银行融资稳定性降低了信贷顺周期性吗

Does Bank Funding Stability Reduce Credit Pro-cyclicality?——From the Perspective of Combining Micro and Macro Prudence

本文构建理论模型分析了银行融资稳定性对信贷周期性的影响,发现提升融资稳定性可以降低信贷顺周期性。在此基础上,应用我国166家商业银行2004-2016年的年度非平衡面板数据进行实证检验,结果显示:(1)我国商业银行信贷周期性特征在不同时段存在差异,在2010年之前(后)呈现逆(顺)周期特征;(2)提升融资稳定性可以降低(增强)银行信贷的顺(逆)周期性。进一步研究发现:(3)我国商业银行融资成本具有逆周期性,提升融资稳定性可以降低银行融资成本的逆周期性;(4)对于资本充足率较低的银行而言,稳定融资对其信贷顺周期性的削弱效应更明显。本研究支持将"存款立行"作为微观审慎监管和宏观审慎监管的有效结合点,对于加强微观与宏观审慎监管制度的协调与配合具有一定的启示意义。

This paper builds a theoretical model to analyze the impact of bank funding stability on credit cyclicality and finds that funding stability can reduce the pro-cyclical nature of credit.Empirical tests using a panel of 166 Chinese commercial banks from 2004 to 2016 show that:(1) there is a difference in the cyclicality pattern of credit in different periods,i.e.,there was a counter-cyclical characteristic before 2010 and a pro-cyclical characteristic after 2010;(2) funding stability can reduce pro-cyclicality or enhance counter-cyclicality.Future analysis showed that:(3) the financing cost of the commercial banks is counter-cyclical,which can be reduced by higher funding stability;(4) for banks with lower capital adequacy ratio,funding stability can more noticeably reduce the credit pro-cyclicality.This paper supports that the deposit bank strategy of commercial banks can be an effective junction point between micro and macro prudential regulation,and also has important policy implications for the coordination of micro and macro prudential regulation systems.