本文選題：親周期　切入點(diǎn)：商業(yè)銀行信貸　出處：《江西財(cái)經(jīng)大學(xué)》2013年碩士論文

【摘要】：2008年全球金融危機(jī)使人們重新審視金融系統(tǒng)的親周期性問題，許多學(xué)者認(rèn)為金融系統(tǒng)的親周期性是造成此次金融危機(jī)的主要原因之一。商業(yè)銀行是金融體系中最主要的組成部分，因此金融系統(tǒng)的親周期主要表現(xiàn)為商業(yè)銀行尤其是商業(yè)銀行信貸活動(dòng)的親周期性，即商業(yè)銀行的信貸行為會(huì)推動(dòng)經(jīng)濟(jì)周期的形成并加劇經(jīng)濟(jì)的周期性波動(dòng)。 造成商業(yè)銀行信貸親周期的原因有很多，既包括銀行信貸行為內(nèi)生性的原因，也包括監(jiān)管部門資本監(jiān)管的約束。根據(jù)新巴塞爾協(xié)議的規(guī)定，銀行的資本要求對經(jīng)濟(jì)周期具有較高的風(fēng)險(xiǎn)敏感性，因而加劇了商業(yè)銀行信貸的親周期效應(yīng)，放大了宏觀經(jīng)濟(jì)的波動(dòng)。金融危機(jī)后，各國加強(qiáng)了對系統(tǒng)性金融風(fēng)險(xiǎn)的防范，建立健全逆周期的宏觀審慎監(jiān)管制度框架已經(jīng)成為國際金融組織和各國關(guān)注的重點(diǎn)。2010年出臺(tái)的《巴塞爾協(xié)議Ⅲ》也對銀行資本監(jiān)管提出了更加嚴(yán)格的要求，并規(guī)定巴塞爾協(xié)議成員國必須在2013年1月1日起開始實(shí)施新的資本協(xié)議。在此背景下，我國也出臺(tái)了中國版的《巴塞爾協(xié)議Ⅲ》，強(qiáng)化了資本約束機(jī)制。同時(shí)研究表明我國商業(yè)銀行信貸行為具有親周期性特征，隨著我國資本監(jiān)管制度與國際接軌，資本約束的逐步加強(qiáng)，我國銀行信貸親周期性會(huì)受到怎樣的影響是值得關(guān)注的一個(gè)問題。 本文主要是對資本約束下我國商業(yè)銀行信貸親周期性進(jìn)行了相關(guān)研究，主要內(nèi)容分為四大部分： 第一部分是理論分析。首先對商業(yè)銀行信貸親周期性的定義進(jìn)行了闡述。然后從銀行自身和外部資本監(jiān)管兩個(gè)方面分析了銀行信貸親周期產(chǎn)生的原因，資本約束對銀行信貸親周期的影響主要通過資本要求、巴塞爾新資本協(xié)議和貸款損失撥備三個(gè)方面進(jìn)行了分析。 第二部分為我國資本約束和信貸親周期的現(xiàn)狀分析。首先回顧了我國資本監(jiān)管沿革，然后通過數(shù)據(jù)表和描述性統(tǒng)計(jì)對我國資本監(jiān)管和商業(yè)銀行信貸親周期性的現(xiàn)狀進(jìn)行了分析，分析表明我國商業(yè)銀行信貸存在親周期性特征，資本約束也助長了銀行信貸的親周期性。 第三個(gè)部分對資本約束下我國商業(yè)銀行信貸親周期性進(jìn)行了實(shí)證分析。資本約束對商業(yè)銀行信貸親周期的影響機(jī)制是通過兩個(gè)階段進(jìn)行的，首先資本約束對銀行信貸產(chǎn)生影響，然后銀行信貸作用于宏觀經(jīng)濟(jì)。因此本文實(shí)證研究包括兩個(gè)部分：首先，基于我國13家商業(yè)銀行1998-2011年的數(shù)據(jù)，采用面板模型研究了資本充足率對我國商業(yè)銀行信貸擴(kuò)張的影響，實(shí)證從整體上、分1998-2003年和2004-2011年兩個(gè)時(shí)期及分國有銀行和股份制銀行兩類銀行進(jìn)行了回歸�；貧w結(jié)果表明:資本監(jiān)管壓力對銀行信貸增長產(chǎn)生負(fù)效應(yīng)，且隨著2004年資本監(jiān)管改革，資本監(jiān)管的加強(qiáng)對銀行信貸的約束作用越來越大；資本約束對國有銀行和股份制銀行的信貸行為的影響也存在差異。然后實(shí)證分析了我國經(jīng)濟(jì)增長對信貸擴(kuò)張的影響，通過建立向量自回歸模型，并在模型的基礎(chǔ)上進(jìn)行協(xié)整檢驗(yàn)、Granger因果檢驗(yàn)、脈沖響應(yīng)函數(shù)等來進(jìn)行分析。實(shí)證結(jié)果表明，經(jīng)濟(jì)狀況與貸款規(guī)模呈現(xiàn)正向的長期穩(wěn)定關(guān)系，銀行貸款擴(kuò)張?jiān)诙唐趦?nèi)推動(dòng)經(jīng)濟(jì)增長，，我國商業(yè)銀行信貸存在親周期特征。 最后一個(gè)部分根據(jù)結(jié)論和我國實(shí)際情況，從銀行本身和逆周期宏觀審慎監(jiān)管兩個(gè)角度提出了建議。從商業(yè)銀行自身來說，要轉(zhuǎn)變商業(yè)銀行以信貸為主的盈利模式，拓展商業(yè)銀行資本金補(bǔ)充渠道。同時(shí)提出了建立我國逆周期政策和宏觀審慎監(jiān)管框架的建議，包括增強(qiáng)宏觀審慎意識(shí)、建立逆周期監(jiān)管政策機(jī)制、注重宏觀審慎工具和貨幣政策的配合使用及加強(qiáng)中央銀行和監(jiān)管部門的溝通和協(xié)調(diào)等，由此來防范系統(tǒng)性風(fēng)險(xiǎn)，維護(hù)整個(gè)金融系統(tǒng)的穩(wěn)定。
[Abstract]:In 2008 the global financial crisis make people re-examine the financial system procyclicality problem, many scholars believe that the procyclicality of the financial system is one of the main causes of the financial crisis. The commercial bank is the most important part of the financial system, the financial system procyclicality mainly for the commercial banks especially the credit activities of commercial banks the pro cyclical, namely the credit behavior of commercial banks will promote the formation of the economic cycle and exacerbate the cyclical fluctuations in the economy.
There are many reasons that cause the commercial bank credit procyclicality, both endogenous causes of bank credit behavior, including regulatory capital regulatory constraints. According to the new Basel accord, capital requirements for banks risk is more sensitive to the economic cycle, and exacerbated the procyclicality of commercial bank credit, enlarged the macro economic fluctuations. After the financial crisis, countries to strengthen the prevention of systemic financial risk and the establishment of the system of macro prudential regulatory framework and improve the counter cyclical.2010 has become the focus of international financial organizations and countries concerned issued "Basel accord" is put forward more strict requirements for bank capital regulation, and the provisions of Basel protocol members must begin to implement the new capital accord in January 1, 2013. Under this background, China has also introduced China version of < Basel 3 >, To strengthen the capital constraint mechanism. At the same time the research shows that the credit behavior of commercial banks in China has pro cyclical characteristics, with the development of China's capital regulatory system with international standards, the gradual strengthening of capital constraints, China's Bank Credit procyclicality will be what kind of impact is a problem worthy of attention.
