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本文在观察到中国银行业信贷膨胀背景下几个典型事实后,基于国内外巴塞尔协议与银行行为的研究成果,通过在C-C模型的基础上植入信贷风险和存贷比约束进行了两个方面的拓展。在这个新的理论框架下,我们不仅分析了资本松约束和资本紧约束下银行的最优行为,同时也研究了银行资本的决定因素。我们发现,外部融资成本的增加、惩罚力度的加大、存贷比要求的提高、贷款边际成本的上升以及垄断势力的强化,都将使得银行资本量趋于下降,但各个变量具体的作用机制存在很大不同。更重要的是,逆周期性的信贷损失和凸形的惩罚函数具有双重强化银行资本顺周期性特征,法定最低资本充足要求的提高,只有在满足特定条件下,才可能带来银行实际资本的增加。通过对银行信贷膨胀机理的深入解析,本文为有关政策抉择提供了某种理论依据。
After observing several typical facts in the context of the expansion of credit in China’s banking sector, this paper, based on the research results of Basel Accord and bank behavior both at home and abroad, imposes two credit risk and loan-to-deposit constraints based on the CC model Aspects of the expansion. In this new theoretical framework, we not only analyze the optimal behavior of banks under capital constraints and capital constraints, but also study the determinants of bank capital. We find that the increase of external financing costs, the increase of punishment, the increase of loan-to-deposit ratio, the increase of loan marginal cost and the strengthening of monopoly forces all will cause the bank capital to decline, but the specific mechanism of each variable There is a big difference. More importantly, countercyclical credit losses and convex penalties have double the pro-cyclical character of bank capital. The increase of the statutory minimum capital adequacy requirement can only bring real capital in the bank under certain conditions increase. Through in-depth analysis of the bank credit expansion mechanism, this article provides some theoretical basis for the policy choices.