上市银行资本缓冲周期性对信贷行为影响的研究

发布时间：2018-06-05 14:54

本文选题：资本缓冲 + 周期性　；参考：《南京财经大学》2016年硕士论文

【摘要】：2008年次贷危机引起了人们对银行监管的反思,减少银行信贷顺周期性、增强银行经营的稳健性对我国经济的平稳发展具有现实意义,巴塞尔协议Ⅲ明确提出逆周期资本缓冲机制,以及《商业银行经营管理办法》的实施标志着我国资本监管由软约束向硬约束转化,随着该办法的实施,资本缓冲对银行信贷行为的影响效果也越来越明显。虽然学术界关于资本缓冲的周期性研究较多,但在不同经济周期下关于银行资本缓冲对信贷行为影响的研究较少,对此类问题的探讨与研究有助于监管当局合理运用资本缓冲的调节机制。本文主要采用理论分析和实证研究相结合的方法,研究不同经济周期下我国上市银行资本缓冲对其信贷行为的影响。结合国内外相关研究,文章首先介绍资本缓冲周期性对信贷行为影响的理论分析,其次是介绍资本缓冲对信贷行为影响机理;在实证研究方面,文章使用单步GMM估计方法并选取我国16家上市银行2004-2014年的数据进行实证研究"分子"和"分母"效应下资本缓冲周期性,并在全样本银行、不同资本充足率银行、不同类型银行视角下,分别研究资本缓冲对信贷增速、存款利率溢价以及贷款利率溢价的影响。实证结果表明:第一,上市商业银行资本缓冲与经济周期具有明显的正相关关系,并且我国上市银行资本缓冲主要是通过分子行为建立起来的。第二,加入不同产权性质的银行后,由于政府在国有商业银行中起着股权绝对控制地位与具有灵活的股利分配政策,国有银行的资本缓冲逆周期性特征更加明显。第三,资本充足率较低的银行更多的是通过信贷扩张的方式减少资本资本充足率至监管部门最低要求,通过调整分母效应来影响资本缓冲逆周期的特点比较明显。第四,考虑资本缓冲与经济周期交互效应时,近年来我国信贷增长率具有明显的逆周期特征,资本缓冲抑制信贷增速的效果明显。第五,经济上行时,商业银行的贷款利率溢价的提高会抑制实体经济对贷款的需求,而在经济下行时,商业银行的贷款利率溢价降低。第六,增加银行资本缓冲会降低银行的存款的成本,从而会降低存款利率溢价,资本缓冲总体上能弱化商业银行存款利率溢价的亲周期性。最后是本文的政策建议,先从资本缓冲与经济周期关系的角度提出政策建议,包括拓宽银行融资渠道,推进国家金融安全网建设,加强银行杠杆率监管,建立前瞻性的动态拨备制度。其次是从资本缓周期性与信贷行为关系角度提出政策建议,主要包括合理协调货币政策与监管目标,改变公允价值计量方法,拓宽银行盈利渠道以及加强信贷结构管理。
[Abstract]:The subprime mortgage crisis in 2008 has caused people to reflect on the bank supervision, to reduce the bank credit procyclicality, to enhance the stability of the bank management has realistic significance for the steady development of our country's economy. Basel III clearly puts forward the countercyclical capital buffer mechanism and the implementation of the Commercial Bank Management measures marks the transition of capital supervision from soft constraint to hard constraint in China, with the implementation of this method. The effect of capital buffer on bank credit behavior is more and more obvious. Although there are more studies on the periodicity of capital buffering in academic circles, there is little research on the impact of bank capital buffer on credit behavior under different economic cycles. The discussion and research of this kind of problem is helpful to the regulatory mechanism of capital buffering. This paper mainly uses the method of theoretical analysis and empirical research to study the impact of capital buffering on the credit behavior of listed banks in China under different economic cycles. Combined with domestic and foreign relevant research, this paper first introduces the theoretical analysis of the impact of capital buffer periodicity on credit behavior, and then introduces the mechanism of capital buffer on credit behavior. Using one-step GMM estimation method and data of 16 listed banks in China from 2004 to 2014, this paper makes an empirical study on capital buffer periodicity under the effects of "molecule" and "denominator", and at all sample banks, banks with different capital adequacy ratios. From the perspective of different types of banks, the effects of capital buffering on credit growth, deposit interest rate premium and loan interest rate premium are studied. The empirical results show that: first, capital buffers of listed commercial banks are positively correlated with the economic cycle, and capital buffers of listed banks in China are mainly established by molecular behavior. Second, after joining the banks with different property rights, the capital buffer countercyclical characteristic of state-owned banks is more obvious because the government has the absolute controlling position of equity and the flexible dividend distribution policy in state-owned commercial banks. Third, the banks with low capital adequacy ratio reduce the capital adequacy ratio to the lowest requirement by credit expansion, and adjust the denominator effect to influence the capital buffer reverse cycle. Fourthly, considering the interaction between capital buffer and economic cycle, the credit growth rate of our country has obvious counter-cyclical characteristics in recent years, and the effect of capital buffer on restraining credit growth rate is obvious. Fifth, when the economy is on the upswing, the increase in the loan interest rate premium of commercial banks will restrain the demand for loans in the real economy, while in the economic downturn, the loan interest rate premium of commercial banks will decrease. Sixth, increasing bank capital buffers will reduce the cost of deposits, thus reducing deposit interest rate premiums. Capital buffers can generally weaken the pro-cyclical nature of deposit interest rate premiums in commercial banks. Finally, the policy recommendations of this paper are put forward from the perspective of the relationship between capital buffer and economic cycle, including broadening the financing channels of banks, promoting the construction of national financial safety net, and strengthening the regulation of bank leverage ratio. Establish a proactive dynamic provisioning system. The second part is to put forward policy suggestions from the angle of the relationship between the slow periodicity of capital and credit behavior, mainly including the reasonable coordination of monetary policy and regulatory objectives, the change of fair value measurement method, the widening of bank profit channels and the strengthening of credit structure management.
【学位授予单位】：南京财经大学
【学位级别】：硕士
【学位授予年份】：2016
【分类号】：F832.33

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