银行融资稳定性降低了信贷顺周期性吗
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摘要
本文构建理论模型分析了银行融资稳定性对信贷周期性的影响,发现提升融资稳定性可以降低信贷顺周期性。在此基础上,应用我国166家商业银行2004—2016年的年度非平衡面板数据进行实证检验,结果显示:(1)我国商业银行信贷周期性特征在不同时段存在差异,在2010年之前(后)呈现逆(顺)周期特征;(2)提升融资稳定性可以降低(增强)银行信贷的顺(逆)周期性。进一步研究发现:(3)我国商业银行融资成本具有逆周期性,提升融资稳定性可以降低银行融资成本的逆周期性;(4)对于资本充足率较低的银行而言,稳定融资对其信贷顺周期性的削弱效应更明显。本研究支持将"存款立行"作为微观审慎监管和宏观审慎监管的有效结合点,对于加强微观与宏观审慎监管制度的协调与配合具有一定的启示意义。
This paper builds a theoretical model to analyze the impact of bank funding stability on credit cyclicality and finds that funding stability can reduce the pro-cyclical nature of credit. Empirical tests using a panel of 166 Chinese commercial banks from 2004 to 2016 show that:(1) there is a difference in the cyclicality pattern of credit in different periods, i.e., there was a counter-cyclical characteristic before 2010 and a pro-cyclical characteristic after 2010;(2) funding stability can reduce pro-cyclicality or enhance counter-cyclicality. Future analysis showed that:(3) the financing cost of the commercial banks is counter-cyclical, which can be reduced by higher funding stability;(4) for banks with lower capital adequacy ratio, funding stability can more noticeably reduce the credit pro-cyclicality. This paper supports that the deposit bank strategy of commercial banks can be an effective junction point between micro and macro prudential regulation, and also has important policy implications for the coordination of micro and macro prudential regulation systems.
This paper builds a theoretical model to analyze the impact of bank funding stability on credit cyclicality and finds that funding stability can reduce the pro-cyclical nature of credit. Empirical tests using a panel of 166 Chinese commercial banks from 2004 to 2016 show that:(1) there is a difference in the cyclicality pattern of credit in different periods, i.e., there was a counter-cyclical characteristic before 2010 and a pro-cyclical characteristic after 2010;(2) funding stability can reduce pro-cyclicality or enhance counter-cyclicality. Future analysis showed that:(3) the financing cost of the commercial banks is counter-cyclical, which can be reduced by higher funding stability;(4) for banks with lower capital adequacy ratio, funding stability can more noticeably reduce the credit pro-cyclicality. This paper supports that the deposit bank strategy of commercial banks can be an effective junction point between micro and macro prudential regulation, and also has important policy implications for the coordination of micro and macro prudential regulation systems.
引文
1.陈昆亭、周炎、龚六堂:《信贷周期:中国经济1991～2010》,《国际金融研究》2011年第12期。
2.冯科、刘静平、何理:《中国商业银行顺周期行为及逆周期资本监管研究——基于宏观审慎的视角》,《经济与管理研究》2012年第10期。
3.黄宪、熊启跃:《银行资本缓冲、信贷行为与宏观经济波动——来自中国银行业的经验证据》,《国际金融研究》2013年第1期。
4.蒋海、黄敏:《负债结构对银行风险承担的影响——基于中国上市银行的实证研究》,《国际金融研究》2017年第7期。
5.金雯雯、杜亚斌:《我国信贷是持续顺周期的吗——基于期限结构视角的时变参数研究》,《当代经济科学》2013年第5期。
6.廉永辉、张琳:《流动性冲击、银行结构流动性和信贷供给》,《国际金融研究》2015年第4期。
7.潘敏、张依茹:《股权结构会影响商业银行信贷行为的周期性特征吗——来自中国银行业的经济证据》,《金融研究》2013年第4期。
8.索彦峰、陈继明:《资产规模、资本状况与商业银行资产组合行为——基于中国银行业面板数据的实证分析》,《金融研究》2008年第6期。
9.徐明东、陈学彬:《中国微观银行特征与银行贷款渠道检验》,《管理世界》2011年第5期。
10.于震、张超磊、朱祚樟:《信贷周期与经济周期关联性研究:中日比较及其启示》,《世界经济研究》2014年第12期。
11.Allen,J.,& Paligorova,T.,Bank Loans for Private and Public Firms in A Liquidity Crunch.Journal of Financial Stability,Vol.18,2015,pp.106-116.
12.Beyhaghi,M.,Souza,C.,& Roberts,S.,Funding Advantage and Market Discipline in the Canadian Banking Sector.Journal of Banking & Finance,Vol.48,2014,pp.396-410.
13.Bikker,J.,& Hu,H.,Cyclical Patterns in Profits,Provisioning and Lending of Banks and Procyclicality of the New Basel Capital Requirements.BNL Quarterly Review,Vol.55,No.221,2002,pp.143-175.
14.Borio,C.,Furfine,C.,& Lowe,P.,Procyclicality of the Financial System and Financial Stability:Issues and Policy Options.BIS Papers Chapters,Vol.1,No.6,2014,pp.1-57.
