本文關(guān)鍵詞： 貨幣政策沖擊 商業(yè)銀行信貸資產(chǎn) 總量與期限結(jié)構(gòu) 結(jié)構(gòu)向量自回歸模型 隨機(jī)波動時變參數(shù)自回歸模型　出處：《湖南大學(xué)》2016年博士論文　論文類型：學(xué)位論文

【摘要】：2009年后,全球大部分國家一直籠罩在次貸金融危機(jī)帶來的陰影下,世界經(jīng)濟(jì)似乎也因此而一蹶不振。為了扭轉(zhuǎn)經(jīng)濟(jì)下行局面,各國央行紛紛采取如下調(diào)利率、提供常備借貸便利等一系列寬松的貨幣政策行動,其中隱含的貨幣政策沖擊對全球經(jīng)濟(jì)的復(fù)蘇起到了一定的積極作用。與全球發(fā)展趨勢相同,“新常態(tài)”時期,我國經(jīng)濟(jì)下行壓力不容小覷。為了引導(dǎo)貨幣信貸和社會融資規(guī)模平穩(wěn)適度增長,促進(jìn)“新常態(tài)”下經(jīng)濟(jì)健康平穩(wěn)運行,中國人民銀行不斷進(jìn)行寬松的貨幣政策調(diào)整�？梢�,貨幣政策在宏觀經(jīng)濟(jì)調(diào)控中仍然占據(jù)重要地位,貨幣政策沖擊的宏觀經(jīng)濟(jì)影響作用顯著。因此,相對于包括我國在內(nèi)的各國央行來說,是否真的通過貨幣政策沖擊達(dá)到了調(diào)整信貸規(guī)模與結(jié)構(gòu)的預(yù)期效果、效果怎樣,需要更準(zhǔn)確、更細(xì)致的深入研究。本文通過搭建“理論架構(gòu)→現(xiàn)狀剖析→實證分析→策略選擇”的邏輯框架,研究貨幣政策沖擊對我國商業(yè)銀行信貸資產(chǎn)的影響,具有“完善貨幣政策”以及“強(qiáng)化商業(yè)銀行信貸資產(chǎn)管理”的雙重作用。具體思路為:首先,在界定貨幣政策沖擊內(nèi)涵并介紹相關(guān)理論的前提下,從渠道和路徑兩個方面著手,深入剖析貨幣政策沖擊影響我國商業(yè)銀行信貸資產(chǎn)的內(nèi)在機(jī)理;其次,結(jié)合經(jīng)濟(jì)背景,對我國貨幣政策操作框架、體現(xiàn)我國貨幣政策沖擊變動的我國貨幣政策工具的變動情況、我國商業(yè)銀行信貸資產(chǎn)變動情況進(jìn)行現(xiàn)實考察;再次,結(jié)合計量經(jīng)濟(jì)學(xué)、數(shù)量經(jīng)濟(jì)學(xué)等學(xué)科的最新發(fā)展,從識別指標(biāo)、識別策略以及識別模型三個層次,詳細(xì)研究貨幣政策沖擊的識別問題;最后,在對我國貨幣政策沖擊識別的基礎(chǔ)上,研究其對我國商業(yè)銀行信貸資產(chǎn)信貸資產(chǎn)總量及期限結(jié)構(gòu)的影響,并最終結(jié)合理論與實證研究成果,從貨幣當(dāng)局角度出發(fā),為完善貨幣政策的制定、傳導(dǎo)與實施提供策略選擇。理論準(zhǔn)備方面:首先,將貨幣政策沖擊定義為貨幣政策變動中,對宏觀經(jīng)濟(jì)狀況響應(yīng)之外的部分政策變動。沖擊可能來源于貨幣當(dāng)局政策偏好的外生變動、貨幣當(dāng)局的策略性考慮以及技術(shù)因素等方面。貨幣政策與貨幣政策沖擊是包含與被包含的關(guān)系,貨幣政策包含貨幣政策沖擊,貨幣政策沖擊不能獨立于貨幣政策而存在。本文也是從貨幣政策出發(fā),來研究貨幣政策沖擊的。其次,在論證貨幣政策是外生且短期有效的同時,從商業(yè)銀行信貸資產(chǎn)的調(diào)整配置行為入手,分別分析資產(chǎn)組合理論、不完全市場理論、信息不對稱理論、有限理性理論。最后,從渠道和路徑兩個方面,對我國貨幣政策沖擊影響商業(yè)銀行信貸資產(chǎn)的機(jī)理進(jìn)行分析�，F(xiàn)實考察方面:首先,自中國人民銀行正式開始行使中央銀行職能以來,我國的貨幣政策發(fā)展主要經(jīng)歷了以直接信貸規(guī)模調(diào)控為目標(biāo)的階段、以存款準(zhǔn)備金為主要工具的階段、向資產(chǎn)負(fù)債表管理傾斜的階段三個主要階段。其次,貨幣政策工具中,貨幣供應(yīng)量的總體規(guī)模呈現(xiàn)出穩(wěn)步快速上增長的趨勢、增長速度經(jīng)歷了一個從平穩(wěn)到快速上升又快速下降的過程。金融機(jī)構(gòu)不同期限存貸款基準(zhǔn)利率以及銀行間市場利率呈現(xiàn)出同步變化的趨勢,均經(jīng)歷了穩(wěn)步緩慢上升、快速上升、快速下降最后相對平穩(wěn)的變動過程。最后,我國商業(yè)銀行信貸資產(chǎn)總量穩(wěn)步增長,期限結(jié)構(gòu)長期化,且其增長率的變動與貨幣政策工具增長率的變動存在同步性特征。實證分析方面,通過結(jié)構(gòu)向量自回歸與隨機(jī)波動時變參數(shù)向量自回歸模型的結(jié)合使用,發(fā)現(xiàn):第一,我國貨幣政策沖擊對我國商業(yè)銀行信貸資產(chǎn)總量以及短期貸款、長期貸款的影響均存在結(jié)構(gòu)遷移效應(yīng);第二,我國貨幣政策的短期調(diào)整效果較好,而缺乏長期的持續(xù)性影響;第三,我國數(shù)量型貨幣政策沖擊對商業(yè)銀行信貸總量的調(diào)整效果強(qiáng)于價格型貨幣政策沖擊,特別是對中小型商業(yè)銀行的調(diào)整效果在持續(xù)時間和強(qiáng)度上,都明顯強(qiáng)于大型商業(yè)銀行;第四:數(shù)量型貨幣政策沖擊對長期貸款的影響程度大、持續(xù)時間長,價格型貨幣貨幣政策沖擊對短期貸款的影響程度大、持續(xù)時間長;第五,不同規(guī)模的商業(yè)銀行之間,信貸資產(chǎn)總量也會產(chǎn)生相互促進(jìn)作用,且大型商業(yè)銀行對中小型商業(yè)銀行信貸的促進(jìn)作用程度較強(qiáng);第六,我國數(shù)量型貨幣政策沖擊還不具備水平效應(yīng),也即需要通過政策中間變量,間接調(diào)節(jié)和刺激產(chǎn)出。最后,在規(guī)范分析與實證分析的基礎(chǔ)上,基于我國商業(yè)銀行信貸資產(chǎn)對貨幣政策沖擊的響應(yīng)模式,從“完善貨幣政策”的角度出發(fā),對于貨幣當(dāng)局,從差異化貨幣政策調(diào)控機(jī)制、疏通貨幣政策傳導(dǎo)渠道、改進(jìn)貨幣政策中介目標(biāo)、注重與商業(yè)銀行監(jiān)管政策的協(xié)調(diào)配合四個方面提出對策建議。本文研究成果兼具理論性與實用性,在理論上貢獻(xiàn)是較為明確的從文字上界定了貨幣政策沖擊,并對其如何識別進(jìn)行了系統(tǒng)全面的論述;在實踐上的貢獻(xiàn)是創(chuàng)新性地從貨幣政策沖擊角度,分析貨幣政策對商業(yè)銀行信貸資產(chǎn)的調(diào)控效果,豐富了貨幣政策有效性的相關(guān)研究成果,為貨幣當(dāng)局更好地制定執(zhí)行貨幣政策提供策略支持。
