存贷比监管约束下商业银行的贷款行为研究——来自中国银行业微观数据的证据
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| Title | Loan lending practices of commercial banks under loan- to-deposit ratio regulatory constraints
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| 作者 | 李明辉 刘莉亚 黄叶苨 |
| Author | Li Minghui, Liu Liya and Huang Yeni |
| 作者单位 | 华东师范大学;上海财经大学 |
| Organization | East China Normal University; Shanghai University of Finance and Economics |
| 作者Email | mhli@sfs.ecnu.edu.cn；liuliya@mail.shufe.edu.cn、yenih@163.com |
| 中文关键词 | 存贷比 监管约束 最优贷款决策 似不相关模型 |
| Key Words | Loan-to-Deposit Ratio; Regulatory Constraints; Optimal Lending Decisions; Seemingly Unrelated Model |
| 内容提要 | 本文选题于2015年6月《商业银行法修正案（草案）》中删除存贷比法定监管指标这一现实背景，分别构建了有存贷比上限和无存贷比上限约束下的商业银行最优贷款决策理论模型，得到了有约束下银行最优新增贷款水平受上期贷款存量、存贷比上限、存款规模、银行风险偏好水平以及风险调整后的收益率共同影响的结论。以此为基础，本文采用2000-2014年中国银行业的微观数据，对中国银行业在存贷比上限监管约束下的贷款决策行为进行了实证检验。结果表明：我国商业银行新增住房抵押贷款与新增公司和商业贷款并不受存贷比指标限制，因此，放松存贷比上限监管约束后，商业银行对住房抵押以及公司和商业新增贷款不会增加，而新增消费和零售贷款与存贷比之间显著正相关，因此，放松存贷比上限监管约束后，商业银行对消费和零售新增贷款将会显著增加。最后，本文分别从理论和政策层面总结了文章结论的意义。 |
| Abstract | This topic come from "Commercial Bank Law Amendment (Draft)" deleted loan deposit regulatory ratio in June 2015. In this paper, we construct two optimal commercial banks loan decision theory model. The First one is model with the constraint of the loan-deposit ratio ceiling, another one is model without. We find that optimal new lending levels by banks would be affected by loan stock, loan-deposit ratio, deposit scale, the level of bank risk appetite and risk-adjusted rate of return limit. Based on this theory model result, we using the 2000 - 2014 micro data of China's banking sector, empirically test decision-making behavior with loan-deposit ratio ceiling. The results showed that: China's commercial banks new mortgage and new corporate and commercial loans are not subjected to loan-deposit ratio limit. Thus, relax loan-deposit ratio ceiling, commercial banks for housing mortgage and corporate and commercial new loans will not increase, but the new consumer and retail loans will significantly increase, because a significant positive coefficient of loan-deposit ratio. Finally, this paper summarizes the theoretical and policy significance from the conclusions of the article. |
| 文章编号 | WP1024 |
| 登载时间 | 2016-02-02 |
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