信贷风险、监管约束与银行最优行为  

Credit Risk,Regulation Requirement,and Bank Optimal Behaviors

作　　者：陈龙腾[1] 何建勇[1] 

机构地区：[1]厦门大学金融系

出　　处：《经济评论》2010年第4期5-15,33,共12页Economic Review

基　　金：国家社科重大项目"扩大国内需求的宏观经济政策研究"(批准号08&ZD034);教育部人文社科专项项目"资产替代的宏观经济效应与货币政策对策"(批准号07JD790007)的阶段性成果

摘　　要：本文在观察到中国银行业信贷膨胀背景下几个典型事实后,基于国内外巴塞尔协议与银行行为的研究成果,通过在C-C模型的基础上植入信贷风险和存贷比约束进行了两个方面的拓展。在这个新的理论框架下,我们不仅分析了资本松约束和资本紧约束下银行的最优行为,同时也研究了银行资本的决定因素。我们发现,外部融资成本的增加、惩罚力度的加大、存贷比要求的提高、贷款边际成本的上升以及垄断势力的强化,都将使得银行资本量趋于下降,但各个变量具体的作用机制存在很大不同。更重要的是,逆周期性的信贷损失和凸形的惩罚函数具有双重强化银行资本顺周期性特征,法定最低资本充足要求的提高,只有在满足特定条件下,才可能带来银行实际资本的增加。通过对银行信贷膨胀机理的深入解析,本文为有关政策抉择提供了某种理论依据。By observing some typical facts in the background of the credit expansion in China＇ s banking sector, based on existing researches on the relationship between Basel Agreement and bank optimal behaviors, this paper extends the C - C model in two aspects introducing both loan - to - deposit ratio requirement and credit risk. In this new theoretical framework, we not only analyze bank optimal behaviors under the binding regulatory capital requirement （ B - CR） and non - binding （ NB - CR） , but also examine the determinants of bank capital. We find the enhancement of five factors including external financing cost,punishment,deposit - to - loan ratio requirement, margin cost of lending, and monopolistic power will decrease the bank capital, but the functioning mechanism of each variable is quite different. More importantly, we prove that the count - cyclical credit risk and convex punishment function doubly strengthen the pro - cyclicality of the bank capital. Only when certain special conditions are satisfied can the increase in the minimum capital adequacy ratio lead to the increase in the real bank capital.

关 键 词：信贷风险 监管约束 银行资本 顺周期性 

分 类 号：F832.4[经济管理—金融学]