数字金融、银行信贷渠道与货币政策传导

作为新兴金融业态,数字金融发展会对既有金融体系带来怎样的冲击和影响?聚焦于货币政策传导机制这一宏观命题,立足于我国以银行信贷渠道为主导的数量型中介,运用我国商业银行、A股上市公司的微观面板数据,本文深度剖析了数字金融发展与货币政策银行信贷渠道传导之间的内在联系和影响机理。研究发现:(1)数字金融发展显著弱化了货币政策银行信贷渠道的传导效应,采用工具变量法克服内生性和控制影子银行变量等一系列稳健性检验后的结果依然支持该结论。(2)具体而言,数字金融削弱银行信贷渠道传导效果是通过改变银行资产负债结构和弱化实体企业对银行贷款的依赖而实现的。(3)上述弱化效应在以城市和农村商业银行为主的中小型金融机构以及低资本、低流动性和低报酬的银行中尤为突出。     

信贷竞争与区域经济增长关系研究

宽松的信贷政策推动了中国经济的快速增长,但也让地方政府背负了沉重的债务负担,严重威胁金融系统的安全。本文采用2003-2012年年度数据,综合分析经济增长的影响因素,检验地方政府信贷竞争的经济增长效果。结论显示地方政府的投资冲动导致大量信贷资金被低效率利用,贷款产出率在下降,贷款产出效率的省际差异显著。财政收支缺口的扩大在一定程度上也刺激了地方政府的银行信贷需求。     

金融支持中小企业的政策框架——日本的经验教训与启示

通过完善信用补充体系,调整政策性金融制度,日本政府强调运用"国家干预主义"来消除微观市场失灵,借以推动中小企业信贷市场的有效运转。然而,行政干预效果的短期性、财政负担的持续恶化以及金融资源配置效率的损失,意味着这种"强制性制度变迁"存在着内在的脆弱性。相比之下,通过丰富货币政策工具组合,采取市场化的弹性调控手段,日本央行信贷政策的结构调整更具效率。日本经验教训对于我国的启发意义在于,只有合理选取和调整公共政策,构建整体性的中小企业产业政策框架,才能真正建立起金融支持中小企业的长效机制。     

Bank credit constraints for women‐led SMEs: Self‐restraint or lender bias?

We test the existence of possible gender biases affecting firm behavior in demanding and obtaining bank credit using a cross‐country sample of European small‐ and medium‐sized enterprises (SMEs). We show consistent evidence that female‐led firms are more likely than their male counterparts to refrain from applying for loans. When they apply, female‐led enterprises do not seem to face gender discrimination from the lender. Interestingly, however, signs of gender bias appear to arise during the upside phase of the economy. Overall, our study provides support for policy actions aimed at reducing the frictions faced by women‐led SMEs when accessing credit markets.     

Disparities in Mortgage Lending,Bank Performance,Economic Influence,and Regulatory Oversight

This study investigates factors affecting changes in the disparity of home mortgage denial rates between white and minority loan applicants in the U.S. during the period 1991–1997. We develop a two-stage least-squares regression model that incorporates applicant-level characteristics, neighborhood characteristics, regional economic data, and bank-specific data as explanatory variables. Some have argued that mortgage lenders were under increasing pressure from industry regulators to extend additional credit to minorities and low-income groups during the period under study. The model includes each institution's periodic CRA rating as a proxy for regulatory influence. An alternative explanation is that market forces, such as improvements in economic conditions and in bank financial condition and performance, affected default loss estimates and credit standards in a way that disproportionally benefited minority and low-income applicants. The empirical findings are consistent with the latter hypothesis. We conclude that policy makers should consider the impact of market factors when assessing the allocation of mortgage credit in a particular demographic market. The findings also underscore the importance of controlling for lender assessments of credit risk when evaluating compliance with CRA and fair lending statutes.     

银行信贷、资本监管双重顺周期性与逆周期金融监管

商业银行信贷和资本监管具有顺周期性.银行信贷顺周期性导致经济繁荣时期的贷款扩张和经济衰退时的贷款紧缩.<巴塞尔资本协议Ⅱ>下的资本监管约束,在经济衰退时会促使银行形成信贷萎缩效应,影响和制约货币政策有效性的发挥,次贷危机为<巴塞尔资本协议Ⅱ>下的银行风险管理和监管的创新带来了新的要求和挑战.要减轻顺周期的影响,增强金融...     

How successful are banking sector reforms in emerging market economies? Evidence from impact of monetary policy on levels and structures of firm debt in India

Many emerging markets have undertaken significant financial sector reforms, especially in their banking sectors, that are critical for both financial development and real economic activity. In this paper, we investigate the success of banking reforms in India where significant banking reforms were implemented during the 1990s. Using the argument that well-functioning credit markets would reflect a credit channel for monetary policy at work, we test whether a change in monetary policy has a predictable impact on borrowing behaviour of several types of firms, including business group affiliated, unaffiliated private firms, state-owned firms and foreign firms. The empirical results suggest that unaffiliated private firms have the most vulnerable to monetary policy stance during tight policy regimes. We also find that during tight monetary policy regimes, bank credit of smaller firms is more sensitive to changes in the interest rate than that of large firms. In an easy money regime, monetary policy and the associated change in interest rate does not affect change in bank credit, change in total debt and the proportion of bank credit in total debt for any of the firms. We discuss the policy implications of the findings.     

