宏观经济因素对我国商业银行不良贷款率的影响研究

发布时间：2018-07-27 13:34

【摘要】：近些年我国商业银行不良贷款余额和不良贷款率正在逐年双升,这不仅降低了商业银行的资产质量以及利润水平,同时还弱化了商业银行对市场经济的支撑能力。我国金融体系是一个以银行为中介的间接融资为主、以发行股票和债券的直接融资为辅的格局,一旦我国商业银行发生信用危机,金融体系会随之崩塌,实体经济将会如二十世纪九十年代的日本一样急剧衰退。所以,商业银行不良贷款问题应当引起足够重视,进行该问题的相关研究对我国银行业、金融市场和实体经济的发展都具有重大意义。我们通常将影响某个行业发展的因素归类为宏观因素和微观因素,本文在对微观因素进行一定程度的控制前提下,从宏观经济方面探讨我国商业银行不良贷款率的影响因素及其作用机制,找出解决问题的对策。本文思路层次作如下安排,首先,对我国商业银行不良贷款的概况进行阐述,主要内容包括不良贷款和不良贷款率的概念界定、我国商业银行不良贷款监督管理发展历程、我国商业银行不良贷款余额与不良贷款率的发展状况及不良贷款问题对我国宏观经济的影响。然后,从理论上讨论经济增长、通货膨胀、失业和货币政策(包括货币供应量和利率)等宏观经济因素对不良贷款率影响的作用机制,并找出最具代表性和操作性的指标来量化这些宏观经济因素,为实证分析选出恰当的变量;理论部分主要以西方经济学理论和货币银行学理论以及近十多年来我国宏观经济与不良贷款率的特征事实为支撑点展开探讨。接着,从实证方面分析宏观经济因素对我国商业银行不良贷款率的影响,本文以国内生产总值增长率、消费者价格指数、失业率、广义货币供应量增长率与一年期贷款基准利率等指标来衡量经济增长、通货膨胀、失业和货币政策等因素作为解释变量,以资产负债率、资本充足率、流动性比例等指标衡量商业银行资产的资本结构、安全性和流动性作为控制变量,以不良贷款率指标作为被解释变量,建立VAR模型进行实证探究,经过平稳性检验、稳定性检验、协整分析、格兰杰因果关系检验、脉冲响应函数分析和方差分解分析等一系列实证分析后,我们得出了实证结果。研究结果表明,第一,经济增长率的变动对我国商业银行不良贷款率的升降具有重大影响,且该影响具有周期性。刚开始时,不良贷款率随经济增长率上升而上升,但是经过一段时间后,不良贷款率随着经济增长率上升而下降,如此循环下去,这是由经济周期对违约风险影响的非对称性以及我国近十多年经济增长和不良贷款率变动的特征事实决定的。第二,广义货币供应量增长率的变动对我国商业银行不良贷款率有反向影响,货币供应量增加,意味着整个社会的资金量增多,可供企业借贷的资本增多,能鼓励企业加大投资生产,企业的效益一旦提升上去,自然就缓解了还款压力。第三,消费者价格指数的变动会引起我国商业银行不良贷款率反向变动,且对其贡献率比较大。温和的通货膨胀有利于企业、农民以及在某些情况下的政府,企业受益,是因为他们出售商品的价格比工资、薪水、租金、债券利息等一些费用增长得更快;农民受益,是因为农产品需求缺乏弹性,食品价格往往比其他产品价格增长快得多。企业从通货膨胀中受益后会加大投资生产,而农民受益后增大消费支出,两者皆会提高国内生产总值,这有利于借款主体及时归还贷款。第四,失业率的变动会引起商业银行不良贷款率同向变动,且对其贡献率比较大。无论是处于短期还是中长期阶段,失业都会直接导致企业的利润和个人可支配收入降低,从而影响各主体的还款能力。第五,贷款利率的变动刚开始会引起我国商业银行不良贷款率同向变动,但是从长期趋势来看,贷款利率的变动会引起我国商业银行不良贷款率反向变动,因为贷款利率上升意味着社会融资成本增加,筹资主体会更加谨慎借款,并将款项投入到有效项目中,从而保证贷款尽可能地按期归还。第六,商业银行自身微观因素也会影响不良贷款率的升降,本文主张商业银行保持较低的资产负债率与较高的资本充足率和流动性比例。最后为防范和化解不良贷款的对策。本文根据上述的理论分析和实证分析,结合国家金融监管和宏观审慎政策,向政府、贷款人和借款人等三个重要主体提出了解决不良贷款问题的政策建议。政府方面,寻找经济增长新动力,突破经济发展瓶颈;实施稳健中性的货币政策,保障利率市场化成果;升级人才培养和选拔模式,解决结构性失业困境;健全相关法律法规体系,加强金融监管。贷款人方面,关注宏观经济变化,理性放贷;健全信贷管理机制,完善风险管理体制;不良贷款证券化,解决已有不良贷款。借款人方面,加强企业道德风险管理,加强财务风险提示;加强贷款使用调查,加大逾期还款惩罚力度。
[Abstract]:In recent years, the balance of non-performing loans and the rate of non-performing loans of commercial banks in China are increasing year by year. This not only reduces the asset quality and profit level of commercial banks, but also weakens the supporting ability of commercial banks to the market economy. Our financial system is mainly indirect financing, which is mediated by banks to issue stocks and bonds. If the Commercial Bank of our country has a credit crisis, the financial system will collapse and the real economy will be as sharp as Japan in 1990s. Therefore, the problem of non-performing loans for commercial banks should be paid enough attention to the related research of this problem to China's banking and financial markets. And the development of the real economy is of great significance. We usually classify the factors that affect the development of a certain industry as macro and micro factors. Under the premise of a certain degree of control on the micro factors, this paper discusses the influencing factors and mechanism of the non-performing loan rate in China's commercial banks from the macro economic aspect, and finds out the solution. The following arrangements are made in this paper. First, the general situation of non-performing loans in China's commercial banks is expounded. The main contents include the definition of non-performing loans and the rate of non-performing loans, the development process of supervision and management of non-performing loans in commercial banks in China, the development of the balance of non-performing loans and the rate of non-performing loans in commercial banks in China. And the impact of the problem of non-performing loans on China's macro-economy. Then, the mechanism of the impact of macroeconomic factors such as economic growth, inflation, unemployment and monetary policy (including money supply and interest rates) on the rate of non-performing loans is discussed in theory, and the most representative and operational indicators are found to quantify these macroeconomic factors. The appropriate variables are selected for the empirical analysis, and the theoretical part is mainly based on the western economic theory and the monetary banking theory and the characteristics of the macroeconomic and non-performing loans in China over the past ten years. Then, this paper analyzes the impact of macroeconomic factors on the non-performing loan rate of China's commercial banks from the empirical aspect. Based on the GDP growth rate, the consumer price index, the unemployment rate, the broad money supply growth rate and the one-year loan benchmark interest rate and other indicators to measure economic growth, inflation, unemployment and monetary policy as explanatory variables, the assets and liabilities rate, capital adequacy ratio, liquidity ratio and other indicators are used to measure commercial bank