利率市场化对商业银行信贷行为的影响

The Influence of the Liberalization of Interest Rate on the Credit Behaviors of Commercial Banks

本文在构建一个跨期的银行资产组合模型的基础上,运用面板VAR方法研究不同所有制银行的存款流失、资金成本上升和紧缩货币政策对商业银行信贷配置的动态影响。回归结果表明:紧缩货币政策会显著约束其他上市银行的信贷行为,但对国有上市银行的信贷配置影响不显著;银行间市场资金成本上扬通过"成本—利率"转嫁效应约束银行信贷,而存款资金成本上升则通过"成本—风险"转嫁效应刺激银行扩张信贷。方差分解表明:存款稳定性对国有上市银行信贷变化的贡献远不及资金成本的贡献,而资金成本和存款稳定性对其他上市银行信贷变化的贡献差异不大。

This paper constructs a model of the intertemporal portfolio of bank assets, and uses the panel VAR method to analyze the dynamic influence of reduction in deposits, increase in the capital costs of different ownership banks and tightening monetary policy on the credit allocation of commercial banks. The regression results show that tightening monetary policy will be significantly constrained credit behaviors of other listed banks, but the credit allocation of state-owned listed banks is not im-pacted; due to the"cost-interest rate"transferring effects, the increase in capital costs in interbank market constrains bank credits; and due to the"cost-risk"transferring effects, the increase in deposit costs leads to the credit expansion of banks; the variance decomposition shows that the contribution of deposit stability to the changes in the credits of listed state-owned banks is greatly less than that of capital costs; nevertheless, to the changes in the credits of other listed state-owned banks, the contribution of capital costs is not greatly different from that of deposit stability.