【作者】 杜荣耀；

【导师】 胡海鸥；

【作者基本信息】 上海交通大学 ， 金融学， 2013， 博士

【摘要】 我国的货币发行机制是我国货币政策发挥作用的前提条件，我国的货币发行机制使得我国的货币运动处于一种开放式循环体系中，这使得传统的准备金率政策对贷款数量的约束作用失效，并且对我国货币政策提出了挑战。资本充足率作为监管要求，也得到了商业银行体系的高度重视。由于银行贷款的风险特性，资本充足率可以约束银行的贷款数量，进而使得银行资本预期收益率与贷款存在数量关系。本课题认为：在我国既有货币制度体系下，资本充足率通过资本充足系数约束银行贷款数量，人民银行可以通过调控央行票据的收益率影响资本充足系数，进而影响银行贷款数量。第一章指出选题背景与意义，提出研究问题；第二章对文献进行综述，对研究问题进一步提炼和具体化。第三章以货币运动循环方式为线索，构建了我国货币政策选择的理论分析框架，解释了我国货币内生性的原因。在此条件下，建立我国银行贷款增量的数量化模型，指出我国货币政策所面临的挑战。着重分析存款准备金率对我国银行贷款数量的影响，指出其失效的原因和机理。第四章的重点讨论了资本充足率通过资本充足系数约束银行贷款数量的机制。现代的世界金融市场中，资本充足率对银行风险管理具有重要的意义。我国的监管机构也已经开始对商业银行进行资本充足率管理。由于贷款的风险特性，资本充足率必然对贷款数量有影响。在我国货币内生和准备金率的共同作用下，资本充足率通过资本充足系数仍然对贷款数量起着决定性的作用。第五章对我国银行资本预期收益率与贷款的数量关系展开研究。银行资本的预期收益率反映了风险与收益的关系，风险可以由监管资本来反映；收益则由管制利率与市场化利率的组合来反映，我国利率体系存在着管制利率和市场化利率两种利率，商业银行既是管制利率的执行者又是市场化利率的参与者。资本市场对银行资本的预期收益率也有定价，根据无套利原理，二者应该相等，否则会有无风险套利机会。由此，构建出资本预期收益率与贷款的数量关系，进而得到了央行票据收益率与贷款的关系。第六章概括主要结论，给出我国制度变迁的政策建议，对论文后续研究进行展望。本课题研究我国现有货币制度框架下，资本监管对我国银行贷款的影响，从而构建出我国货币政策选择的理论框架。主要创新点有：（1）我国商业银行的贷款通过对外贸易循环转化成基础货币，所以我国的基础货币是内生的。（2）准备金率对我国银行贷款数量约束无效，资本充足率对我国银行贷款数量约束有效。（3）利用无套利方法，从银行资本预期收益率的角度构建我国贷款数量模型，从而得到央行票据收益率与我国贷款的关系。更多还原

【Abstract】 In China, the currency issue mechanism is the prerequisite of making monetary policy work. Thecurrency issue mechanism makes the money circulation system being an open one. The requiredreserve ratio fails to constraint to the scale of credit in this opening money circulation system. Thisfact brings the challenge to the monetary policy. As the regulatory requirements, the capital adequacyratio also is attached great importance to the commercial banking system. Because of the risk natureof loans, commercial banks usually use the capital adequacy ratio to restrict the scale of loans. Thecontrolled interest rates and market-oriented interest rates constitute the interest rates system in China.In this study, the author proposes the conception of capital adequacy coefficient and then afurther conclusion is that the capital adequacy ratio has an effect on the loan scale through the capitaladequacy coefficient under the existing monetary system in China. The central bank can affect thecapital adequacy coefficient by regulating the yield rate of central bank notes. And then the centralbank can impact the scale of loan. In this paper, a quantitative relationship between the capitaladequacy ratio and the interest rate system through the expected rate of return of bank capital isestablished to examine to the relation between them.Chapter1gives the research questions. Literatures review is made in chapter2and researchquestions are further refined and specified.Chapter3proposes a framework to explain the causes of endogenous money. Under theendogenous money condition, a model is established to examine the relationship between marginalloan and factors which have an effect on it. Among these factors, required reserve ratio is the mostimportant one. Based on the conclusion, further research is made to explore the causes andmechanism which lead to the failure of required reserve ratio.Chapter4develops the conception of capital adequacy coefficient and points out that the capitaladequacy ratio regulation system will work under the capital adequacy coefficient. Regulationauthorities have regulated commercial banks under the capital adequacy ratio framework. Because ofthe risk nature of loan, the capital adequacy coefficient plays a more important role in the control ofloan scale.Chapter5focuses on the relationship between the capital adequacy coefficient and the interest rate system. Both controlled interest rates and market-oriented interest rates exist in the financialsystem. Among the interest rates, the yield rate on central bank notes is the bench mark of otherinterest rates. The expected return rate of bank capital reflects the relationship of risk and return. Theauthor argues that risk should be covered by bank capital and the return should be the combination ofcontrolled and market-oriented interest rate. So the relationship between the capital adequacycoefficient and interest rates system exist. A model is developed to display this relationship in thispaper. And, based the model, the relationship between the bench mark interest rate and the capitaladequacy coefficient is examined.And chapter6lists main conclusions and policy recommendations.The main contributions of this paper are：(1) Put forward to the conception of endogenousmoney base.(2) Demonstrate that it is capital adequacy coefficient not capital adequacy ratio that giveconstraints on scale of loan.(3) From the perspective of expected return rate of bank capital, thispaper put forward to a model to examine the relationship between the capital adequacy coefficient andinterest rate system.更多还原