assets. The capital structure, security and liquidity are taken as the control variables, and the VAR model is established by the nonperforming loan rate index as the explanatory variable. After a series of empirical analyses, such as stability test, stability test, cointegration analysis, Grainger causality test, impulse response function analysis and variance decomposition analysis, we get a series of empirical analysis. The results show that, first, the change of the economic growth rate has a significant impact on the rise and fall of the non-performing loan rate of China's commercial banks, and the effect is cyclical. At the beginning, the rate of non-performing loans rose with the increase of economic growth rate, but after a period of time, the rate of non-performing loans has risen with the increase of economic growth rate. This is determined by the asymmetry of the impact of the economic cycle on the risk of breach of contract and the characteristics of the changes in economic growth and the rate of non-performing loans in China for the last more than 10 years. Second, the change in the growth rate of the broad money supply has a reverse effect on the non-performing loan rate of commercial banks in China, and the increase of money supply means that the whole money supply is increasing. The increase in the amount of capital of the society, the increase of the capital for the enterprise borrowing and lending, can encourage the enterprise to increase the investment production, and once the benefit of the enterprise is promoted, it naturally relieves the repayment pressure. Third, the change of the consumer price index will cause the negative change of the non-performing loan rate of the commercial banks of our country, and the rate of contribution is relatively large. Inflation is conducive to enterprises, farmers and in some cases of the government, enterprises benefit, because the price of their sale of goods is faster than wages, salaries, rent, bond interest and other costs. The farmers benefit from the lack of elasticity of the demand for agricultural products, and the price of food is often much faster than the price of other products. After the benefit of inflation will increase the investment production, and the increase of the consumption expenditure after the benefit of the farmers, both will increase the gross domestic product, which is beneficial to the loan subject to return the loan in time. Fourth, the change of the unemployment rate will cause the commercial bank's bad loan rate to change, and the contribution rate is relatively large. Whether it is in the short or middle and long term, Unemployment will directly lead to the reduction of profit and personal disposable income, which will affect the repayment ability of the main body. Fifth, the change of the loan interest rate will cause the non-performing loan rate of the commercial banks of our country to change. But in the long run, the change of the loan interest rate will cause the negative loan rate of the commercial banks in our country to change reverse. As the increase in the loan interest rate means the increase in the cost of social financing, the financing main experience is more prudent and the money is put into the effective project to ensure that the loan is returned as soon as possible. Sixth, the commercial bank's own micro factors will also affect the rise and fall of the bad loan rate. This article advocates that commercial banks maintain lower negative assets. The debt rate and the higher capital adequacy ratio and the liquidity ratio. Finally, this paper, based on the above theoretical analysis and empirical analysis, combined with the national financial supervision and macro Prudential policy, puts forward policy suggestions to the government, lenders and borrowers to solve the problem of non-performing loans. In the government, we should seek new impetus for economic growth, break through the bottleneck of economic development, implement a stable and neutral monetary policy, guarantee the results of interest rate marketization, upgrade the mode of training and selection of talents, solve the difficulties of structural unemployment, improve the system of relevant laws and regulations, strengthen financial supervision, and pay more attention to macroeconomic changes and rational lending. Credit management mechanism, improve the risk management system; non-performing loan securitization, solve the existing non-performing loans. Borrowers, strengthen the management of the enterprise moral risk, strengthen the financial risk hints, strengthen the loan use investigation, and increase the penalty of overdue repayment.
【学位授予单位】：江西财经大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F124;F832.4

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