广义信贷与商业银行利率定价——兼论宏观审慎评估体系  

On Generalized Credit and Interest Rate Pricing of Commercial Banks: Also on MPA, A Macro Prudential Assessment System

作　　者：范云朋 郑联盛[1] 胡滨[1] Fan Yunpeng;Zheng Liansheng;Hu Bin(Institute of Finance&Banking,Chinese Academy of Social Sciences,Beijing 100710,China)

机构地区：[1]中国社会科学院金融研究所,北京100710

出　　处：《征信》2022年第5期63-72,共10页Credit Reference

基　　金：国家社科基金重点项目(13AJY018);中国社会科学院创新工程A类项目(2018JRSA01)。

摘　　要：2016年中国人民银行出台宏观审慎评估体系(MPA),将广义信贷作为重要的宏观审慎监管指标。广义信贷监管要求会影响到商业银行的微观主体行为,也可能会对商业银行利率定价产生影响。基于2007年1月—2019年7月的宏观时间序列数据,通过构建广义信贷数量型和价格型代理变量,检验广义信贷和货币政策利率在信贷市场的传导渠道和传导效率。实证结果表明,自从央行实施MPA后,表内表外融资结构、融资溢价都发生了较大变化,对商业银行利率定价等经营行为产生影响。未来,应不断提升我国MPA的监管效率,强化广义信贷监管,继续完善价格型货币政策调控,培育市场化的定价基准,健全利率市场化机制,提升货币政策在信贷市场的传导效率。In 2016,the People’s Bank of China introduced the macro prudential assessment system(MPA),which includes generalized credit as an important macro-prudential regulatory indicator.Generalized credit regulatory requirements can affect the micro subject behavior of commercial banks and may also have an impact on commercial banks’interest rate pricing.Based on the macro time series data from January 2007 to July 2019,this paper tests the transmission channels and transmission efficiency of generalized credit and monetary policy rates in the credit market by constructing quantitative and price-based proxy variables for generalized credit.The empirical results show that since the implementation of MPA by the central bank,the on-and off-balance sheet financing structure and financing premiums have changed significantly,which have affected commercial banks’interest rate pricing and other business behaviors.In the future,we should constantly improve the regulatory efficiency of China’s MPA system strengthen the generalized credit supervision,continue to improve the regulation and control of price-oriented monetary policy,cultivate market-based pricing benchmarks,improve the interest rate marketization mechanism,and enhance the transmission efficiency of monetary policy in the credit market.

关 键 词：广义信贷 商业银行 利率定价 宏观审慎评估体系 信贷市场传导机制 

分 类 号：F832.2[经济管理—金融学]