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  本文關鍵詞：資本監(jiān)管對銀行信貸的非對稱影響研究　出處：《湖南大學》2012年碩士論文　論文類型：學位論文

  更多相關文章： 資本監(jiān)管 銀行信貸 非對稱效應 經(jīng)濟周期 貨幣政策

【摘要】：本文將資本監(jiān)管對信貸的非對稱效應分為直接和間接兩種，從非對稱效應的角度研究資本監(jiān)管對銀行信貸的影響。文章分析在不同經(jīng)濟周期和不同方向貨幣政策下，資本監(jiān)管對銀行信貸的影響，以及資本監(jiān)管影響貨幣政策對信貸的調(diào)控程度，得到理論分析的結論：資本監(jiān)管壓力會抑制銀行信貸增長，這種抑制作用的強度在經(jīng)濟蕭條時期大于在經(jīng)濟繁榮時期，形成資本監(jiān)管的直接非對稱效應；資本監(jiān)管壓力還會影響貨幣政策對銀行信貸的效果，資本監(jiān)管的存在使得擴張性貨幣政策難以刺激信貸增長，但使得緊縮性貨幣政策能更有效地阻礙信貸過快增長，形成資本監(jiān)管的間接非對稱效應。 在此基礎上，本文從我國商業(yè)銀行資本充足率、貸款增長率、貨幣政策三者之間的直觀關系，結合我國資本監(jiān)管的情況和經(jīng)濟周期的變化，得到了資本監(jiān)管對信貸非對稱影響的初步證據(jù)。 進一步地，本文搜集整理了我國16家上市商業(yè)銀行和宏觀經(jīng)濟2004年1季度-2012年1季度的相關季度數(shù)據(jù)，構建樣本銀行整體、高資本充足率銀行和低資本充足率銀行三個非平衡面板回歸模型，對理論分析結論進行定量檢驗，結果表明：（1）資本監(jiān)管壓力上升導致貸款增長率下降，且下降的幅度在經(jīng)濟蕭條時更大，驗證了資本監(jiān)管的直接非對稱效應。但是高資本充足率銀行中直接非對稱效應不顯著。（2）由于資本監(jiān)管的存在，使得央行在上調(diào)利率時，信貸下降更多；央行在下調(diào)利率時，信貸上升減少，驗證了資本監(jiān)管的間接非對稱效應。低資本充足率銀行的間接非對稱效應最大。（3）資本監(jiān)管壓力的直接非對稱效應還可以加劇銀行信貸順周期性；資本監(jiān)管壓力的間接非對稱效應則會強化不同方向貨幣政策對信貸調(diào)控效果的非對稱性，使擴張性貨幣政策刺激信貸增長更加乏力。 由理論和實證的結果，，本文提出建立全周期的評級模型和逆周期變動的資本充足率標準，調(diào)整不同方向貨幣政策的力度，商業(yè)銀行應努力提高自身資本充足率等對策建議。
[Abstract]:This paper divides the asymmetric effect of capital supervision on credit into direct and indirect. This paper studies the effect of capital supervision on bank credit from the perspective of asymmetric effect. This paper analyzes the impact of capital supervision on bank credit under different economic cycles and different directions of monetary policy. And the capital supervision influence the monetary policy to the credit regulation degree, obtains the theoretical analysis conclusion: the capital supervision pressure will restrain the bank credit growth. The intensity of this inhibition is greater in the economic depression than in the economic boom, forming the direct asymmetric effect of capital supervision; The pressure of capital supervision will also affect the effect of monetary policy on bank credit. The existence of capital supervision makes it difficult for expansionary monetary policy to stimulate credit growth. However, the contractionary monetary policy can effectively hinder the rapid growth of credit and form the indirect asymmetric effect of capital supervision. On this basis, this article from our country commercial bank capital adequacy ratio, the loan growth rate, the monetary policy three visual relations, unifies our country capital supervision situation and the economic cycle change. A preliminary evidence of the asymmetric impact of capital regulation on credit has been obtained. Further, this paper collects and collates the relevant quarterly data of 16 listed commercial banks and macroeconomic in the first quarter of 2004 to 2012, and constructs the sample bank as a whole. Three non-equilibrium panel regression models of high capital adequacy banks and low capital adequacy banks are used to quantitatively test the conclusions of theoretical analysis. The results show that the rise of capital supervision pressure leads to the decline of loan growth rate. And the extent of the decline in the economic depression is even greater, which verifies the direct asymmetric effect of capital supervision. However, the direct asymmetric effect in banks with high capital adequacy ratio is not significant because of the existence of capital supervision. So that the central bank in the interest rate increase, the credit decline more; As the central bank cut interest rates, credit rose and fell. The indirect asymmetric effect of capital supervision is verified. The indirect asymmetric effect of banks with low capital adequacy ratio is the largest. (3) the direct asymmetric effect of capital supervision pressure can also aggravate the pro-cyclicality of bank credit; The indirect asymmetric effect of capital supervision pressure will strengthen the asymmetry of the effect of different monetary policies on credit regulation and control and make the expansionary monetary policy stimulate the credit growth more feebly. Based on the theoretical and empirical results, this paper proposes the establishment of a full-cycle rating model and counter-cyclical capital adequacy standards to adjust the dynamics of monetary policy in different directions. Commercial banks should strive to improve their own capital adequacy ratio and other countermeasures.
【學位授予單位】：湖南大學
【學位級別】：碩士
【學位授予年份】：2012
【分類號】：F832.4;F832.5

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