銀行行為與經(jīng)濟(jì)周期波動(dòng)：來自銀行家調(diào)查問卷的證據(jù)
發(fā)布時(shí)間：2018-09-19 16:20
【摘要】：經(jīng)濟(jì)發(fā)展長期來看雖然呈現(xiàn)上升趨勢,卻始終伴隨著經(jīng)濟(jì)運(yùn)行的周期性波動(dòng),其極端表現(xiàn)是經(jīng)濟(jì)危機(jī)時(shí)有發(fā)生。在經(jīng)濟(jì)全球化背景下,一國甚至是一個(gè)部門的經(jīng)濟(jì)波動(dòng)都會(huì)造成嚴(yán)重的系列性影響。經(jīng)濟(jì)危機(jī)對經(jīng)濟(jì)長期增長的阻礙作用也日益突出�，F(xiàn)代市場經(jīng)濟(jì)中,伴隨金融體系日益發(fā)展,金融市場對實(shí)體經(jīng)濟(jì)影響日益加深。在影響經(jīng)濟(jì)周期的眾多因素中,金融因素的作用逐步凸顯。一方面,金融部門發(fā)揮資金融通和優(yōu)化資源配置的作用。金融中介的存在大大降低了交易費(fèi)用,有效分散市場風(fēng)險(xiǎn),為市場提供流動(dòng)性,促進(jìn)生產(chǎn)發(fā)展和經(jīng)濟(jì)穩(wěn)定增長,金融部門居于經(jīng)濟(jì)體系核心位置。但另一方面,金融市場存在摩擦,因而具有明顯順周期特點(diǎn)。隨著金融體系改革不斷推進(jìn),金融因素對經(jīng)濟(jì)周期的影響不斷增強(qiáng),其中銀行部門更是經(jīng)濟(jì)波動(dòng)的重要根源。中國是名副其實(shí)的銀行主導(dǎo)型金融體系國家,間接融資是中國企業(yè)的主要融資方式,銀行體系在金融資源配置過程中的角色舉足輕重。銀行信貸決策調(diào)整直接影響企業(yè)融資成本,商業(yè)銀行信貸變化直接影響企業(yè)產(chǎn)出,經(jīng)濟(jì)波動(dòng)對其也是極為敏感。從事銀行貸款業(yè)務(wù)的銀行家是信貸行為直接決策者。受經(jīng)濟(jì)形勢、監(jiān)管政策和同業(yè)競爭等因素影響,銀行家根據(jù)經(jīng)濟(jì)預(yù)期調(diào)整信貸審核標(biāo)準(zhǔn),調(diào)節(jié)信貸規(guī)模,如此直接影響宏觀經(jīng)濟(jì)。隨著利率市場化推進(jìn),銀行業(yè)經(jīng)營自主性有所提高,深入研究銀行家預(yù)期與經(jīng)濟(jì)波動(dòng)對于防范金融業(yè)系統(tǒng)風(fēng)險(xiǎn)和保持經(jīng)濟(jì)平穩(wěn)增長具有重要意義,也為宏觀審慎監(jiān)管提供新的參考對象。本文通過實(shí)證研究中國銀行家預(yù)期與宏觀經(jīng)濟(jì)的相關(guān)性,探究中國銀行家對宏觀經(jīng)濟(jì)判斷的準(zhǔn)確性,采用中國人民銀行銀行家問卷調(diào)查結(jié)果—銀行家信心指數(shù)與宏觀經(jīng)濟(jì)景氣指數(shù)(先行指數(shù)、一致指數(shù)、滯后指數(shù))進(jìn)行聯(lián)動(dòng)性研究。本文分別采用HP濾波分析法、“拐點(diǎn)”法中的BBQ算法和MSAR方法、基于VAR預(yù)測誤差的時(shí)域方法以及基于譜分析的頻域方法共五種方法,測度銀行家信心指數(shù)與宏觀經(jīng)濟(jì)景氣指數(shù)(先行指數(shù)、一致指數(shù)、滯后指數(shù))關(guān)聯(lián)性,驗(yàn)證中國信貸周期與經(jīng)濟(jì)周期的關(guān)系,通過對比探究銀行家對經(jīng)濟(jì)波動(dòng)感知程度,探討在中國提高銀行家決策自由的可能性和必要性。本文對中國銀行家預(yù)期與宏觀經(jīng)濟(jì)波動(dòng)的相關(guān)性進(jìn)行系統(tǒng)對比分析,得出以下結(jié)論:通過分析五種實(shí)證方法測度銀行家信心指數(shù)與宏觀經(jīng)濟(jì)景氣指數(shù)(先行指數(shù)、一致指數(shù)、滯后指數(shù))的聯(lián)動(dòng)性,證明銀行家信心指數(shù)與宏觀經(jīng)濟(jì)景氣指數(shù)先行指數(shù)相關(guān)性更強(qiáng),這反映出銀行家對未來經(jīng)濟(jì)的預(yù)測和感知能力更強(qiáng),中國信貸周期具有較強(qiáng)順周期效應(yīng)。此外,雖然現(xiàn)有研究中銀行貸款余額被廣泛用以衡量銀行行為,本文通過對比分析證明銀行家信心指數(shù)更具衡量銀行自身行為的優(yōu)越性。
[Abstract]:In the long run, although the economic development shows an upward trend, it is always accompanied by the cyclical fluctuation of economic operation, and its extreme performance is that the economic crisis occurs from time to time. Under the background of economic globalization, the economic fluctuation of a country or even a sector will cause a series of serious effects. The economic crisis to the economic long-term growth hindrance function also day by day prominent. In the modern market economy, with the development of the financial system, the financial market has a deeper impact on the real economy. Among the many factors affecting the economic cycle, the role of financial factors is gradually prominent. On the one hand, the financial sector plays a role in financing and optimizing resource allocation. The existence of financial intermediation has greatly reduced transaction costs, effectively dispersed market risks, provided liquidity for the market, promoted the development of production and stable economic growth, and the financial sector occupies the core position in the economic system. On the other