On the role of Islamic and conventional banks in the monetary policy transmission in Malaysia: Do size and liquidity matter?

This paper empirically investigates the impact of monetary policy on the credit supply of Islamic versus conventional banks of Malaysia using an unbalanced panel dataset over the period 2005-2016. While estimating the effects of three alternative measures of monetary policy on banks' credit supply, we include several bank-specific and macroeconomic variables in the specification as control variables. We provide strong evidence on the existence of the credit channel of monetary policy transmission mechanism in Malaysia. Yet, we show that Islamic banks respond considerably less to changes in monetary policy instruments as compared to their conventional counterparts. We also find that the monetary policy measures affect small-sized banks and less-liquid banks more as compared to large-sized and more-liquid banks. Our findings suggest that for an effective monetary policy, there is a vital need to consider the nature of Islamic banking while devising any monetary policy instruments to manage credit supply in the economy.     

Shadow Banks and Macroeconomic Instability

We develop a macroeconomic model in which commercial banks can offload risky loans to a “shadow” banking sector, and financial intermediaries trade in securitized assets. The model can account both for the business cycle comovement between output, traditional bank, and shadow bank credit, and for the behavior of macroeconomic variables in a liquidity crisis centered on shadow banks. We find that following a liquidity shock, stabilization policy aimed solely at the market in securitized assets is relatively ineffective.     

信贷扩张、资产价格上涨与调控政策选择

本文首先从理论上考察信贷与资产价格之间的关系,利用Allen和Gale的资产价格泡沫模型,并根据我国实际情况,通过放松假设条件说明信贷扩张是资产价格上涨的重要原因,资产供给、信贷政策、银行信贷管理能力会影响资产价格的上涨。通过对我国经济的实证研究发现,我国的信贷与资产价格之间存在相关关系,最后指出从资产供给、信贷政策、银行信贷管理等方面入手制定政策抑制资产价格的进一步上涨。     

基于VAR模型的我国外汇储备、货币供应量与信贷规模关系研究

1994年外汇管理体制改革以来我国外汇储备持续增长,已成为世界上外汇储备最多的国家。巨额外汇储备使得货币供应量增加,银行信贷规模不断扩大。结合2006年至2013年季度数据,基于VAR模型运用协整方法探讨我国外汇储备、货币供应量及银行信贷规模的关系,并通过脉冲响应和方差分解予以进一步分析。结果表明,三变量之间存在长期稳定的均衡关系,外汇储备的增长促进货币供应量的增加,而货币供应量的增加又进一步推动了银行信贷规模的扩张。最后,基于以上分析提出相关对策建议。     

Credit Risk in Two Institutional Regimes: Spanish Commercial and Savings Banks

Although credit risk is an important factor that financial institutions must cope with, the determinants of bank problem loans have been little studied. Using panel data, we compare the determinants of problem loans of Spanish commercial and savings banks in the period 1985–1997, taking into account both macroeconomic and individual bank level variables. The GDP growth rate, firms, and family indebtedness, rapid past credit or branch expansion, inefficiency, portfolio composition, size, net interest margin, capital ratio, and market power are variables that explain credit risk. However, there are significant differences between commercial and savings banks, which confirm the relevance of the institutional form in the management of credit risk. Our findings raise important bank supervisory policy issues: the use of bank level variables as early warning indicators, the advantages of bank mergers from different regions, and the role of banking competition and ownership in determining credit risk.     

Bank risk in uncertain times: Do credit rationing and revenue diversification matter?

We show that bank risk rises, particularly for larger banks and those with greater interest-sensitive liabilities, during times of economic policy uncertainty through two economic channels: “credit rationing” and “revenue diversification.” The credit rationing channel shows that economic policy uncertainty increases aggregate loan spreads, exacerbating both adverse selection and moral hazard problems leading to higher bank risk. The revenue diversification channel suggests that as economic policy uncertainty reduces bank profits from traditional interest-based products, banks diversify into other non-traditional activities, thereby increasing their instability. Overall, our findings highlight the impact of economic policy uncertainty on exacerbating bank risk.     