This article is mainly about the relative research on the credit cycle of China's commercial banks under capital constraints. The main contents are divided into four parts.
The first part is the theoretical analysis. Firstly, the definition of procyclicality of commercial bank credit are expounded. Then it analyzes the reasons of bank credit procyclicality resulting from the two aspects of banks and external capital regulation, capital constraints on bank credit procyclicality mainly through capital requirements, analyzes three aspects of the new Basel capital and allowance for loan losses.
The second part is the analysis of the current situation of China's capital constraints and credit procyclicality. Firstly reviews the capital regulation in China history, analyses the current situation and then through the data tables and descriptive statistics of the pro cyclicality of capital regulation in China and the commercial bank credit, analysis shows that China's commercial bank credit has pro cyclical characteristics, capital constraints also contributed to the pro cyclicality of bank credit.
The empirical analysis of China's commercial bank credit to the pro cyclicality of the third parts of the capital constraints. The capital constraint is carried out through two stages on the influence mechanism of commercial bank credit procyclicality, first capital constraints affect the bank credit, and bank credit in the macro economy. Therefore this paper consists of two parts first, the data of 13 commercial banks in China based on 1998-2011 years of research, the impact of capital adequacy ratio on credit expansion of commercial banks in China by empirical panel model, on the whole, 1998-2003 years and 2004-2011 years of the two period and the state-owned banks and joint-stock banks two banks by regression regression results. Show that the pressure of capital regulation has a negative effect on bank credit growth, and with the 2004 capital regulatory reform, strengthen capital regulation on bank credit constraints more and more Large; influence of capital constraint on the credit behavior of state-owned banks and joint-stock banks are also differences. Then an empirical analysis of the impact of China's economic growth on credit expansion, through the establishment of vector autoregressive model and cointegration test on the basis of the model, Granger causality test, impulse response function analysis. The empirical results show that the economic situation and the loan scale showing a positive relationship between long-term stability, the expansion of bank loans to promote economic growth in the short term, China's commercial bank credit has pro cyclical characteristics.
Finally according to the conclusions and the actual situation of our country, put forward the suggestions from the two aspects of the bank itself and countercyclical macro prudential supervision. The commercial banks should change to commercial bank credit as the main profit model, expand the gold channels to supplement the capital of commercial banks. At the same time put forward the establishment of China's counter cyclical policies and the framework of macro prudential supervision suggestions, including enhancing macro Prudential consciousness, the establishment of a counter cyclical regulatory policy mechanism, with the focus on macro Prudential tools and the use of monetary policy and strengthen communication and coordination with central banks and regulatory authorities, so as to prevent systemic risk, maintain the stability of the whole financial system.

【學(xué)位授予單位】：江西財(cái)經(jīng)大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2013
【分類號(hào)】：F832.4;F224

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