摘要
基于银行部门存在金融摩擦的假设,通过构建家庭、企业和银行的两期理论模型,得出银行部门存在金融摩擦时,银行净值和违约门槛在平常时期较高,不对银行存款发挥约束作用,但在危机时期银行净值和违约门槛骤降,发挥约束作用,使银行吸收存款不至于太大。实证研究也表明,银行净值和吸收存款之间存在长期稳定的协整关系。在1999年至2006年的平常时期内,我国银行存款随着银行净值的增加而增加,而在2007年至2011年的危机时期内,银行净值在各项经济刺激政策下增长,但银行存款却不升反降,银行存款不仅没有起到削峰填谷的逆周期作用,反而助长了大起大落的顺周期行为。
Based on the bank's financial frictions derived from agency problem to divert depositors' assets, this essay builds a two-period model of household, firm and bank and theoretically indicates that bank net worth and default threshold level are high in normal times and never binding, but they fall and become binding when crisis comes, which makes bank deposits not too big. Then empirical study shows the long-term stable cointegration relationship between bank deposits and net worth. In 1999-2006, the normal times, deposits went up with net worth growth; in 2007-2011, the crisis times, bank net worth grew under policies but deposits fell down. Overall, the procyclical feature of deposit cycle need deposit insurance, equity injection in crisis and macro-prudential regulatory policies.
出处
《山西财经大学学报》
CSSCI
北大核心
2012年第5期35-42,共8页
Journal of Shanxi University of Finance and Economics
基金
国家自然科学基金项目(70873041)
华东师范大学博士研究生学术新人奖暨985二期基金项目(XR ZZ2010013)
关键词
代理问题
银行摩擦
净值约束
宏观审慎监管
agency problem
bank frictions
net worth constrain
macro-prudential regulatory policy