论文部分内容阅读
本文基于信贷关系和钳制(hold up)效应研究政府支出扩张后的银行定价行为。在将信贷关系的程度和持续性引入商业银行收益最优化模型后,研究发现在利率市场化经济体中,客户信贷习惯所导致的钳制效应,会影响银行的最优化定价行为。基于香港地区的季度数据进行实证研究,通过构建VAR模型并分析脉冲响应函数图,发现财政支出是信贷利率的格兰杰原因,并且财政扩张对商业银行贷款利率定价会产生负向影响。
This article studies the bank pricing behavior after the expansion of government expenditure based on the credit relationship and the hold up effect. After introducing the degree and persistence of credit relations into the profitability optimization model of commercial banks, the study finds that in the market-based interest rate-based economy, the clogging effect of customer credit habits will affect the bank’s optimal pricing behavior. Based on the quarterly data of Hong Kong, this paper conducts empirical research. By constructing the VAR model and analyzing the impulse response function graph, it is found that the fiscal expenditure is the Granger reason of the credit interest rate, and the fiscal expansion will have a negative impact on the commercial bank loan interest rate pricing.