银行信贷顺周期性产生机制及其逆周期调控  

On Pro-cyclicality Mechanism of Banking Credit and its Counter-cycle Regulation

作　　者：刘志洋[1] 

机构地区：[1]中国人民大学财政金融学院,北京100872

出　　处：《现代财经（天津财经大学学报）》2013年第6期12-22,共11页Modern Finance and Economics：Journal of Tianjin University of Finance and Economics

基　　金：中国人民大学科学研究基金(中央高校基本科研业务费专项资金资助)项目(13XNH007)

摘　　要：本文运用局部均衡分析方法构建理论模型,研究了银行信贷顺周期性的根源,从微观的风险偏好视角证明银行在放大经济周期中的角色。之后,选择中国14家上市商业银行作为样本,对我国商业银行信贷与宏观经济因素之间的交互关系进行分析,表明中国商业银行信贷具有显著的顺周期性,银行自身供给因素在顺周期性中占据主要位置。在此基础上,再次运用局部均衡分析方法构建理论模型,从微观的角度研究了监管当局对资产风险权重和资本充足率进行的逆周期调控对银行信贷风险资产结构的影响,并为监管当局如何进行逆周期调控提出了政策建议。In this paper, by using partial equilibrium method and establishing theoretical model, I make an analysis on the root of pro-eyelicality of banking credit, and from the perspective pf micro risk preference, it shows the role of banks playing in enlarging the economic cycle. Then, I choose 14 listed commercial banks as the sample, and make an analysis on the relationship between eom- mercia1 bank＇s credit and macro economie factors. It shows that commercial banks in China has an obvious pro-cyclicality, and banks＂ own supply factors take a main place in pro-eyelieality. Based on it, I use partial equilibrium method and theoretical model again, and make an analysis on the effect of counter-cycle control for asset risk weight and capital adequacy ratio by supervision authority on banking credit risk asset structure. And also provide policy and suggestion for supervision authority ＇s counter-cycle control.

关 键 词：顺周期性 逆周期调控 资产风险权重 资本充足率 宏观审慎监管 

分 类 号：F830.2[经济管理—金融学]