Quantitative easing and related capital flows into Brazil: Measuring its effects and transmission channels through a rigorous counterfactual evaluation

We show that unconventional monetary policy in the United States appears to influence capital inflows to Brazil and, through this channel, its overall economic outlook and financial stability. In particular, quantitative easing leads to capital inflows, exchange rate appreciation, stock market price increases, credit growth and expansion of domestic activity related to consumption. Such effects are significant when considering both parameter uncertainty and a new significance test for abnormal behavior. According to a new channel identification method proposed in the paper, capital inflow is the only domestic propagation channel that systematically accounts for the estimated effects across variables and samples. Results are robust across a wide range of policy counterfactuals, regime break assumptions, testing procedures and model specifications.     

Price- vs. Quantity-Based Monetary Policies and Credit Substitution Asymmetry

The literature on the informal credit channels of the transmission of monetary policy overlooks the distinction between price- and quantity-based policies. This article contributes to filling this gap by investigating the asymmetric effects of the two types of policies on trade-credit substitution for bank credit using data from the largest emerging economy, China. China presents an ideal experimental context, as the country has implemented both types of monetary policies in the past decades. We find strong evidence that quantity-based monetary policy has stronger effects on credit substitution in China. This evidence is robust under both static and dynamic specifications, which remains intact after the disentanglement of the interdependency of the two types of policies. By subgrouping, we find that large and state-controlled firms play the central role in creating the substitution asymmetry. Furthermore, international evidence indicates that India also witnesses substitution asymmetry skewed to quantity-based policies. The findings suggest the need for further reform of China’s financial system toward a market-based system to enhance the effectiveness of the proposed monetary policies.     

论中国官方出口信用机构的改革和发展

根据政策性银行要按照"分类指导、一行一策"进行改革的原则,本文提出要从官方出口信用机构的角度,研究作为中国官方出口信用机构的中国进出口银行的存在、发展和改革。在比较研究了世界通行的官方出口信用模式特点的基础上,本文从理论和实践两个方面分析了中国进出口银行进一步改革和发展的必要,并针对中国进出口银行目前面临的一些问题提出了具体的建议,进一步明确了政策性银行(国家账户)之间以及与商业银行(银行账户)之间的关系。     

International house price cycles,monetary policy and credit

We evaluate three alternative predictors of house price corrections: anticipated tightenings of monetary policy, deviations of house prices from fundamentals, and rapid credit growth. A new cross-country measure of monetary policy expectations based on an international term structure model with time-varying risk premiums is constructed. House price overvaluation is estimated via an asset pricing model. The variables are incorporated into a panel logit regression model that estimates the likelihood of a large house price correction in 18 OECD countries. The results show that corrections are predicted by increases in the market’s forecast of higher policy rates. The estimated degree of house price overvaluation also contains significant information about subsequent price reversals. In contrast to the financial crisis literature, credit growth is less important. All of these variables help forecast recessions.     

新型货币政策担保品框架的绿色效应

本文以2018年6月我国央行开始接受绿色信贷资产作为MLF合格担保品这一事件为准自然实验,运用双重差分模型分析我国新型货币政策的担保品扩容对绿色信贷企业融资的影响。研究结果表明:第一,将绿色信贷资产纳入央行合格担保品范围增加了绿色信贷企业的信贷可得性,并降低了绿色信贷企业的信贷成本;第二,企业的异质性分析表明,民营绿色信贷企业在融资可得性方面对政策反应更显著,国有绿色信贷企业在融资成本方面对政策反应更显著;第三,分行业的扩展性检验表明,央行合格担保品扩容政策对于环保行业的绿色信贷企业主要通过提高融资可得性发挥作用,而对于重污染行业的绿色信贷企业则主要作用于其信贷融资成本。基于以上实证结果,本文认为央行担保品扩容具有绿色效应,可综合运用央行担保品框架和借贷便利类货币政策工具,加强我国新型货币政策的定向调控功能。     

Credit Management: An Examination of Policy Choices, Practices and Late Payment in UK Companies

A central element in developing credit management policy involves design choices on the extent to which credit activities are best managed internally or through specialist market intermediaries. This paper draws on the findings of a survey on the credit management practices and policies of large UK companies to: (1) Examine the type of firm most likely to enter into specialist external credit management structural arrangements; and (2) Identify contextual and credit policy choices influencing the credit period taken and late payment of debts. The study found that specialist intermediaries are not particularly common in large firms. The paper also identifies a number of contextual and policy variables that help explain variation in debtor days and late payment by customers.     

银行信贷与股票价格动态关系研究

本文采用五变量VAR模型对我国银行信贷与股票价格之间的动态关系进行实证分析,发现股票价格的上涨会导致银行信贷的扩张,但银行信贷扩张不是股票价格上涨的原因。基于此,本文提出对银行信贷的调控要考虑股票市场的影响。在股票市场繁荣的时候应该通过增加股票供给、丰富投资产品等措施防止股市泡沫的扩大,降低市场对股价升幅的预期,同时密切关注银行信贷资金的流向,防止资金由实体经济大量流向股票市场;而在股票市场萧条的时候,放松银行信贷并不能阻止股票价格下跌,稳定股票市场的关键是增强投资者信心,改善投资者对未来股票价格的预期。