商业银行信贷亲周期性及其对货币政策调控的影响
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摘要
2007年爆发的美国次贷危机给许多老牌大型商业银行的稳健经营带来了极大的影响。原先支持金融市场的大量复杂的资产组合、杠杆放大的投资工具被解散,衍生品市场萎缩、相关行业受创,市场流动性因此大幅缩减。整个信用市场低迷,各类抵押贷款相关资产大幅缩水,并最终导致各家商业银行纷纷为潜在损失计提大量的减值准备,造成很多国际大型商业银行的资本充足率下降。为了满足资本监管要求,商业银行的本能反应是对风险偏好进行调整,减少风险性资产——贷款。为了防止金融危机演化为严重的经济危机,各国政府对很多大型危机银行注资。注资是为了防止大量银行破产,更为了避免随之而来的信贷紧缩。受美国次贷危机的影响,2008年第二季度开始中国经济形势也急转直下。中国政府应对全球金融危机和经济衰退的策略就是超常的、“救急式”的财政与货币扩张政策。2009年新增贷款无论是规模和增速都创下历史最高记录。由此可见,信贷供给对于中国经济发展是极其重要的。信贷供给的多少反映了宏观政策调控的效果以及国民经济增长的速度。在这样的危机面前,相关经济指标和商业银行主体的行为调整带给我们很多值得思考的问题。
一方面,在经济周期的不同时段,微观市场主体商业银行的经营行为具有明显的亲周期性：信贷周期与经济周期表现出明显的相关性。在经济上升时期,商业银行对借款人前景的过度乐观常导致信贷标准降低、信贷政策放宽,商业银行经营绩效的快速提升又强烈刺激其放贷冲动。在经济衰退时期,由于借款人财务状况的恶化促使商业银行在提供贷款时更加谨慎,信贷策略趋于保守,同时基于绩效的下滑预期、风险方面的顾虑以及金融监管的趋紧,促使商业银行加快信贷收紧的步伐,贷款增长随之快速回落,这可能会加剧经济运行的波动,导致了经济在低谷徘徊时间延长。商业银行这种亲周期性对宏观经济运行的影响和破坏是显而易见的,由此带来的社会福利损失也不容忽视。造成信贷亲周期的原因有很多种,其中一个重要因素是资本充足率的计算。根据新巴塞尔协议对资产风险权重的规定,资产的风险权重将经历逆周期波动。过高强调资本要求的风险敏感性就会加强亲周期效应,放大经济周期波动的幅度。在经济萧条期与高涨期相比,商业银行将受到更加严格的资本约束；同时筹集新资本的成本在经济萧条期要比高涨期高。
另一方面,宏观层面的货币政策是逆经济周期的。中央银行采取各种货币政策工具和手段进行宏观调控,引导和稳定社会各经济主体的预期。在经济爬上峰顶和跌入低谷之前就采取有效的宏观调控措施,防止宏观经济起伏波动过大,着力熨平经济周期的波动幅度,从而实现国民经济的平稳运行。而由于市场约束、竞争加剧、监管要求等方面的影响,商业银行的实际经营行为与中央银行宏观调控的预期目标并不完全一致,常常会发生矛盾和冲突,这种冲突不仅在我国这样的转轨经济国家存在,在一般市场经济发达国家也同样存在。这使得我们一方面需要关注对微观商业银行主体进行审慎性监管,另一方面需要考虑其宏观影响及其对货币政策调控效果的影响。
The American sub-prime mortgages crisis broke up in 2007 greatly affected many long-established and large scale commercial banks. A large number of complex portfolios that originally supported the financial market, as well as the leveraged investment vehicles, were dissolved, the derivative market was shrinking, and the relevant industries were influenced. Therefore the market liquidity was substantially decreased. The pirce of sub-prime-related assets were considerably down. Banks had to calculate and distill the subsequent preparation of asset devaluation for potential losses. This further led to the decline of the capital adequacy. In order to meet the capital regulation, banks must reduce risky assets. In order to prevent the financial crisis into being grave economic crisis, governments injected lage amounts of capital into large-scale banks. Capital injection is not only to reduce the possibility of a great many banks’bankruptcy, but also to avoid the credit crunch. The related economic indicators and the acts of adjusting of banks themself bring us new problems deserves considering about.
