批发型负债融资对信贷亲周期性的影响——基于我国银行业数据的分析

The Impact of Bank Wholesale Funding on the Credit Procyclicality——A Study Based on the Data of Chinese Commercial Banks

基于中国宏观经济数据和微观银行数据,实证分析了批发型负债融资对银行信贷亲周期性影响。实证分析表明:中国银行业具有明显的信贷亲周期性效应,对批发型负债融资依赖性越强的银行,其信贷投放的亲周期程度越强;随着批发型负债占比(增速)的增加,商业周期对信贷投放的边际影响程度也越来越强。研究启示银行业监管部门不仅要关注批发型负债融资的数量特征,还需关注批发型负债融资的期限和借款频次等质量特征。

Based on the macroeconomic data and the micro banking data, this paper empirically analyzes the impact of bank wholesale funding （WSF） on credit procyclicality. The empirical analysis shows that： Firstly, the banking industry in China has a significant credit procyclical effect, the stronger the financial dependence of WSF, the higher the degree of credit procy- clicality. Secondly, with the increase in the share （or growth rate） of WSF, the marginal impact of the business cycle on the credit growth is also growing. This study reveals that the bank regulatory commission should not only focus on bank WSF quantitative characteristics, but also the quality characteristics, such as maturity and borrowing frequency.