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本文结合巴塞尔协议Ⅲ的新监管要求,构建了我国商业银行贷款利率定价模型,从而量化了微观审慎政策与宏观审慎政策变化对商业银行贷款利率的影响。实证结果显示,提高资本要求无论对商业银行的信贷收缩还是贷款价格上升都十分显著,而实施资本留存缓释对贷款价格波动并不明显。
Based on the new regulatory requirements of Basel III, this paper constructs the loan pricing model of commercial banks in China, and then quantifies the impact of micro-prudential policies and macro-prudential policies on the interest rates of commercial banks. Empirical results show that raising the capital requirement is significant regardless of the credit contraction of commercial banks or the increase of loan prices, while the implementation of capital retention and release on the loan price fluctuations is not obvious.