效率;從股票市場角度應(yīng)抑制投機(jī)行為,加強(qiáng)投資者教育,同時(shí)增加居民投資渠道;從監(jiān)管角度應(yīng)運(yùn)用多種宏觀審慎監(jiān)管工具,實(shí)行逆周期的資本監(jiān)管。
[Abstract]:With the development of capital market and the progress of financial innovation, the correlation between the fluctuation of asset price and the real economy has been proved repeatedly by scholars. It quickly spread to the world, leading to a global recession, a further indication that asset prices are closely linked to the size of commercial bank credit. In recent years, the stock market of our country develops rapidly, the sharp fluctuation of the stock price becomes a kind of normal gradually, accompanied by the bank new credit also appears the big fluctuation, both show the strong correlation. Since commercial banks play an important role in the financial system, the expansion and tightening of bank credit will affect the real economy through monetary creation. The study of the impact of stock price fluctuation on the scale of bank credit is helpful to reduce the impact of stock price fluctuation on macro economy and has important theoretical and practical significance for optimizing the supervision index and maintaining financial stability. This paper firstly combs the transmission mechanism of stock price influencing bank credit from two aspects of supply and demand, including wealth effect, herd effect, Tobin Q effect, external financing cost channel, financial innovation channel. Balance sheet channels and capital constraint mechanisms. On the basis of theoretical analysis, using the financial data of 52 commercial banks from 2007 to 2015, this paper establishes a panel data model to analyze the effect of stock price on bank credit. In order to further study the impact of equity property and listing on the bank credit sensitivity, this paper makes a grouping measurement after the full sample estimation, and makes a robustness test to verify the robustness of the conclusions. The empirical results show that the stock price fluctuation in China has a significant positive impact on the credit of commercial banks, and the rise of stock prices will promote banks to expand credit, and the sensitivity of credit scale of state-owned banks to stock price fluctuations is lower than that of non-state-owned banks. It is not affected by asset size, leverage ratio and non-performing loan ratio; the credit size of listed banks is significantly affected by stock price volatility, while non-listed bank credit is not sensitive to stock price volatility. Based on the above conclusions, this paper puts forward some relevant suggestions from different angles: from the perspective of commercial banks, we should strengthen the credit management and capital management of commercial banks, establish a counter-cyclical capital buffer mechanism, and improve the operating efficiency of state-owned banks; From the perspective of stock market, we should restrain speculative behavior, strengthen investor education and increase investment channels of residents. From the perspective of supervision, we should use a variety of macro-prudential supervision tools to carry out countercyclical capital supervision.
【學(xué)位授予單位】：浙江工商大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2017
【分類號(hào)】：F832.51;F832.4

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本文編號(hào)：2016320