15.Cornett,M.,McNutt,J.,Strahan,P.,& Tehranian,H.,Liquidity Risk Management and Credit Supply in the Financial Crisis.Journal of Financial Economics,Vol.101,No.2,2011,pp.297-312.
16.Huang,R.,& Ratnovski,L.,The Dark Side of Bank Wholesale Funding.Journal of Financial Intermediation,Vol.20,No.2,2011,pp.248-263.
17.Ivashina,V.,& Scharfstein,D.,Loan Syndication and Credit Cycles.American Economic Review,Vol.100,No.2,2010,pp.57-61.
18.Jeong,S.,& Jung,H.,Bank Wholesale Funding and Credit Procyclicality:Evidence from Korea.Panoeconomicus,Vol.60,No.5,2013,pp.615-631.
19.Jung,H.,& Kim,D.,Bank Funding Structure and Lending under Liquidity Shocks:Evidence from Korea.Pacific-Basin Finance Journal,Vol.33,2015,pp.62-80.
20.Kapan,T.,& Minoiu,C.,Balance Sheet Strength and Bank Lending during the Global Financial Crisis.IMF Working Papers,No.102,2013.
21.Salas,V.,& Saurina,J.,Credit Risk in Two Institutional Regimes:Spanish Commercial and Savings Banks.Journal of Financial Services Research,Vol.22,No.3,2002,pp.203-224.
2.冯科、刘静平、何理:《中国商业银行顺周期行为及逆周期资本监管研究——基于宏观审慎的视角》,《经济与管理研究》2012年第10期。
3.黄宪、熊启跃:《银行资本缓冲、信贷行为与宏观经济波动——来自中国银行业的经验证据》,《国际金融研究》2013年第1期。
4.蒋海、黄敏:《负债结构对银行风险承担的影响——基于中国上市银行的实证研究》,《国际金融研究》2017年第7期。
5.金雯雯、杜亚斌:《我国信贷是持续顺周期的吗——基于期限结构视角的时变参数研究》,《当代经济科学》2013年第5期。
6.廉永辉、张琳:《流动性冲击、银行结构流动性和信贷供给》,《国际金融研究》2015年第4期。
7.潘敏、张依茹:《股权结构会影响商业银行信贷行为的周期性特征吗——来自中国银行业的经济证据》,《金融研究》2013年第4期。
8.索彦峰、陈继明:《资产规模、资本状况与商业银行资产组合行为——基于中国银行业面板数据的实证分析》,《金融研究》2008年第6期。
9.徐明东、陈学彬:《中国微观银行特征与银行贷款渠道检验》,《管理世界》2011年第5期。
10.于震、张超磊、朱祚樟:《信贷周期与经济周期关联性研究:中日比较及其启示》,《世界经济研究》2014年第12期。
11.Allen,J.,& Paligorova,T.,Bank Loans for Private and Public Firms in A Liquidity Crunch.Journal of Financial Stability,Vol.18,2015,pp.106-116.
12.Beyhaghi,M.,Souza,C.,& Roberts,S.,Funding Advantage and Market Discipline in the Canadian Banking Sector.Journal of Banking & Finance,Vol.48,2014,pp.396-410.
13.Bikker,J.,& Hu,H.,Cyclical Patterns in Profits,Provisioning and Lending of Banks and Procyclicality of the New Basel Capital Requirements.BNL Quarterly Review,Vol.55,No.221,2002,pp.143-175.
14.Borio,C.,Furfine,C.,& Lowe,P.,Procyclicality of the Financial System and Financial Stability:Issues and Policy Options.BIS Papers Chapters,Vol.1,No.6,2014,pp.1-57.
15.Cornett,M.,McNutt,J.,Strahan,P.,& Tehranian,H.,Liquidity Risk Management and Credit Supply in the Financial Crisis.Journal of Financial Economics,Vol.101,No.2,2011,pp.297-312.
16.Huang,R.,& Ratnovski,L.,The Dark Side of Bank Wholesale Funding.Journal of Financial Intermediation,Vol.20,No.2,2011,pp.248-263.
17.Ivashina,V.,& Scharfstein,D.,Loan Syndication and Credit Cycles.American Economic Review,Vol.100,No.2,2010,pp.57-61.
18.Jeong,S.,& Jung,H.,Bank Wholesale Funding and Credit Procyclicality:Evidence from Korea.Panoeconomicus,Vol.60,No.5,2013,pp.615-631.
19.Jung,H.,& Kim,D.,Bank Funding Structure and Lending under Liquidity Shocks:Evidence from Korea.Pacific-Basin Finance Journal,Vol.33,2015,pp.62-80.
20.Kapan,T.,& Minoiu,C.,Balance Sheet Strength and Bank Lending during the Global Financial Crisis.IMF Working Papers,No.102,2013.
21.Salas,V.,& Saurina,J.,Credit Risk in Two Institutional Regimes:Spanish Commercial and Savings Banks.Journal of Financial Services Research,Vol.22,No.3,2002,pp.203-224.