中国银行业的信贷行为及其监管资本套利动机  

Bank Credit Behaviors and Regulatory Capital Arbitrage Motivations in China's Banking Industry

作　　者：许友传[1] Xu Youchuan(School of Economics,Fudan University,Shanghai 200433,China)

机构地区：[1]复旦大学经济学院,上海200433

出　　处：《复旦学报（社会科学版）》2024年第2期149-164,共16页Fudan Journal（Social Sciences）

基　　金：国家自然科学基金(项目批准号:72173031、72173028)的阶段性研究成果。

摘　　要：在资本监管约束下,银行可能透过监管资本套利方式节约资本,其可能形态是向下调整表内贷款的风险结构和向表外转移信用。文章研究了资本监管压力对银行表内贷款的风险结构、表内外信用转移的影响及其对流动性状态的相依性,主要结论有:第一,当监管压力较高时,银行表内高风险权重的公司贷款增速下降,而低风险权重的抵押贷款和消费贷款增速上升,表内贷款的风险结构似乎朝着资本监管诱导的方向转移或调整。第二,即便监管压力较低,银行仍倾向于将表内信用转移至表外,间接证明了两种监管资本套利形态的资本节约机制的存在性及其强烈的行为动机。第三,考虑表外信用活动是准确识别和判断资本监管有效性的前提。资本压力测度与银行总信用增长有合理的预期关系,但与表内信用增长的关系非预期一致,表外信用活动干扰了银行特征变量与表内贷款增长的“正常”关系,部分银行特征变量对表内外信用活动相反的趋势性影响与两者间的转移或替代行为有关。Under the constraint of capital regulation,banks may save capital through regulatory capital arbitrages which take the forms of adjusting the risk structure of on-balance-sheet loans downwards and transferring credit to offbalance-sheet.This paper studies the impact of capital regulation pressure on the risk structure of on-balance-sheet loans and the effect of credit transfer between on-and off-balance-sheet activities,especially its dependence on liquidity status.The research shows that the growth rate of corporate loans with high risk-weights tends to decline,while the growth rates of mortgage loans or consumer loans with low risk-weights tend to rise under high regulation pressure.Therefore,the risk structure of on-balance-sheet loans seems to shift or adjust towards the direction induced by capital regulation.However,even if the relevant regulatory pressure is low,banks still tend to transfer on-balancesheet credit to off-balance-sheet.In addition,there is a reasonable expected relationships between capital pressure measurement and total credit growth of banks,but the relationship with on-balance-sheet credit growth is unexpectedly inconsistent.Off-balance-sheet credit activities obfuscate the “ normal” relationships between bank characteristic variables and on-balance-sheet loan growth.The opposite trend impacts of some bank characteristic variables on onbalance-sheet and off-balance-sheet credit activities are related to the transfer or substitution behaviors between the two.Considering off-balance-sheet credit activities is the prerequisite for accurately identifying and judging the effectiveness of capital regulation.

关 键 词：资本监管 监管资本套利 信贷行为 信用转移 贷款结构 

分 类 号：F832.4[经济管理—金融学]