The Study Of Chinese Commercial Bank Credit Cycle Causes Based On Multi Perspective

At different stages of China's economic development,finance and the real economy has undergone dynamic interactions,and because of fluctuations in asset prices,especially real estate market price fluctuations,commercial bank credit will exacerbate volatility of the economic cycle.In this paper,the credit cycle as the study were based on the macro perspective,an in-depth study and micro perspective Perspective causes of the credit cycle,and propose appropriate policy recommendations.At the macro level,this paper,the relationship between the credit cycle and the business cycle based on a study that the credit cycle is mainly affected by the impact of their own behavior credit,money supply and the exchange rate is an important factor in the impact of the credit cycle;at the meso level,the introduction of the real estate market as Financial Accelerator Research credit cycle,based on the theory of financial cycles epitaxial expand credit cycle research;at the micro level,we consider the micro-economic characteristics of commercial banks:the size of commercial banks,commercial banks liquidity indicators and deposit growth,Effect of focusing on banking supervision and monetary policy on bank credit generation,testing the monetary policy smooth the credit cycle mechanism is established.This paper is divided into seven chapters,as follows:Chapter One is the introductory part that first introduces the research background and significance,and expounds on the research objectives and related concept,subsequently describes the research idea and analysis tool used and summarizes the main contribution and possible limitation in this paper.In Chapter Two,we review and summarize the causes of commercial bank credit cycle.First,the definition of the commercial bank's credit cycle and its typical characteristics is introducedfrom two aspects of connotation and extension.The paper conducts the research on the commercial bank's credit cycle by means ofthe financial acceleratorand the financial cycle theory and works out the distinctive features by referencing the relative literatures,with the conclusion that the typical facts of credit cycle through looking up references.Then,we analyze the correlation of the credit cycle and the business cycle by referencing American data and describes the relationship by graphs.Second,we sort out the credit cycle theories since 1980,covering a range from the historical origin to the mature credit cycle theory within theboom of the information economy.The latest progress in the credit cycle theory that emerges after the financial crisis is also included,with an emphasis on two main financial factors in the economy---the financial accelerator theory and the financial cycle theory.Finally,we conclude from the micro perspective that the four main factors that impact the credit cycle are the banking credit behavior,the inter-bank competition behavior,banking credit risk and bank supervision.In Chapter Three,we analyzesChina's credit cycle and its causes.First,we conducts a phase analysis of China's credit circle from 1992 to 2014 to describe the formation of periodic motion of credit in the different stage of economic development.Second,we summarizes the basic characteristics of China's credit cycle,based on the correlation between China's credit cycle and business cycle.Third,we analyze the formative causes of China's credit cycle from the macro,meso and micro perspective and describes in large detail the relationship between the credit cycle and the business cycle under the condition of asymmetric information,the relationship between the credit cycle and the effects of real estate financial accelerator,as well as monetary policy,bank supervision and the credit cycle,for the purpose of delineate the formative causes of the credit cycle from different perspective,so as to put forward a more appropriate monetary and regulatory policies to smooth the credit cycle.Finally,we summarize the current empirical methods used at present and raises the method employed in this paper.In Chapter Four,we carry out an empirical analysis from the macro perspective.For this,we use the estimation method and construct six variable auto regressive model to examine Chinese monthly data from 1996 to 2014 in the macro time sequence.The conclusion shows that the bank's own credit behavior is the most important factor in the formation of the credit cycle,accounting for around 85%of the fluctuation,followed by money supply and exchange rates on the credit cycle fluctuation.The exchange rate variable in the long term has an effect on the credit cycle in gradually increasing.Finally,we use the exchange rate reform in 2005 as a sample grouping criterion,with the result that after the reform on the exchange rate,the credit cycle is gradually influenced by money supply and interest rates on bank credit besidesbanks' own credit behavior,showing asignificant impact of monetary policy on credit cycleIn Chapter Five,we conduct a researchon the influenceof asset price fluctuation for the credit cycle on the basis of meso perspective,using panel vectors' auto regressive model estimation methods.It selects house prices in the real estate market and land supply capacity as research objects.The panel data are from China's 35 large and medium-sized cities during 2003-2011.The panel vectors' auto regression model is established to explore whether the financial accelerator in housing market exists.The demonstration shows that the real estate market reflects the effect of financial accelerator,meaning the relationship between the real estate market prices and the credit cycle is single direction rather than double direction(or feedback relationship).The results show that aside from the influence of credit cycle,the real estate prices can account forup to 20%of the credit cycle fluctuation in the long term.Subsequently it draws a conclusion that real estate prices are an important cause for the formation of credit cycle.In Chapter Six,we analyzes how the credit cycle will be influenced by the microscopic features of commercial banks from micro perspective.In the meantime,by controlling these microscopic features,we also analyzes what effect monetary policy and banking supervision have on commercial bank credit cycle.In order to ensure the reliability of the empirical research,we establish the theoretical model first,and make an empirical study subsequently.When establishing the theoretical model,wefirst use the Cournot competition model,which illustrates that bank credit amount is determined by the number of commercial banks.Then,we establish the credit demand and credit supply model to find what decides the bank credit.Thus,we find that the three microscopic features of commercial banks-credit cycle,commercial bank size,liquidity and deposit growth rate,will determine the credit cycle.When doing the empirical research,we,taking account of the three microscopic features of commercial banks,use the System GMM to analysis how banking supervision and monetary policy will effect on the credit cycle and it turns out that monetary policy will smooth the credit cycle).In Chapter Seven,we sum up the full text and put forward some suggestions on monetary policy and macro-prudential supervision,which plays an indispensable role in strengthen the financing ability of financial market,improving the competitiveness of banking industry and smoothing the credit cycle comprehensively.