[Abstract]:After 2009, most of the countries in the world has been shrouded in the shadow of the subprime crisis, the world economy seems to have this in order to reverse the economic downturn situation. Unable to get up after a fall, such as central banks have cut interest rates, to provide convenient standing lending and a series of loose monetary policy actions, which implied the impact of monetary policy has certain positive role for the recovery of the global economy. The global development trend and the same, the "new normal" period, China's downtown pressure on the economy should not be underestimated. In order to guide monetary credit and social financing scale steady moderate growth, to promote the smooth operation of the new normal under the economic health of the people's Bank of Chinese continue to adjust monetary policy easing. Therefore, monetary policy still occupies an important position in macroeconomic regulation, the macroeconomic impact of monetary policy shocks significantly. Therefore, the package Including China, the central bank, whether through the impact of monetary policy to achieve the desired effect, adjust the scale and structure of credit effect how, the need for more accurate, more detailed in-depth study. In this paper, through the platform of "theoretical framework, analysis of the status quo, empirical analysis, logical framework, strategy selection, effects of monetary policy the impact of China's commercial bank credit assets, with" perfect monetary policy "and" the dual role of strengthening management of credit assets of commercial banks. The idea is as follows: first, the premise in the definition of monetary policy shocks in the culvert and introduces related theory, from two aspects of channel and path, in-depth analysis of the impact of monetary policy the intrinsic mechanism of credit assets of commercial banks in China; secondly, combined with the economic background of China's monetary policy framework, reflecting China's monetary policy impact change I The changes of monetary policy tools, makes an investigation in the credit assets of commercial banks in China; thirdly, combined with the latest development of econometrics and quantitative economics, from the identification index, the three level recognition strategy and recognition model, identify problems with research of monetary policy shocks; finally, based on the I the impact of monetary policy on the identification and study its impact on China's commercial bank credit assets total assets and credit term structure, and finally combined with the results of theoretical and empirical research, starting from the perspective of monetary authorities, for establishing monetary policy conduction, and provide theoretical preparation. The strategy choice: first, monetary policy the impact is defined as a change in monetary policy in response to changes in policy, part of the macroeconomic situation outside. The impact may be derived from exogenous changes in monetary policy preferences, monetary The authorities consider the strategic and technical factors. Monetary policy and monetary policy shocks are containing relation, monetary policy includes monetary policy shocks, monetary policy shocks can not be independent of monetary policy exists. The paper is also starting from the monetary policy, to study the impact of monetary policy. Secondly, in the demonstration of monetary policy is exogenous and short-term effect at the same time, starting from the adjustment of allocation behavior of commercial bank credit assets, respectively, analysis of portfolio theory, incomplete market theory, asymmetric information theory, the theory of bounded rationality. Finally, from the two aspects of channel and path, the mechanism of the credit assets of commercial banks of China's monetary policy shocks are analyzed. The reality: first, since the people's Bank of Chinese started to exercise the functions of the central bank monetary policy, the