【摘要】：當(dāng)前，產(chǎn)能過剩給銀行帶來了巨大風(fēng)險(xiǎn)，在2014年的全國(guó)銀行業(yè)監(jiān)管工作會(huì)議上銀監(jiān)會(huì)就提出需重點(diǎn)防范產(chǎn)能過剩貸款風(fēng)險(xiǎn)。相關(guān)研究指出，企業(yè)在投資上的“潮涌現(xiàn)象”是導(dǎo)致產(chǎn)能過剩的主要原因，“潮涌現(xiàn)象”本質(zhì)上是由信息不完全所導(dǎo)致的過度投資，是一種投資上的合成謬誤。金融體系中也存在合成謬誤問題，對(duì)單家銀行來說是審慎合理的某種行為，如果成為各銀行集體的一致行動(dòng)，則可能破壞整個(gè)金融體系的穩(wěn)定。因此，研究在產(chǎn)能過剩的形成過程中，銀行是否也存在貸款合成謬誤，對(duì)防范產(chǎn)能過剩及其所帶來的貸款風(fēng)險(xiǎn)具有重要意義。 本文首先通過歷史與邏輯相統(tǒng)一的方法對(duì)銀行貸款合成謬誤的概念進(jìn)行了界定，指出信息不完全下的銀行過度貸款就是貸款合成謬誤問題。然后，運(yùn)用DEA-Tobit兩步法分析了產(chǎn)能過剩和貸款的關(guān)系，首先用DEA法計(jì)算了我國(guó)制造業(yè)28個(gè)行業(yè)的產(chǎn)能利用率，計(jì)算結(jié)果顯示黑色金屬冶煉及延壓業(yè)、非金屬礦物制品業(yè)、化學(xué)原料及化學(xué)制品制造業(yè)、造紙制品業(yè)和化學(xué)纖維制造業(yè)等行業(yè)存在明顯的產(chǎn)能過�，F(xiàn)象。對(duì)產(chǎn)能利用率與行業(yè)貸款的Tobit回歸分析顯示，產(chǎn)能利用率與貸款存在倒U型關(guān)系，即在產(chǎn)能過剩的形成過程中存在貸款過度現(xiàn)象。進(jìn)一步的分析指出，產(chǎn)能過剩形成過程中的貸款過度就是貸款合成謬誤問題。 為了深入探究貸款合成謬誤問題的成因，本文運(yùn)用序貫博弈模型對(duì)銀行的貸款行為進(jìn)行分析，分析結(jié)果顯示信息不完全是貸款合成謬誤問題發(fā)生的重要原因，，實(shí)證分析也支持了這一結(jié)論。 貸款合成謬誤問題本質(zhì)上是由信息不完全導(dǎo)致的市場(chǎng)不完全。因此，完善企業(yè)和銀行的信息披露機(jī)制，發(fā)揮政府的總量信息優(yōu)勢(shì)和引導(dǎo)市場(chǎng)預(yù)期的能力，對(duì)行業(yè)貸款提出第二支柱的資本要求，開展基于行業(yè)特征的宏觀壓力測(cè)試，加強(qiáng)金融監(jiān)管機(jī)構(gòu)與宏觀調(diào)控部門間的協(xié)調(diào)等措施有助于緩解銀行貸款合成謬誤問題以及由此導(dǎo)致的產(chǎn)能過剩和貸款風(fēng)險(xiǎn)。
[Abstract]:At present, overcapacity poses a huge risk to banks. At the 2014 national banking regulatory work meeting, the CBRC proposed the need to focus on preventing the risk of overcapacity loans. The related research points out that the "surge phenomenon" in investment is the main cause of overcapacity, and the "surge phenomenon" is essentially an overinvestment caused by incomplete information, which is a kind of synthetic fallacy in investment. There is also a compositional fallacy in the financial system, which is a prudent and reasonable act for a single bank, and could destabilize the entire financial system if it becomes the collective action of the banks. Therefore, it is of great significance to study whether there is a loan composition fallacy in the process of the formation of overcapacity, which is of great significance to prevent overcapacity and the loan risk brought by it. This paper first defines the concept of bank loan synthesis fallacy by means of the unification of history and logic, and points out that bank over-lending under incomplete information is the problem of loan composition fallacy. Then, the relationship between overcapacity and loan is analyzed by using DEA-Tobit two-step method. Firstly, the capacity utilization ratio of 28 industries in China's manufacturing industry is calculated by DEA method. The results show that ferrous metal smelting and press industry, non-metallic mineral products industry, and so on. There are obvious overcapacity in chemical raw material and chemical products manufacturing, papermaking and chemical fiber manufacturing. The Tobit regression analysis of capacity utilization ratio and industry loan shows that there is an inverted U-shaped relationship between capacity utilization ratio and loan, that is, there is an over-loan phenomenon in the forming process of overcapacity. Further analysis points out that the excessive loan in the process of overcapacity formation is the problem of loan composition fallacy. In order to probe into the causes of loan composition fallacy, this paper analyzes the loan behavior of banks by sequential game model, and the results show that the incomplete information is an important reason for the occurrence of loan composition fallacy. The empirical analysis also supports this conclusion. The problem of loan composition fallacy is essentially an incomplete market caused by incomplete information. Therefore, we should improve the information disclosure mechanism of enterprises and banks, give full play to the advantages of the government's aggregate information and the ability to guide market expectations, put forward the capital requirements of the second pillar of industry loans, and carry out macro-stress tests based on industry characteristics. Measures such as strengthening coordination between financial regulators and macro-regulatory departments will help to alleviate the fallacy of bank loan composition and the resulting overcapacity and loan risks.
【學(xué)位授予單位】：湖南大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2014
【分類號(hào)】：F224;F832.4

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