LTV政策实施与银行信贷结构调整:理论模型与中国证据  

Loan-to-Value Policy and the Adjustment of Bank Loans Portfolio:A Theoretical Model and Evidence from China

作　　者：余聪 许祥云 陈欢欢 孟洁 Yu Cong;Xu Xiangyun;Chen Huanhuan;Meng Jie

机构地区：[1]南开大学金融学院 [2]安徽财经大学国际经济贸易学院 [3]南京财经大学国际经贸学院 [4]云南师范大学经济与管理学院

出　　处：《金融学季刊》2024年第1期168-193,共26页Quarterly Journal of Finance

基　　金：教育部人文社科基金项目(22YJC790149)的资助。

摘　　要：本文以贷款价值比(Loan-to-Value,LTV)工具为例,基于一个扩展的DeYoung等(2015)银行信贷组合模型(DGTWmodel),并利用中国上市商业银行的信贷数据,深入研究了房地产宏观审慎政策对商业银行信贷结构的影响。结果表明:①LTV政策的实施,会降低家庭住房部门的新增信贷规模和信贷余额在总信贷中的比重,也会影响其他部门的信贷规模及在总信贷中的比重,但影响程度与该部门和家庭住房部门的信贷损失间相关系数(进而与部门间的产业关联性)有关;②相对于非繁荣期,房地产繁荣时期的LTV政策实施,对家庭住房信贷占比的影响较弱;③相对于政策收紧,LTV政策的放松会更大幅度地提升房地产信贷比重。本文的结论有助于深化理解房地产宏观审慎政策效果和优化现有政策及工具组合。Using the Loan-to-Value Constraint(LTV)as an example,based on an extended DeYoung et al.(2015)bank portfolio lending model(DGTW model)and using credit data from listed commercial banks in China,this paper deeply studies the influence of real estate macroprudential policy on the credit structure of commercial banks.The results show that:the implementation of LTV policy reduces the new credit scale and the proportion of credit balance in the total credit of the family housing sector,and it also affects the credit scale and the proportion in the total credit of other sectors.But the degree of impact is related to the correlation coefficient between the credit losses of this sector and the family housing sector(and thus the industrial correlation between the sectors);②compared with the non-boom period,the implementation of LTV policy in the real estate boom period has a weaker impact on the proportion of household housing credit;compared with policy tightening,the relaxation of LTV policy significantly increases the proportion of real estate credit.The conclusions of this paper helps deepen the understanding of the effects of real estate macroprudential policies and optimize the existing mix of policies and tools.

关 键 词：宏观审慎政策 房地产部门 LTV 银行信贷组合 

分 类 号：F832.4[经济管理—金融学]