development of our country mainly experienced by direct credit The scale of regulation as the goal of the stage, with the deposit reserve as the main tool, to balance sheet management tilt stage three main stages. Secondly, the monetary policy tools, the overall size of the money supply showing a steady rapid growth trend, the growth rate experienced a rapid rise to a rapid and stable from the process of decline. Financial institutions of different term loans to keep the benchmark interest rate and the inter-bank market interest rate trend shows synchronous changes, have experienced a steady slow rise, rapid rise, rapid decline finally relatively stable change process. Finally, the steady growth of credit assets of commercial banks in our country, the term structure of the long-term, changes and currency the policy tools and the growth rate of the growth rate changes in synchronism. Through empirical analysis, structural vector autoregression and random fluctuation of time-varying parameter vector autoregressive According to the model, found that: first, China's monetary policy impact on the total amount of China's commercial bank credit assets and short-term loans, the structure transfer effect has influence on long-term loan; second, good short-term adjustment effect of China's monetary policy, and the lack of sustained long-term effects; third, the number of monetary policy I the impact on the adjustment effect of total commercial bank credit in the price based monetary policy shocks, especially the adjustment effect of small and medium sized commercial banks in duration and intensity, is significantly stronger than the large commercial banks; Fourth: quantitative monetary policy impact on long-term loan levels, long duration, price the impact of monetary policy on short-term loans to the extent, lasted for a long time; fifth, between different scale commercial banks, the total amount of credit assets will have a mutual promotion, and large Commercial banks for small and medium-sized commercial banks to promote the role of credit degree is strong; sixth, the number of China's monetary policy shocks do not have the level effect, namely through policy variables, indirect regulation and stimulate output. Finally, on the basis of normative analysis and Empirical Analysis on the impact response model of China's commercial bank credit the assets of monetary policy based on starting from the "perfect monetary policy" point of view, for the monetary authorities, from the difference of monetary policy mechanism, clear the monetary policy transmission channels, improve the intermediate target of monetary policy, coordination and supervision of commercial banks pay attention to the coordination of policy suggestions in four aspects. The research results of this paper has theoretical and practical contribution in theory is clear from the text defines the impact of monetary policy, and the recognition of how to make a systematic and comprehensive discussion in practice; The contribution is to analyze the effect of monetary policy on credit assets of commercial banks from the perspective of monetary policy shocks, enrich the related research results of monetary policy effectiveness, and provide policy support for monetary authorities to better formulate monetary policy.

【學(xué)位授予單位】：湖南大學(xué)
【學(xué)位級別】：博士
【學(xué)位授予年份】：2016
【分類號】：F822.0;F832.4

【參考文獻(xiàn)】

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1 易曉n，

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