First of all, in different period of the economic cycle, business activities of commercial banks in micro-market have a very clear procyclical character, which shows a significant correlation between the credit cycle and economic cycle. During economic upswings, commercial banks always are over-optimistic about the prospects of the borrower, so they lower credit standards, and the rapid increasing performance of commercial banks is also a strong impulse to stimulate lending. In the economic recession, due to the deterioration of borrower's financial situation prompted commercial banks be more cautious in providing loans, and credit policies tend to be conservative, meanwhile, consider about the decline in performance expectations, risk concerns, as well as the tightening of financial regulation, commercial banks are prompted to accelerate the pace of credit tightening, and loan growth will fall consequently in a rapid speed. This may exacerbate the volatility of the economy, leading to prolonged economic downturn lingered. Commercial banks'procyclical character has an obvious impact on the macro-economy and its damage is also obvious, and the resulting loss of social welfare can not be ignored.
Secondly, commercial banks, a single individual, as the mortgage and other asset prices are always procyclical. The non-rational supply of banking credit, the capital adequacy ratio as the representative of the prudential regulation and a number of system level requirements are its root causes. Among them, the procyclical caused by the current regulatory system, which represented by the capital adequacy ratio, is particularly striking. In particular, it has been attached more attention after the new risk-sensitive Basel Capital Accord. According to the provisions the New Basel Capital Accord on risk-weighted assets, the risk weights of assets will experience a counter-cyclical fluctuation. Excessive emphasis on the risk-sensitivity required by capital will enhance the procyclical effects and enlarge the economic cycle volatility. In the recession period, compared with the boom, banks will be subjected to more stringent capital constraints. At the same time the cost of raising new capital in the economic recession period will be higher than the boom.
Finally, the monetary policy is counter to the economic cycle. The central bank adopted various monetary policy tools and instruments to conduct macro-control, for guiding and stabilizing social economic agents’expectations. Before the economy climbed the peak or dropped to its lowest, the central bank will take effective macro-control measures to prevent the macro-economic fluctuations is too large, focus on smoothing the business cycle fluctuations, in order to achieve the steady functioning of the national economy.
The micro commercial banks’procyclical behavior and the central bank's reverse cycle regulation are often in contradiction and conflict. This makes, on the one hand, we need to focus on the banking industry's credit procyclical as well as to prevent the risk of individual banks, on the other hand, and we need to use monetary policy instruments through the appropriate channels to prevent economic fluctuations.
一方面,在经济周期的不同时段,微观市场主体商业银行的经营行为具有明显的亲周期性：信贷周期与经济周期表现出明显的相关性。在经济上升时期,商业银行对借款人前景的过度乐观常导致信贷标准降低、信贷政策放宽,商业银行经营绩效的快速提升又强烈刺激其放贷冲动。在经济衰退时期,由于借款人财务状况的恶化促使商业银行在提供贷款时更加谨慎,信贷策略趋于保守,同时基于绩效的下滑预期、风险方面的顾虑以及金融监管的趋紧,促使商业银行加快信贷收紧的步伐,贷款增长随之快速回落,这可能会加剧经济运行的波动,导致了经济在低谷徘徊时间延长。商业银行这种亲周期性对宏观经济运行的影响和破坏是显而易见的,由此带来的社会福利损失也不容忽视。造成信贷亲周期的原因有很多种,其中一个重要因素是资本充足率的计算。根据新巴塞尔协议对资产风险权重的规定,资产的风险权重将经历逆周期波动。过高强调资本要求的风险敏感性就会加强亲周期效应,放大经济周期波动的幅度。在经济萧条期与高涨期相比,商业银行将受到更加严格的资本约束；同时筹集新资本的成本在经济萧条期要比高涨期高。
另一方面,宏观层面的货币政策是逆经济周期的。中央银行采取各种货币政策工具和手段进行宏观调控,引导和稳定社会各经济主体的预期。在经济爬上峰顶和跌入低谷之前就采取有效的宏观调控措施,防止宏观经济起伏波动过大,着力熨平经济周期的波动幅度,从而实现国民经济的平稳运行。而由于市场约束、竞争加剧、监管要求等方面的影响,商业银行的实际经营行为与中央银行宏观调控的预期目标并不完全一致,常常会发生矛盾和冲突,这种冲突不仅在我国这样的转轨经济国家存在,在一般市场经济发达国家也同样存在。这使得我们一方面需要关注对微观商业银行主体进行审慎性监管,另一方面需要考虑其宏观影响及其对货币政策调控效果的影响。
