【作者】 王炜；

【导师】 杨柳；

【作者基本信息】 华中师范大学 ， 金融， 2018， 硕士

【摘要】 因为存在金融摩擦,因此企业会在经济周期的不同阶段选择进行债务融资还是进行股权融资。商业银行是一类特殊的企业,因为其既具有信用中介职能,又以盈利为目的。商业银行一方面通过负债募集资金,把社会上的闲置资金集中到自身的资金池,再通过分散其资产,把它投向经济各部门,因此商业银行融资行为的波动与经济的循环有着相互作用,并且相互影响。而近年来国内外学者大部分主要是从加总数据和面板数据两个方面考查企业的融资行为与经济周期的关系,较少文献涉及到商业银行的融资行为的经济周期性研究。截至目前尚没有一个公认的理论可以对商业银行融资行为特别是股权融资的经济周期性做出肯定的理论预测。因此,有必要从实证的角度为符合中国特征的宏观不完全金融市场模型的构建提供一定的微观实证基础。出于这一目的,本文根据实际经济周期文献的习惯采用H-P滤波得到的实际GDP周期项作为宏观经济波动的度量,以中国上市商业银行为考察对象分别进行面板数据分析和加总数据分析,研究商业银行的债务融资和股权融资(不包含IPO)行为的经济周期性,得到基本一致的结论。本文选取了 14家在A股上市的商业银行,通过其公开数据探究了不同规模的商业银行其融资行为与经济周期的关系。首先,本文介绍了国内外对于商业银行的融资行为与经济周期的相关关系的研究情况。接着,描述了经济周期理论以及介绍当前宏观经济新形势。然后,本文继续阐述我国商业银行的融资现状和商业银行不同融资方式之间的比较。进一步地,通过实证分析验证提出的猜想,即商业银行的债务融资行为以及股权融资行为与经济周期之间具有相关性,并且不同资产规模的商业银行随经济周期波动会选择不同的融资方式。最终,本文得出以下结论:(1)上市商业银行的债务融资量和股权融资量均与经济周期正相关,也即均具有顺经济周期性;(2)商业银行的资产规模对于其自身融资方式的选择具有影响,即商业银行规模是解释商业银行各变量周期行为的重要因素;(3)小商业银行偏好股权融资,而大商业银行则偏好债务融资,大部分商业银行随经济周期变动调整其资产负债比重;(4)本文的研究结果表明,不同规模商业银行的资产负债表项目在经济周期中,呈现不同的变动,可能会带来不同的政策意义,宏观审慎部门可以根据商业银行规模的不同来修订政策,从而给整个经济体带来福利改善。本文通过研究得出的结论,对于构建与中国经济发展相适应的的宏观金融摩擦模型具有重要的借鉴意义。更多还原

【Abstract】 Because of financial friction,enterprises will choose debt financing or equity financing during different stages of the economic cycle.Commercial banks are a kind of special enterprise,because they have both credit intermediary function and seeking profit.On the one hand,the commercial banks collect funds through debt,then they concentrate the idle funds in the society into its own pool of funds,and spread their assets to the various sectors of the economy.Therefore,the fluctuation of the financing behavior of commercial banks has interaction with the economic cycle and they will affect each other.In recent years,most of the domestic and foreign scholars mainly examine the relationship between the financing behavior and the economic cycle of the enterprise from two aspects:the total data and panel data.Only few paper involves the economic cyclical study of the financing behavior of the commercial banks.Up to now,there is no accepted theory that can make a positive theoretical prediction for the financing behavior of commercial banks,especially the cyclical nature of equity financing.Therefore,it is necessary to provide a micro empirical basis for the construction of a macro incomplete financial market model with Chinese characteristics from an empirical perspective.For this purpose,this paper,based on the practice of the actual economic cycle literature,uses the actual GDP cycle terms obtained by the H-P filter as a measure of macroeconomic fluctuations,and carries out the panel data analysis and the total data analysis of the listed commercial banks of China to study the debt financing and equity financing of commercial banks.Then we get the basically consistent conclusion.This paper selects 14 commercial banks listed on A stock markets,and through their open data explores the relationship between the financing behavior of different scale commercial banks and the business cycle.First of all,this paper introduces the research on the relationship between financing behavior and business cycle of commercial banks both at home and abroad.Then,it describes the economic cycle theory and introduces the current macroeconomic situation.Then,this paper continues to explain the financing status of commercial banks in China and compares the different financing methods of commercial banks.Furthermore,through empirical analysis,this paper validates the proposed conjectures,that is,the debt financing behavior and the equity financing behavior of commercial banks are related to the economic cycle,and the commercial banks with different assets size will choose different financing ways with the fluctuation of the economic cycle.Finally,this article draws the following conclusions:(1)the amount of debt financing and equity financing of listed commercial banks are positively related to the economic cycle,that is,they all follow the cyclical nature of the business cycle;(2)the size of the commercial bank has an impact on the choice of its own financing way,that is,the size of the commercial bank is an important factor to explain the periodic behavior of the commercial banks;(3)small commercial banks prefer equity financing,while large commercial banks prefer debt financing,and most commercial banks adjust their assets and liabilities with the change of the economic cycle;(4)the results of this study show that the different changes in the balance sheet projects of different scale commercial banks may bring different policy implications.The macro Prudential departments can revise the policies according to the different scale of commercial banks to bring welfare improvement to the whole economy.The above facts are of great significance to building a macro financial friction model that is consistent with China’s reality.更多还原