hand, there is friction in the financial market, so it has a distinct pro-cyclical characteristic. With the development of the financial system reform, the influence of financial factors on the economic cycle is increasing, among which the banking sector is an important source of economic fluctuations. China is a country of bank-dominated financial system. Indirect financing is the main financing method of Chinese enterprises, and the banking system plays an important role in the process of allocation of financial resources. The adjustment of bank credit decision directly affects the financing cost of enterprises, and the change of commercial bank credit directly affects the output of enterprises, and the economic fluctuation is extremely sensitive to it. Bankers engaged in bank lending are direct decision makers of credit behavior. Under the influence of economic situation, regulatory policy and interbank competition, bankers adjust credit auditing standards according to economic expectations and adjust credit scale, which directly affects the macro economy. With the promotion of interest rate marketization, the banking industry has increased its operational autonomy. It is of great significance to study bankers' expectations and economic fluctuations to prevent the financial sector system risks and maintain the steady economic growth. It also provides a new reference for macro-prudential regulation. This paper explores the accuracy of Chinese bankers' macroeconomic judgment through empirical study of the correlation between Chinese bankers' expectations and macro economy. This paper adopts the results of the Chinese people's Banker questionnaire-Banker confidence Index and Macroeconomic Prosperity Index (leading index, consistent index, lag index) to carry on the linkage research. In this paper, HP filter analysis method, BBQ algorithm and MSAR method, time-domain method based on VAR prediction error and frequency-domain method based on spectral analysis are used respectively. To measure the correlation between banker confidence index and macroeconomic climate index (leading index, consistent index, lag index), to verify the relationship between Chinese credit cycle and economic cycle, and to explore the perception of economic fluctuation by bankers. Explore the possibility and necessity of improving bankers' freedom of decision-making in China. This paper makes a systematic comparative analysis of the correlation between banker expectations and macroeconomic fluctuations in China, and draws the following conclusions: by analyzing five empirical methods to measure bankers' confidence index and macroeconomic climate index (leading index, consistent index), The correlation between the index of banker confidence and the leading index of macroeconomic boom index is stronger, which reflects that bankers have stronger ability to predict and perceive the future economy, and the credit cycle in China has a strong pro-cyclical effect. In addition, although bank loan balance is widely used to measure bank behavior in the current research, this paper proves that the banker confidence index has the advantage of measuring banks' own behavior through comparative analysis.
