宏观审慎视角下的商业银行行业信贷供给实证研究

Commercial Banks' Industrial Credit Supply Regulation and Control from Macro-prudential Perspectives

商业银行行业信贷供给既受商业银行资本充足率的影响,也受流动性风险的影响。使用微观的行业信贷数据,从"机构记忆"假说视角出发,将影响商业银行信贷供给的因素分为主观和客观两个维度。在控制主观因素变量基础上,使用Panel-VAR模型对商业银行信贷供给影响因素进行研究。结论表明,中国商业银行经营者并没有忘记过去的"教训",对信贷供给以控制导向为主。但是客观因素实证结果表明,流动性风险和资本充足率对不同行业信贷供给的影响各不相同,中国房地产业和建筑业风险非常高,却吸收了大量银行信贷。因此,逆周期的宏观审慎监管要发挥其精准化调控特点,避免"一家有病、大家吃药"。

Industrial credit supply of commercial banks is affected by both capital adequacy ratio and liquidity risk. Using micro industrial credit supply data,from "institution memory hypothesis"perspective,this paper divides the factors that affect credit supply into two dimensions: objective factors and subjective factors. After controlling the subjective factors,this paper uses panel-VAR model to study the influence factors of credit supply. Empirical studies show that the Chinese on-listed commercial banks do not forget lessons and mainly control credit supply. But objective factors such as liquidity risk and capital adequacy ratio have different impacts on different industries. The risk of real estate industry and construction industry is very high but these two industries attract much banks' credit. So the counter cycle macro-prudential regulation should target different industrial credit,avoiding "one sick,all taking medicine".