利率工具、银行决策行为与信贷期限结构

Interest Rate Tools, Bank Decision-making Behavior and Term Structure of Credit

信贷期限结构是信贷量发挥作用的重要影响因素之一,但是中国对利率工具如何影响信贷期限结构的探讨尚不充分。与国外已有的基于风险管理动机视角的机制分析不同,本文基于中国商业银行特殊的利率定价机制,从盈利动机的视角出发,构建两阶段的商业银行信贷决策模型,理论分析了贷款基准利率政策对信贷期限结构的影响机制。研究发现,贷款基准利率与商业银行贷款中的短期贷款比例呈正相关关系,但短期贷款和中长期贷款的基准期限利差水平会减弱这一正向关系,并且基准期限利差本身也会直接对短期贷款比例产生负向冲击。基于2005—2016年的宏观季度数据,本文通过TVPFAVAR模型和时间序列线性回归模型的实证检验支持了上述结论 ,并且还进一步验证了从盈利动机视角分析传导机制的可信性。本文的研究结论带来一些启示:宏观调控要充分考虑商业银行的微观行为,重视贷款利率收益率曲线对信贷资源配置的调控作用,充分运用市场化利率价格信号的预期管理,综合使用利率工具和结构性货币政策工具。

The term structure of credit is one of the important factors that influence the quantity of credit, but there are not sufficient papers studying how interest rate instruments affect the term structure of credit in China. Different from the existing foreign studies based on the perspective of risk management motivation, this paper, basing on the special interest rate pricing mechanism of the Chinese commercial banks and starting from the perspective of profit motivation, constructed a two-stage commercial bank credit decision model to analyze how the policy of benchmark lending interest rate affects the term structure of credit. The study found that the proportion of short-term loans was positively correlated with the level of the benchmark interest rate, but the level of spreads on short-term and long-term loans would weaken the positive relationship, and the term spreads itself would directly have a negative impact on the proportion of short-term loans. Based on the macro quarterly data of 2005-2016, this paper used TVP-FAVAR model and linear time series model to support the conclusion, and verified the credibility of analyzing the transmission mechanism from the perspective of profit motivation. The conclusion of this paper brings some enlightenment： Macro-control should fully consider the microscopic behavior of commercial banks; paying attention to the regulation of credit rate return curve to the allocation of credit resource; strengthening the management of credit price signal to the market; making a comprehensive use between interest rate tools and structural monetary policy instruments.