【學(xué)位授予單位】：吉林大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2017
【分類號】：F832;F124.8
[Abstract]:In the long run, although the economic development shows an upward trend, it is always accompanied by the cyclical fluctuation of economic operation, and its extreme performance is that the economic crisis occurs from time to time. Under the background of economic globalization, the economic fluctuation of a country or even a sector will cause a series of serious effects. The economic crisis to the economic long-term growth hindrance function also day by day prominent. In the modern market economy, with the development of the financial system, the financial market has a deeper impact on the real economy. Among the many factors affecting the economic cycle, the role of financial factors is gradually prominent. On the one hand, the financial sector plays a role in financing and optimizing resource allocation. The existence of financial intermediation has greatly reduced transaction costs, effectively dispersed market risks, provided liquidity for the market, promoted the development of production and stable economic growth, and the financial sector occupies the core position in the economic system. On the other hand, there is friction in the financial market, so it has a distinct pro-cyclical characteristic. With the development of the financial system reform, the influence of financial factors on the economic cycle is increasing, among which the banking sector is an important source of economic fluctuations. China is a country of bank-dominated financial system. Indirect financing is the main financing method of Chinese enterprises, and the banking system plays an important role in the process of allocation of financial resources. The adjustment of bank credit decision directly affects the financing cost of enterprises, and the change of commercial bank credit directly affects the output of enterprises, and the economic fluctuation is extremely sensitive to it. Bankers engaged in bank lending are direct decision makers of credit behavior. Under the influence of economic situation, regulatory policy and interbank competition, bankers adjust credit auditing standards according to economic expectations and adjust credit scale, which directly affects the macro economy. With the promotion of interest rate marketization, the banking industry has increased its operational autonomy. It is of great significance to study bankers' expectations and economic fluctuations to prevent the financial sector system risks and maintain the steady economic growth. It also provides a new reference for macro-prudential regulation. This paper explores the accuracy of Chinese bankers' macroeconomic judgment through empirical study of the correlation between Chinese bankers' expectations and macro economy. This paper adopts the results of the Chinese people's Banker questionnaire-Banker confidence Index and Macroeconomic Prosperity Index (leading index, consistent index, lag index) to carry on the linkage research. In this paper, HP filter analysis method, BBQ algorithm and MSAR method, time-domain method based on VAR prediction error and frequency-domain method based on spectral analysis are used respectively. To measure the correlation between banker confidence index and macroeconomic climate index (leading index, consistent index, lag index), to verify the relationship between Chinese credit cycle and economic cycle, and to explore the perception of economic fluctuation by bankers. Explore the possibility and necessity of improving bankers' freedom of decision-making in China. This paper makes a systematic comparative analysis of the correlation between banker expectations and macroeconomic fluctuations in China, and draws the following conclusions: by analyzing five empirical methods to measure bankers' confidence index and macroeconomic climate index (leading index, consistent index), The correlation between the index of banker confidence and the leading index of macroeconomic boom index is stronger, which reflects that bankers have stronger ability to predict and perceive the future economy, and the credit cycle in China has a strong pro-cyclical effect. In addition, although bank loan balance is widely used to measure bank behavior in the current research, this paper proves that the banker confidence index has the advantage of measuring banks' own behavior through comparative analysis.
【學(xué)位授予單位】：吉林大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2017
【分類號】：F832;F124.8
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