【摘要】：商業(yè)銀行作為重要的經(jīng)濟主體向來都是各界關注的重點，而頻發(fā)的金融危機使得商業(yè)銀行貸款順周期性成為最新的關注焦點。為了保證商業(yè)銀行的穩(wěn)定經(jīng)營，金融業(yè)的良好秩序以及宏觀經(jīng)濟的平穩(wěn)發(fā)展，有必要弄清商業(yè)銀行貸款是否受經(jīng)濟周期的影響、影響程度有多大和如何控制商業(yè)銀行貸款的順周期性。 本文在先前國內(nèi)外相關研究的基礎上致力于中國商業(yè)銀行貸款順周期性存在與否和其影響因素的研究。首先，對商業(yè)銀行貸款順周期性進行了理論分析。其次，依據(jù)中國經(jīng)濟周期和貸款周期的歷年表現(xiàn)和現(xiàn)狀對中國的商業(yè)銀行貸款順周期性做了定性分析。再次，選擇了恰當?shù)臉颖�、計量模型和計量方法對中國商業(yè)銀行貸款順周期性進行了實證分析。文章選取了格蘭杰因果檢驗來驗證中國商業(yè)銀行貸款順周期性的存在，選取多元回歸模型來檢驗宏觀經(jīng)濟影響因素對商業(yè)銀行貸款順周期性的影響程度，選取動態(tài)面板回歸模型檢驗商業(yè)銀行微觀因素對貸款順周期性的影響程度。最后，根據(jù)具體的分析結果，為控制中國商業(yè)銀行貸款順周期性提出了具體的建議。 研究結果表明中國商業(yè)銀行存在明顯的商業(yè)銀行貸款順周期性。在經(jīng)濟的上行區(qū)間，由于抵押品價格上升，借款人資信狀況變好，商業(yè)銀行對借款人的前景叫樂觀，，因此會主動調(diào)整信貸政策，降低信貸標準，增加信貸供給。同時，商業(yè)銀行為了獲得更多收益以及保持自己的競爭地位，促使商業(yè)銀行增加貸款供給。然而，實踐表明，在經(jīng)濟上行期間，商業(yè)銀行會做出一些錯誤選擇，這些錯誤選擇帶來的問題會在經(jīng)濟開始下行時顯現(xiàn)。當經(jīng)濟開始下行時，借款人的財務狀況惡化，貸款的風險增加，商業(yè)銀行會縮減其信貸供給來保證其正常經(jīng)營。同時，對商業(yè)銀行的資本監(jiān)管的趨緊會導致商業(yè)銀行不得不減少貸款來滿足監(jiān)管要求。多元回歸模型和動態(tài)面板模型的分析結果表明中國商業(yè)銀行貸款順周期性的程度受到通貨膨脹水平、利率水平、貨幣供應量、準備金制度和資本金要求的影響。 在理論分析、定性分析和實證分析的基礎上，本文最后對控制中國商業(yè)銀行貸款順周期性提出了具體的建議。
[Abstract]:As an important economic subject, commercial banks have always been the focus of attention from all walks of life, and the frequent financial crisis makes the pro-cyclical loans of commercial banks become the latest focus of attention. In order to ensure the stable operation of the commercial banks, the good order of the financial industry and the steady development of the macro economy, it is necessary to make clear whether the loans of commercial banks are affected by the economic cycle. The degree of influence and how to control the pro-cyclical commercial bank loans. On the basis of previous studies at home and abroad, this paper is devoted to the study of the existence of pro-cyclicality of Chinese commercial bank loans and its influencing factors. First of all, the commercial bank loan pro-cyclical theoretical analysis. Secondly, according to the performance and present situation of China's economic cycle and loan cycle, this paper makes a qualitative analysis of the pro-cyclicality of Chinese commercial bank loans. Thirdly, we choose the appropriate sample, econometric model and measurement method to analyze the pro-cyclicality of Chinese commercial bank loans. This paper selects Granger causality test to verify the existence of pro-cyclicality of Chinese commercial bank loans, and selects the multiple regression model to test the degree of influence of macroeconomic factors on the pro-cyclicality of commercial bank loans. The dynamic panel regression model is selected to test the influence of microcosmic factors on loan procyclicality of commercial banks. Finally, according to the concrete analysis results, some concrete suggestions are put forward to control the procyclicality of Chinese commercial bank loans. The results show that China's commercial banks have obvious pro-cyclical loans. In the upward range of the economy, because the collateral price rises, the borrower's credit condition becomes better, the commercial bank is optimistic about the borrower's future, therefore, will adjust the credit policy, lower the credit standard, increase the credit supply. At the same time, in order to gain more income and maintain their competitive position, commercial banks are urged to increase the supply of loans. However, practice has shown that during the economic upswing, commercial banks will make some wrong choices, and the problems caused by these mischoices will become apparent at the beginning of the economic downturn. As the economy begins to decline, borrowers' financial health deteriorates, lending risks increase, and commercial banks reduce their credit supply to ensure their normal operations. At the same time, the tightening of capital supervision of commercial banks will result in commercial banks having to reduce loans to meet the regulatory requirements. The results of multiple regression model and dynamic panel model show that the degree of procyclicality of Chinese commercial bank loans is influenced by inflation level, interest rate level, money supply, reserve system and capital requirement. On the basis of theoretical analysis, qualitative analysis and empirical analysis, this paper finally puts forward some concrete suggestions to control the pro-cyclicality of Chinese commercial bank loans.
【學位授予單位】：山西財經(jīng)大學
【學位級別】：碩士
【學位授予年份】：2013
【分類號】：F832.4

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