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本文基于中国16家上市商业银行2006~2011年的数据进行实证研究,发现商业银行使用衍生品对其信贷扩张产生了显著的正效应,银行持有衍生品占总资产比重提高1%会正向拉动信贷增长率约0.13%。回归分析结果显示,该效应的发挥取决于银行特征变量尤其是资产规模变量,但是独立于信贷供需变量和货币政策变量。因此,商业银行应重新审视现有的衍生品业务发展战略,金融监管部门有必要将银行衍生品业务纳入货币政策视野,加强相应的金融监管,建立具有充分透明度的市场框架,控制系统性风险。
Based on the data of 16 listed commercial banks in China from 2006 to 2011, this paper finds that the use of derivatives by commercial banks has a significant positive effect on its credit expansion. The increase of 1% in the proportion of bank-held derivatives in total assets will be positive Driving credit growth of about 0.13%. Regression analysis results show that the effect depends on the bank’s characteristic variables, especially the asset-size variables, but independent of credit supply and demand variables and monetary policy variables. Therefore, commercial banks should reexamine their existing derivatives business development strategies. It is necessary for financial regulators to include bank derivatives business in the perspective of monetary policy, strengthen corresponding financial supervision, establish a fully transparent market framework and control systemic risks.