本文關(guān)鍵詞： 商業(yè)銀行信貸 順周期性 貨幣政策調(diào)控 實(shí)證研究　出處：《上海社會(huì)科學(xué)院》2014年碩士論文　論文類型：學(xué)位論文

【摘要】：2007年美國(guó)次貸危機(jī)爆發(fā)的最后演變成了全球性的經(jīng)濟(jì)危機(jī),對(duì)各國(guó)的金融體系、金融機(jī)構(gòu)以及實(shí)體經(jīng)濟(jì)造成了巨大的沖擊。商業(yè)銀行的順周期性是次貸危機(jī)形成的重要原因之一,商業(yè)銀行主體在危機(jī)中順周期經(jīng)營(yíng)的特征表現(xiàn)和行為調(diào)整引發(fā)了學(xué)術(shù)界和監(jiān)管機(jī)構(gòu)的討論,并促使重新審視金融體系特別是銀行信貸順周期性的問題。商業(yè)銀行作為市場(chǎng)主體的經(jīng)營(yíng)行為和信貸投放往往具有順周期的特征,表現(xiàn)為信貸投放與經(jīng)濟(jì)周期之間明顯的相關(guān)性,在推動(dòng)經(jīng)濟(jì)周期形成的同時(shí),還加劇了經(jīng)濟(jì)的波動(dòng)。我國(guó)目前實(shí)體經(jīng)濟(jì)還嚴(yán)重依賴銀行信貸融資,銀行信貸的順周期行為對(duì)我國(guó)的影響將更大。同時(shí),商業(yè)銀行信貸仍然是我國(guó)貨幣政策傳導(dǎo)的主要渠道,商業(yè)銀行經(jīng)營(yíng)的市場(chǎng)化和貨幣政策的信貸調(diào)控之間關(guān)系在我國(guó)顯得越來越重要。 商業(yè)銀行的順周期是如何形成的?我國(guó)商業(yè)銀行業(yè)是否存在順周期的形成條件和特征?如果存在,是否會(huì)對(duì)貨幣政策調(diào)控效果和宏觀經(jīng)濟(jì)的穩(wěn)定產(chǎn)生不利影響?本文通過定性分析和定量實(shí)證分析的結(jié)合,對(duì)上述問題進(jìn)行了討論和研究。 第一,從梳理國(guó)內(nèi)外學(xué)者的文獻(xiàn)和理論研究入手,總結(jié)了商業(yè)銀行信貸順周期性的行為表現(xiàn)和形成機(jī)制。在文獻(xiàn)研究基礎(chǔ)上,從商業(yè)銀行自身行為因素以及資本監(jiān)管等制度層面因素,探究我國(guó)商業(yè)銀行信貸順周期性的形成條件是否具備。 第二,為驗(yàn)證我國(guó)銀行業(yè)是否存在順周期性,選取了1998年到2013年間我國(guó)人民幣信貸余額和國(guó)內(nèi)生產(chǎn)總值的季度數(shù)據(jù),利用向量誤差修正模型的計(jì)量方法進(jìn)行了實(shí)證檢驗(yàn),結(jié)果表明我國(guó)銀行信貸投放具有順經(jīng)濟(jì)周期性。 第三,在實(shí)證結(jié)果基礎(chǔ)上,進(jìn)一步研究信貸順周期性,特別是資本充足率監(jiān)管要求對(duì)貨幣政策調(diào)控的影響；并結(jié)合我國(guó)1998-2013年貨幣政策調(diào)控和銀行信貸投放的實(shí)踐,從構(gòu)建逆周期資本監(jiān)管工具降低順周期效應(yīng)和改善貨幣政策調(diào)控效果角度提出應(yīng)對(duì)政策和建議。 通過研究本文主要得出以下結(jié)論： (1)我國(guó)銀行業(yè)信貸投放具有順經(jīng)濟(jì)周期性。在政府對(duì)商業(yè)銀行的信貸規(guī)�？刂茝闹噶钚砸筠D(zhuǎn)變?yōu)榱酥笇?dǎo)性要求之后,銀行信貸投放行為的自主性和市場(chǎng)化的程度進(jìn)一步的加強(qiáng),我國(guó)銀行業(yè)信貸投放具有明顯的順經(jīng)濟(jì)周期性。 (2)對(duì)于逆周期的貨幣政策調(diào)控,銀行信貸的順周期性對(duì)貨幣政策的效果有一定的削弱作用。銀行信貸作為我國(guó)貨幣政策傳導(dǎo)的主導(dǎo)渠道,銀行內(nèi)生行為因素以及監(jiān)管部門對(duì)于銀行的外生監(jiān)管所產(chǎn)生的順周期性都將影響貨幣政策傳導(dǎo)和調(diào)控的效果。 (3)銀行信貸順周期性對(duì)擴(kuò)張性貨幣政策和緊縮性貨幣政策各自調(diào)控效果的影響程度不同,相對(duì)于緊縮性貨幣政策,擴(kuò)張性貨幣政策調(diào)控受到信貸順周期性的影響程度更大。 (4)銀行信貸的順周期性作為經(jīng)濟(jì)和金融運(yùn)行的內(nèi)在特征,很難完全消除其對(duì)經(jīng)濟(jì)周期波動(dòng)的影響,我們應(yīng)該采用積極和主動(dòng)的措施來應(yīng)對(duì)銀行信貸順周期的問題。一方面,在宏觀審慎政策框架下建立逆周期信貸調(diào)控機(jī)制,利用逆周期的政策工具緩解銀行信貸順周期性問題；另一方面,將銀行信貸的順周期性及其負(fù)面效應(yīng)考慮進(jìn)幣政策的制定和實(shí)施,同時(shí)加強(qiáng)貨幣政策調(diào)控與銀行監(jiān)管的協(xié)調(diào),建立中央銀行與銀行監(jiān)管部門間及時(shí)有效的的信息交流和協(xié)調(diào)機(jī)制。 本文的創(chuàng)新主要表現(xiàn)在：(1)在研究視角上,此前大多數(shù)研究集中在討論商業(yè)銀行信貸對(duì)經(jīng)濟(jì)波動(dòng)的影響,或者局限于商業(yè)銀行信貸投放的順周期性行為。本文從另一個(gè)視角,將微觀金融機(jī)構(gòu)的內(nèi)生行為和風(fēng)險(xiǎn)監(jiān)管與宏觀貨幣政策調(diào)控聯(lián)系起來,系統(tǒng)探討了銀行信貸的順周期性及其對(duì)貨幣政策調(diào)控的影響；(2)結(jié)合國(guó)內(nèi)外學(xué)者對(duì)銀行信貸順周期已有的相關(guān)研究,對(duì)銀行信貸順周期的特征表現(xiàn)、形成的內(nèi)因外因進(jìn)行了較為詳細(xì)的分類整理。
[Abstract]:Last 2007 the U.S. subprime mortgage crisis evolved into a global economic crisis, the financial system, financial institutions and the real economy caused a huge impact. Procyclicality is one of the important reasons for the formation of sub loan crisis, the main commercial banks triggered a discussion of academia and regulators in the adjustment of performance and characteristics in the business cycle behavior of the crisis, and to re-examine the financial system especially the bank credit procyclicality problem. Commercial banks as the main body of the market management behavior and credit are often shun cycle performance characteristics, a significant correlation between credit and economic cycle, in promoting economic cycle formation at the same time, also intensified the fluctuations of the economy. China's current real economy is heavily dependent on bank credit financing, cyclical behavior of bank credit will impact on China At the same time, commercial banks' credit is still the main channel for China's monetary policy transmission. The relationship between commercially operated banks' marketization and credit regulation of monetary policy is becoming more and more important in China.
