银行业市场结构与货币政策冲击——基于异质性银行的模型分析

通过构造货币政策冲击下的贷款市场总体均衡模型,研究在受到资本充足率和存贷比约束的条件下,银行最优信贷决策行为。分析发现,在垄断竞争的银行业市场结构背景下,银行间在价格竞争方面表现出战略互补特征和由此带来的模仿效应。因而,当银行满足资本充足率和存贷比要求时,银行业传导的货币政策信贷渠道是有效的,而当贷款市场中的银行不能满足资本充足率或存贷比要求时,信贷渠道则表现出无效性。     

监管压力下的中小银行资本与风险调整行为分析

基于监管压力下的银行资本充足率和资产风险调整模型对我国中小银行45组数据分别进行的TSLS分析显示,目前监管压力并没有对我国中小银行的资本充足率调整和资产风险调整产生正向影响;银行资本和风险调整表现出内生性稳定趋势,但不收敛于合规标准;银行资产规模和经营损失的增加,加剧了资产风险;公开上市对资本与风险调整没有影响。打破中小银行资本和风险内生性的调整行为,需要强化监管约束与资本市场约束。     

资本监管、银行信贷与货币政策非对称效应

本文通过对在单一约束的商业银行利润函数中植入监管当局惩罚函数的静态理论模型的分析得出：监管当局以提高资本充足率为核心的监管行为不仅有效地影响了商业银行的信贷行为和风险意识,而且强化了“逆风向行事”的货币政策的非对称效应,接着本文对我国1998年以来经历的两次经济波动进行了实证分析,其结论是：1998年以来,监管当局对商业银行以降低坏账率、提高资本充足率为核心的监管行为强化了我国货币政策非对称效应。     

资本监管、银行信贷与货币政策非对称效应

本文通过对在单一约束的商业银行利润函数中植入监管当局惩罚函数的静态理论模型的分析得出:监管当局以提高资本充足率为核心的监管行为不仅有效地影响了商业银行的信贷行为和风险意识,而且强化了"逆风向行事"的货币政策的非对称效应,接着本文对我国1998年以来经历的两次经济波动进行了实证分析,其结论是:1998年以来,监管当局对商业银行以降低坏账率、提高资本充足率为核心的监管行为强化了我国货币政策非对称效应。     

资本监管对商业银行信贷行为的影响研究

本文采用1998—2012年我国上市银行的年度面板数据,就资本约束对商业银行信贷行为的影响进行了分析。结果表明,在监管当局的最低资本要求约束下,银行普遍存在着紧缩信贷规模的倾向,资本充足率水平对银行贷款行为产生显著影响;这一影响存在滞后效应,且这一影响在2004年前后存在显著差异,2004年以后资本充足率对贷款增长率的影响小于2004年以前;大银行的资本充足率对贷款增长率的影响强于小银行,但这一差异在统计上不显著。     

资本充足率变动对银行信贷行为的影响

基于Berrospide and Edge（2010）和巴塞尔委员会宏观经济评估小组（MAG,2010）的最新研究．利用上市银行面板数据,本文考察了我国资本充足率水平与银行信贷增长之间的关系。本文发现,银行资本充足率水平对其贷款行为产生了显著的影响,但是这一影响存在一定的滞后期。数据测算表明,资本充足率变动将在3个季度后对银行的贷款行为产生显著影响,在6个季度后这一影响的程度达到最大值。资本约束对信贷增长影响的这种滞后效应对于不同规模银行和不同时间段样本均成立,但幅度略有差别。在此基础上．本文对我国商业银行的发展及监管问题提出了若干政策建议。     

银行竞争环境下资本缓冲行为的实证研究

资本监管是审慎银行监管的核心,巴塞尔协议III将逆周期资本缓冲列为最重要的宏观审慎政策工具。本文对银行竞争环境下资本缓冲行为进行了理论分析,并基于2004-2013年我国79家商业银行面板数据,采用更具微观基础的Lerner指数测算了银行竞争度,对银行竞争、经济周期与资本缓冲之间关系进行了系统性检验。研究发现:我国商业银行资本缓冲水平存在典型的逆周期特征,竞争性的市场结构有利于改善银行的资本缓冲水平;银行个体竞争度的提高在增加银行风险承担激励和降低银行资本缓冲水平同时,显著地弱化了银行资本缓冲的逆周期特征。基于上述结论,本文认为监管当局在实施逆周期资本监管时,应该充分考虑银行竞争行为的影响。     

