中国银行后瞻性的贷款损失准备管理及其逆周期效应

发布时间：2018-06-10 05:44

本文选题：贷款损失准备 + 顺周期　；参考：《经济科学》2011年06期

【摘要】：本文研究了银行贷款损失准备的管理策略对其信贷供给与周期波动的影响。研究表明我国银行业倾向于根据即期或历史信息对其信贷组合的预期损失进行评估,但其贷款损失准备管理却倾向于是逆周期的,似乎与即期准备或后向准备管理策略下的贷款损失准备的顺周期性相悖,这需要结合我国宏观经济和银行业特定的演变规律才能给予合理解释。自实行统一的贷款损失准备管理政策以来,我国宏观经济基本上处于经济周期的上行阶段,且银行业的不良贷款率处于下降的通道,当我国银行根据即期或历史的贷款损失信息进行信贷风险的评估时,其将高估了信贷组合未来的预期损失,从而倾向于计提较多的贷款损失准备,并供给相对较少的银行信贷,进而引致了贷款损失准备的逆周期变动。
[Abstract]:This paper studies the influence of the management strategy of bank loan loss preparation on its credit supply and cycle fluctuation. The research shows that Chinese banks tend to evaluate the expected losses of their credit portfolio based on spot or historical information, but their loan loss reserve management tends to reverse the cycle. It seems to be contrary to the procyclicality of loan loss preparation under immediate or backward reserve management strategy, which needs to be explained reasonably by combining the specific evolution laws of China's macro economy and banking industry. Since the implementation of the unified loan loss reserve management policy, China's macro-economy is basically in the upward stage of the economic cycle, and the non-performing loan ratio of the banking industry is in a declining channel. When Chinese banks evaluate the credit risk according to immediate or historical loan loss information, they overestimate the expected future losses of the credit portfolio, and tend to make more loan loss preparation and provide relatively less bank credit. This leads to the reverse cycle change of loan loss preparation.
【作者单位】：复旦大学经济学院;
【基金】：国家自然科学基金(70903012) 教育部人文社会科学研究基金(09YJC790045) 复旦大学“金苗”项目(09JM030)的资助
【分类号】：F832.4;F224

【相似文献】