Commercial Bank procyclicality is how it formed? China's commercial banking industry are procyclical formation conditions and characteristics? If there is, it will have an adverse impact on the effect of monetary policy regulation and macroeconomic stability? In this paper through the qualitative analysis and quantitative empirical analysis, the above problems are discussed and studied.
First, starting from the literature and theoretical research review of scholars at home and abroad, summarizes the behavior of commercial bank credit procyclicality and formation mechanism. On the basis of literature, from the commercial banks behavior factors and capital regulation and system level factors, the research of our commercial bank credit conditions have formed along the periodic.
Second, China's banking industry in order to verify the existence of procylicality, selected from 1998 to 2013, China's credit balance of RMB and quarterly GDP data, measurement method using vector error correction model. Empirical results show that bank credit in China has put along the economic cycle.
Third, based on the empirical results, further research on credit procyclicality, especially regulatory capital adequacy requirements impact on monetary policy; and combined with the practice of the 1998-2013 years of monetary policy and bank credit in China launch, from the construction of counter cyclical capital regulation tool to reduce procyclicality and improve the effect of monetary policy regulation is put forward policy responses and suggestions.
Through the study, the main conclusions are drawn as follows:
(1) banking credit in China has put along the economic cycle. In the transition from the mandatory requirements for guidance requires commercial bank credit scale control, autonomy and marketization of bank credit behavior of the degree of further strengthening, China's banking credit has a significant Pro cyclical.
(2) for counter cyclical monetary policy, bank credit procyclicality of the effect of monetary policy has weakened. The bank credit as the main channel of China's monetary policy transmission, bank behavior factor and supervision department for the supervision of banks caused by exogenous procyclicality will affect monetary policy the conduction and the effect of regulation.
(3) the impact of credit periodicity on expansionary monetary policy and tight monetary policy is different. Compared with tight monetary policy, expansionary monetary policy regulation is more influenced by credit Pro cyclicai.
(4) the pro cyclicality of bank credit as the inherent characteristics of economic and financial operation, it is difficult to completely eliminate the influence of fluctuations in the economic cycle, we should adopt a positive and proactive measures to deal with the bank credit procyclicality problem. On the one hand, the establishment of a counter cyclical credit regulation mechanism in the macro Prudential policy framework, the use of counter cyclical policy tools to ease the credit procyclicality problem; on the other hand, bank credit procyclicality and the negative effects of the formulation and implementation of monetary policy into consideration, while strengthening the coordination of monetary policy and banking supervision, timely and effective information exchange and coordination mechanism for the establishment of the central bank and banking supervision department.
The innovation of this thesis lies in: (1) in the research perspective, most previous research focuses on Commercial Bank Credit Influence on economic fluctuation, limitations or procyclical behavior in commercial bank credit. In this paper, from another perspective, the micro financial institutions endogenous behavior and risk supervision and macro currency policy control link system of the Pro cyclicality of bank credit and its impact on monetary policy; (2) with the relevant research of domestic and foreign scholars on bank credit procyclicality has the features of bank credit cycle, the formation of internal and external causes are classified in detail.

【學(xué)位授予單位】：上海社會(huì)科學(xué)院
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2014
【分類號(hào)】：F832.33;F832.4

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