银行业资本监管对中国宏观经济波动效应的实证研究

长期以来,银行业资本监管一直不被视作宏观经济调节工具,但对贷款约束机制和信贷-产量传导机制的实证研究表明,资本充足监管可能导致宏观经济波动效应的存在,即随着银行资本对其风险偏好和信贷行为的约束作用越来越强,银行贷款的亲经济周期性质却并不显著。中国间接融资主导的金融体系、银行体系的关系配给型信贷模式和资本、风险状况,决定了波动效应特征是单向的,即在萧条时期将进一步加剧紧缩,在繁荣时期却不会推动高涨。     

银行资本约束与中国宏观经济波动——顺周期性下的金融加速器效应研究

有别于传统信贷需求渠道的金融加速器效应研究路径,构建包含银行部门的DSGE模型从信贷供给的角度分析基于银行资本渠道的金融加速器效应,以中国2000—2011年季度数据估计及模拟发现,随着巴塞尔协议的升级,银行资本约束上升增大了各项冲击对经济波动的影响,表现出较强的顺周期性,在经济复苏期不宜过早地执行巴塞尔协议III,需分阶段渐进实施资本监管,必要时需通过量化宽松货币政策向银行注入资本,以减缓这种金融加速器效应。     

论信贷紧缩环境下银行业的发展

相对于2009年而言,在2010年银行业面临的货币及信贷环境趋于紧缩。存款准备金率的上调和资本充足率的监管要求,以及信贷投放的月度控制都对上市银行的信贷投放能力和节奏有所限制。而且一些上市银行的存贷比已经接近或超过监管要求,这也将在一定程度上限制这些银行的信贷投放能力。文章提出,下半年影响银行业绩增长的主要因素有两个,一是宏观经济复苏是否稳固,进而影响银行面临的货币政策环境的松紧程度和信贷投放;二是房价下跌程度是否足以导致银行的不良资产大幅反弹,进而导致拨备支出的增加。     

风险与监管双重影响下的商业银行行为选择

本文运用微观银行理论的产业组织方法，构建了一个含有信用风险和准备金监管要求的风险中性商业银行行为模型。在引入资本监管要求后，借助风险价值（MaR）概念，分析了影响银行行为的因素。结果发现，法定准备金不影响银行的风险行为，但资本监管要求导致风险中性的银行表现出风险厌恶。商业银行有内在的激励去从事风险对冲，并可以从中获益。最后，结合我国的实际情况，提出了银行改革和金融市场建设的相关建议。     

银行信任视角下我国小微企业的信贷约束研究*——基于问卷调查的实证分析

信贷关系中的信任可以减少代理行为和机会主义行为倾向，对缓解小微企业信贷约束有重要启示。本文通过调查问卷获取样本，基于银行信任的研究视角，借助广义结构方程模型从三个维度(信贷可获得性、贷款利率和抵押要求)实证检验银行信任对小微企业信贷约束的影响。结果显示，银行对小微企业较高程度的能力信任和诚实信任有助于提升小微企业的信贷可获得性，但对贷款利率及抵押要求无显著影响。本文为小微企业信贷约束研究提供了一个全新的视角。     

The relevance of supply shocks for inflation: the spanish case

A retrenchment in crossborder credit is under way, the product of both market forces and political pressure on international banks to lend at home (Economist, 2009). In addition, banks, particularly the largest, have also dramatically expanded their retail banking operations over the past few years (Hirtle and Stiroh, 2007). Our goal, in this article, is to study the effects of default risk on equity returns through bank interest margin management under a renewed focus on domestic retail banking, a trend often attributed to the stability of banking activities. Specifically, this article explores the determinants of optimal bank interest margins based on an option-based firm-theoretical model with multiple sources of structural breaks due to political pressure. The model demonstrates how capital regulation and political pressure on foreign lending return and risk conditions jointly determine the optimal bank interest margin decision. We show that a more stringent capital requirement is linked with lower equity return, but higher default risk of the bank in the return to domestic retail banking. An increased focus on the political pressure on foreign lending return is linked with higher equity return and default risk of the bank. It is also showed that an increased focus on the political pressure on foreign lending risk decreases the bank's equity return and default risk. We conclude that the return to domestic retail banking may be a relatively stable activity when the political pressure decision impacts only the expected risk of the bank's foreign lending and not the return.     

