银行资本缓冲、信贷行为与宏观经济波动——来自中国银行业的经验证据  

Research on Bank Capital Buffers,Credit Behaviors and Macro-economic Fluctuations——Evidence from China's Banking Industry

作　　者：黄宪[1,2] 熊启跃[1] 

机构地区：[1]武汉大学经济与管理学院 [2]武汉大学银行管理研究所

出　　处：《国际金融研究》2013年第1期52-65,共14页Studies of International Finance

基　　金：国家社会科学基金重大项目"完善我国宏观金融调控研究"(项目编号:12&ZD046);国家自然科学基金面上项目"货币政策银行资本渠道"(项目编号:71073113)阶段性研究成果

摘　　要：增强银行经营的稳健性、减少银行信贷行为的亲周期效应对实体经济带来的负面影响,对我国经济的平稳发展具有重要现实意义。本文在对理论文献进行系统梳理和经济学分析的基础上,对宏观经济波动下我国银行业资本缓冲调整行为特征、资本缓冲对宏观经济波动产生影响的传导效应进行了理论分析,并利用2000-2010年我国45家商业银行的年度非平衡面板数据,对该问题分析提出的相关理论假说进行了实证检验。实证结果表明:(1)我国银行资本缓冲与宏观经济波动之间呈现正相关关系,这有别于世界主要市场经济国家银行业资本缓冲与经济波动两者之间的负相关关系;①(2)我国银行业资本缓冲在经济周期上升期的提高主要是通过增加资本金②或权益的方式实现的;(3)我国银行信贷增速呈现出有悖其他市场经济国家的逆周期特征,资本缓冲与经济周期的正相关关系强化了银行信贷增速的逆周期特征;(4)资本缓冲会显著降低银行的存款溢价,而其对贷款溢价的影响并不明显;(5)资本缓冲对存款溢价的削弱作用更多地出现在经济下行阶段,而其对贷款溢价的影响效应在不同经济周期并未呈现显著差别。It is of great significance for China＇s economy to enforce the robustness of bank sector and alleviate the negative influences of their pro-cyclical lending behaviors. Based on detailed literature review and economic analysis, this paper analyzes the bank＇ s capital buffer adjustments under fluctuations of macro-economy, the channels through which the capital buffers may affect the macro-economy, conducts corresponding empirical tests by use of an unbalanced panel of 45 banks from year 2000 to 2010. The results show that in China, （1） the bank ＂capital buffer＂ shows a positive relationship with the fluctuations of macro-economy; （2） the capital buffers are mainly built up through increasing the bank capital or net worth during economic upturns; （3） the credit growth of China＇s banking sector takes on a counter-cyclical behavior which is not in line with the rule of main market economies, capital buffer adjustments help to enforce the counter-cyclical behavior of credit growth; （4） capital buffer could significantly reduce the deposit premium, while its effects on loan premium are not decisive; （5） the decreasing effects of capital buffer on deposit premium works better during economic downturus, and its effects on loan premium does not show significant differences in fluctuations of business cycles.

关 键 词：资本缓冲 信贷增速 存款 贷款利率溢价 宏观经济波动 

分 类 号：F831[经济管理—金融学]