The American sub-prime mortgages crisis broke up in 2007 greatly affected many long-established and large scale commercial banks. A large number of complex portfolios that originally supported the financial market, as well as the leveraged investment vehicles, were dissolved, the derivative market was shrinking, and the relevant industries were influenced. Therefore the market liquidity was substantially decreased. The pirce of sub-prime-related assets were considerably down. Banks had to calculate and distill the subsequent preparation of asset devaluation for potential losses. This further led to the decline of the capital adequacy. In order to meet the capital regulation, banks must reduce risky assets. In order to prevent the financial crisis into being grave economic crisis, governments injected lage amounts of capital into large-scale banks. Capital injection is not only to reduce the possibility of a great many banks’bankruptcy, but also to avoid the credit crunch. The related economic indicators and the acts of adjusting of banks themself bring us new problems deserves considering about.
First of all, in different period of the economic cycle, business activities of commercial banks in micro-market have a very clear procyclical character, which shows a significant correlation between the credit cycle and economic cycle. During economic upswings, commercial banks always are over-optimistic about the prospects of the borrower, so they lower credit standards, and the rapid increasing performance of commercial banks is also a strong impulse to stimulate lending. In the economic recession, due to the deterioration of borrower's financial situation prompted commercial banks be more cautious in providing loans, and credit policies tend to be conservative, meanwhile, consider about the decline in performance expectations, risk concerns, as well as the tightening of financial regulation, commercial banks are prompted to accelerate the pace of credit tightening, and loan growth will fall consequently in a rapid speed. This may exacerbate the volatility of the economy, leading to prolonged economic downturn lingered. Commercial banks'procyclical character has an obvious impact on the macro-economy and its damage is also obvious, and the resulting loss of social welfare can not be ignored.
Secondly, commercial banks, a single individual, as the mortgage and other asset prices are always procyclical. The non-rational supply of banking credit, the capital adequacy ratio as the representative of the prudential regulation and a number of system level requirements are its root causes. Among them, the procyclical caused by the current regulatory system, which represented by the capital adequacy ratio, is particularly striking. In particular, it has been attached more attention after the new risk-sensitive Basel Capital Accord. According to the provisions the New Basel Capital Accord on risk-weighted assets, the risk weights of assets will experience a counter-cyclical fluctuation. Excessive emphasis on the risk-sensitivity required by capital will enhance the procyclical effects and enlarge the economic cycle volatility. In the recession period, compared with the boom, banks will be subjected to more stringent capital constraints. At the same time the cost of raising new capital in the economic recession period will be higher than the boom.
Finally, the monetary policy is counter to the economic cycle. The central bank adopted various monetary policy tools and instruments to conduct macro-control, for guiding and stabilizing social economic agents’expectations. Before the economy climbed the peak or dropped to its lowest, the central bank will take effective macro-control measures to prevent the macro-economic fluctuations is too large, focus on smoothing the business cycle fluctuations, in order to achieve the steady functioning of the national economy.
The micro commercial banks’procyclical behavior and the central bank's reverse cycle regulation are often in contradiction and conflict. This makes, on the one hand, we need to focus on the banking industry's credit procyclical as well as to prevent the risk of individual banks, on the other hand, and we need to use monetary policy instruments through the appropriate channels to prevent economic fluctuations.
引文
2 蒋云翔,周小川：盯住低通胀高增长、增就业保平衡四目标,21世纪经济报道,2009年12月23日,http://www.21 cbh.com/HTML/2009-12-23/158939.html
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