经济政策不确定性、银行集中度与银行风险*

本文基于2007—2018年30家上市商业银行季度面板数据，首次针对不同方面的银行风险，采用固定效应模型详细探讨经济政策不确定性、银行集中度与银行风险之间的关系。研究结果表明：（1）经济政策不确定性会加剧银行经营风险和信用风险，但会降低银行风险承担；（2）银行集中度的上升会导致银行经营风险和信用风险上升，但对银行风险承担的作用不显著；（3）集中度在经济政策不确定性对银行风险的影响中具有调节效应，随着银行集中度上升，经济政策不确定性会更加剧银行经营风险和信用风险，且会进一步减弱银行风险承担。本文采用不同的银行集中度变量并涵盖多种银行风险衡量指标的实证结果均稳健。进而笔者基于实证结果，在银行风险防控方面对政策制定者及监管部门提出一些建议。     

Housing and credit market shocks: Exploring the role of rule-based Basel III counter-cyclical capital requirements

This paper examines the extent to which the Basel III bank capital regulation attenuates fluctuations in housing and credit markets and fosters financial and macroeconomic stability. We use a positive housing demand shock to mimic a housing market boom and a negative financial shock for credit squeeze and economic meltdown. The results show that the rule-based Basel III counter-cyclical capital requirement effectively attenuates fluctuations in housing and credit markets and prevents bubbles. In the case of a negative financial shock, it significantly reduces the magnitude of economic meltdown. Our analysis of the transition from Basel II to Basel III suggests that it is the counter-cyclical capital buffer that effectively mitigates the pro-cyclicality of its predecessor, while the impact of the conservative buffer is marginal. In contrast to the credit-to-GDP ratio, the optimal policy analysis suggests that the regulatory authority should adjust the capital requirement to changes in credit and output when implementing the counter-cyclical buffer. Future research could extend the study by comparing the effectiveness of the rule-based Basel III with other macroprudential tools in achieving financial and macroeconomic stability.     

Capital Inflows,Exchange Rate Flexibility and Credit Booms

Historically, capital flow bonanzas have often fueled sharp credit expansions in advanced and emerging market economies alike. Focusing primarily on emerging markets, this paper analyzes the impact of exchange rate flexibility on credit markets during periods of large capital inflows. It is shown that bank credit is larger and its composition tilts to foreign currency in economies with less flexible exchange rate regimes, and that these results are not explained entirely by the fact that the latter attract more capital inflows than economies with more flexible regimes. The findings thus suggest countries with less flexible exchange rate regimes may stand to benefit the most from regulatory policies that reduce banks' incentives to tap external markets and to lend/borrow in foreign currency; these policies include marginal reserve requirements on foreign lending, currency‐dependent liquidity requirements and higher capital requirement and/or dynamic provisioning on foreign exchange loans.     

Credit Availability and Capital Crunch: On the Role of the Heterogeneity of the Banking System

We analyze the impact of a credit crunch on aggregate investment via the heterogeneous structure of the banking system. We develop a model of endogenous credit allocation in which investors and two banks differ according to their level of capital and monitoring technology. In a context of moral hazard problem, we show that banks' cost advantage in the monitoring of small businesses must be compared to their relative amount of capital in order to explain firms' optimal choice of financing, the credit allocation in the economy and the asymmetric impact of a credit crunch on aggregate investment. A shock of the same magnitude on the two banks level of capital may have a different effect on total investment. We stress that the credit crunch is maximum when the shock hits the bank specialized in the financing of small businesses and when this bank is also the less capitalized. This result is supported by recent empirical studies ( Hancock and Wilcox 1998 ).     

Credit Policy in times of Financial Distress

This essay evaluates two central bank policy tools, capital requirements and lending of last resort, designed to avert financial panics in the context of endowment economies with complete markets and limited borrower commitment. Credit panics are self-fulfilling shocks to expected credit conditions which cause transitions from an optimal but fragile steady state to a suboptimal state with zero unsecured credit. The main findings are: (i) Countercyclical reserve policies protect the optimal equilibrium against modest shocks but are powerless against large shocks. (ii) If we ignore private information and central bank inefficiencies, this class of models bears out Bagehot’s 1873 claim in Lombard Street: panics are averted if central banks stand ready to lend at a rate somewhat above the one associated with the optimal state.