商业银行信贷顺周期性的实证分析-金融学专业论文.docxVIP

EMPIRICAL ANALYSIS ON PROCYCLICALITY OF COMMERCIAL BANK LENDING By Fan Jiali Under the Supervision of Professor Charles Chang Submitted in Partial Fulfillment of the Requirements For the Degree of Master In Finance Shanghai Advanced Institute of Finance Shanghai Jiaotong University June 2012 Content Abstract i Chapter 1: Introduction 1 Research Background 1 Research Significance 2 Chapter 2: Literature Review 4 Theoretical Research on Lending Procyclicality 4 Procyclicality Caused by Lending Standard Variation 4 Procyclicality Caused by “Financial Accelerator” 5 Procyclicality Caused by Inappropriate Risk Measurement 6 Empirical studies on Lending Procyclicality 7 Chapter 3: Mechanisms of Procyclicality between Bank Lending and Asset Prices 9 Effect Mechanism of Asset Price on Bank Lending 9 Effect of Asset Price on Bank Lending Supply 9 Effect of Asset Price on Bank Lending Demand 12 Effect Mechanism of Bank Lending on Asset Prices 13 Direct Effect of Bank Lending on Asset Prices 13 Indirect Effect of Bank Lending on Asset Prices 14 Chapter 4: Procyclicality of Commercial Banks during Financial Crisis 15 Procyclicality of Commercial Banks in Asian Financial Crisis: 15 Outline of Asia Financial Crisis 15 Procyclicality of Commercial Banks during Crisis 17 Thailand as an Example 21 Procyclicality of Commercial Banks in Subprime Mortgage Crisis 24 Outline of Subprime Mortgage Crisis 24 Procyclicality of Subprime Mortgage Crisis 26 Chapter 5: Empirical Research: Procyclicality of Bank Lending and Asset Prices 29 Data Source and Data Description 30 Total Loan Balance Growth Rate 30 Real Estate Price Index 30 Stock Price Index 31 5.1.3 Bank Reserve Ratio Requirement 32 Methodology 33 Regression Analysis 33 Unit Root Test 33 VAR Model and Co-integration Test 35 Granger Causality Test 37 Impulse Test 39 Chapter 6 Conclusion 41 Bibliography 43 Appendix 45 i i Abstract Procy