我国商业银行贷款损失准备周期特征与管理研究

发布时间：2018-03-14 05:52

本文选题：贷款损失准备　切入点：前瞻性　出处：《中国海洋大学》2014年硕士论文　论文类型：学位论文

【摘要】：次贷危机的爆发，使得金融机构贷款损失准备计提的顺周期性引起国内外监管当局的关注。在贷款损失发生时，贷款损失准备计提不足就不能完全冲销贷款损失，只能用银行的利润或资本来弥补。若银行的资本因此受到严重的侵蚀，就会引发银行的资本危机，进而引起银行的破产倒闭。次贷危机的爆发也极大的说明了逆周期工具在宏观审慎监管框架下是非常重要的。银监会2011年颁布的《中国银行业实施新监管标准的指导意见》要求建立动态调整贷款损失准备制度。2012年12月，巴塞尔委员会《第三版巴塞尔协议》，提出了逆周期超额资本。如果我们能使用前瞻性的贷款损失准备计提方法，就可以减弱贷款损失准备的顺周期特征，，减少银行的运营的风险。从查阅的资料中看出，缺乏对贷款损失准备周期特征进行实证研究。本文对我国上市商业银行2003—2012年的数据进行面板数据回归，实证分析了我国商业银行贷款损失拨备计提的一些周期特征。在此基础上，本文将16家上市商业银行分为5家国有股份制商业银行、8家全国股份制商业银行、3家城市商业银行，研究贷款损失准备计提的前瞻性或后瞻性，以及和经济周期的关系，并对结果进行对比。由于各类银行经营决策不同，进行比较分析时，结合各个银行贷款损失准备制度的演变，实施现金流折现法的时间，得出结论。本文研究发现，对16家上市商业银行的实证分析结果显示，贷款损失准备具有后瞻性，呈现顺周期的特征，贷款损失准备与违约风险暴露正相关，存在利润平滑行为。针对16家上市商业银行分别分析得知，农业银行、中国银行、招商银行、建设银行、华夏银行和光大银行贷款损失准备呈现前瞻性，城市商业银行贷款损失准备顺周期性最为明显。结合实施现金流折现法的时间对16家银行进行对比得出未来现金流量折现法比贷款五级分类计提法更具有前瞻性，未来现金流折现法是更科学的计提方法。从操作层面看，在宏观审慎监管框架下动态准备金制度是一种逆周期工具。在动态准备金制度下，银行贷款损失准备会更多的表现出逆周期的特征，在经济繁荣的时候计提较多的贷款损失准备，在经济衰退的时候计提较少的贷款损失准备。这种制度与后瞻性的贷款损失准备制度相比，可以有效地降低银行的顺周期效应。本文着重分析了西班牙动态准备制度。在该制度下，虽然银行的顺周期特征不能完全消除，但是是解决贷款损失准备充足性的一个很好的办法，增强了银行运行的安全性和抵御风险的能力。文章分析了西班牙动态准备金制度的优点，我国执行该制度当前所面临的挑战以及西班牙动态准备金制度对我国的启示。最后提出了提升我国贷款损失准备管理水平的建议，涉及会计税收、完善未来现金流折现法及监管措施等诸方面。
[Abstract]:With the outbreak of the subprime mortgage crisis, the pro-cyclicality of loan loss reserve provisions in financial institutions has attracted the attention of domestic and foreign regulatory authorities. When loan losses occur, insufficient provision for loan losses will not be able to completely write off loan losses. It can only be made up of the profits or capital of the banks. If the capital of the banks is seriously eroded, it will lead to the capital crisis of the banks. The outbreak of the subprime mortgage crisis also shows that countercyclical instruments are very important under the framework of macro-prudential supervision. The Banking Regulatory Commission issued on 2011 the implementation of the new regulatory standards for China's banking industry. The guidance requires the establishment of a dynamic adjustment loan loss reserve system. December 2012, The Basel Committee, the third edition of the Basel Accord, proposes countercyclical excess capital. If we can use forward-looking loan loss reserve accounting methods, we can reduce the pro-cyclical character of loan loss preparation. Reduce the risk of bank operations. From the reference data, we can see that there is a lack of empirical research on the characteristics of loan loss reserve cycle. This paper carries out panel data regression to the data of China's listed commercial banks from 2003 to 2012. On the basis of this, 16 listed commercial banks are divided into 5 state-owned joint-stock commercial banks and 8 national joint-stock commercial banks and 3 urban commercial banks. To study the forward-looking or backward nature of loan loss preparation, and its relationship with the economic cycle, and to compare the results. Combined with the evolution of bank loan loss reserve system, the time of implementing cash flow discounting method is obtained. The results of empirical analysis of 16 listed commercial banks show that loan loss preparation is backward and pro-cyclical, and loan loss preparation is positively related to exposure to default risk. There is a profit smoothing behavior. According to the analysis of 16 listed commercial banks, respectively, the Agricultural Bank, Bank of China, China Merchants Bank, China Construction Bank, Huaxia Bank and Everbright Bank are looking forward to loan losses. The pro-cyclicality of city commercial banks' loan loss reserve is most obvious. In combination with the time of implementation of the cash flow discounting method, 16 banks are compared. The future cash flow discount method is more forward-looking than the five-level loan classification method. The method of discounted cash flow in the future is a more scientific method. From the operational level, the dynamic reserve system is a counter-cyclical tool under the framework of macro-prudential supervision. Under the dynamic reserve system, the bank loan loss preparation will show more counter-cyclical characteristics. When the economy is booming, more loan losses are prepared, and when the economy is in recession, there is less provision for loan losses. This system is compared with the backward loan loss reserve system. This paper focuses on the analysis of Spanish dynamic reserve system. Under this system, although the pro-cyclical characteristics of banks cannot be completely eliminated, However, it is a good way to solve the problem of adequacy of loan loss preparation, which enhances the safety of banks and the ability to resist risks. This paper analyzes the advantages of Spain's dynamic reserve system. The challenge that our country faces in implementing this system and the inspiration of Spain's dynamic reserve system to our country are put forward. Finally, some suggestions are put forward to improve the management level of loan loss reserve in China, which involves accounting and taxation. Improve the future cash flow discounted method and regulatory measures and other aspects.
【学位授予单位】：中国海洋大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.4

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