我国商业银行不良贷款率与宏观经济因素关联性研究
发布时间：2018-08-27 10:49
【摘要】：明斯基的金融脆弱性理论认为货币具有天然的脆弱性,银行业作为资金融通的重要中介机构,经济基础的恶化容易造成银行危机,这种现实根源于经济周期变化。当前我国经济正处于经济增速换挡器、结构调整阵痛期以及前期政策消化的三期叠加阶段,宏观经济的变动会影响商业银行的信贷资产质量,而这种影响会反作用于宏观经济。因此在新的时代背景下研究宏观经济因素对商业银行不良贷款率的影响十分具有意义。经过对国内外相关文献的研读,本文从理论以及实证两个方面梳理与分析宏观经济因素对我国商业银行不良贷款率的影响。从理论角度出发,本文首先详细分析了商业银行信贷的顺周期性,其次论述了商业银行不良贷款率与国内生产总值、全社会固定资产投资、广义货币供应量和居民消费价格指数四个宏观经济因素的反向变化关系。从实证角度出发,通过构建上述四个指标与商业银行不良贷款率的VAR模型,在经过数据平稳性检验、协整检验和格兰杰因果检验后使用脉冲响应函数与方差分解法进行动态分析。实证结果表明:国内生产总值增长率、广义货币供应量增长率、居民消费价格指数同比以及全社会固定资产投资增长率总体均与商业银行不良贷款率呈负相关关系;通过方差分解可知,随着时间的变化,商业银行不良贷款率本身、广义货币供应量增长率、居民消费价格指数同比、国内生产总值增长率与全社会固定资产投资增长率对商业银行不良贷款率的贡献度依序逐渐减少。结合理论分析与实证分析,为了促进商业银行健康发展,本文从以下两个角度提出相应的政策建议。从商业银行层面有如下建议:一、完善公司治理体制,树立合乎发展规律的经营理念;二、健全风险管理体制,提高风险管理水平;三、加强对宏观经济形势的关注。从政府层面有如下建议:一、实施逆周期资本缓冲政策,减轻金融机构共振;二、鼓励发展直接融资市场;三、适当放松金融管制,鼓励金融创新。
[Abstract]:Minsky's theory of financial fragility holds that money is naturally fragile and that the deterioration of the economic base of the banking sector, as an important intermediary for financing, is likely to cause banking crisis. This reality is rooted in the changes of the economic cycle. In the three-phase superposition stage, macroeconomic changes will affect the quality of credit assets of commercial banks, and this effect will react to macroeconomic. Therefore, it is of great significance to study the impact of macroeconomic factors on the non-performing loan rate of commercial banks in the new era. From the theoretical point of view, this paper firstly analyzes the pro-cyclicality of commercial bank credit, secondly discusses the non-performing loan rate and GDP of commercial banks, the investment in fixed assets of the whole society, the money supply in a broad sense and the GDP of the whole society. From the empirical point of view, this paper constructs the VAR model of the above four indicators and the non-performing loan rate of commercial banks, and makes a dynamic analysis by using impulse response function and variance decomposition method after data stationarity test, cointegration test and Granger causality test. The results show that the growth rate of GDP, the growth rate of money supply in a broad sense, the growth rate of consumer price index and the growth rate of fixed assets investment in the whole society are negatively correlated with the non-performing loan rate of commercial banks. The contribution of the growth rate of GDP and the growth rate of fixed assets investment to the rate of non-performing loans of commercial banks decreases in sequence. Combined with theoretical analysis and empirical analysis, this paper puts forward corresponding policies from the following two perspectives to promote the healthy development of commercial banks From the commercial bank level, there are the following suggestions: first, improve the corporate governance system, establish a business philosophy in line with the law of development; second, improve the risk management system, improve the level of risk management; third, strengthen the attention to the macroeconomic situation. Two, encourage the development of direct financing market; three, appropriately relax financial regulation and encourage financial innovation.
【学位授予单位】：广东外语外贸大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.4;F124
本文编号：2207046
[Abstract]:Minsky's theory of financial fragility holds that money is naturally fragile and that the deterioration of the economic base of the banking sector, as an important intermediary for financing, is likely to cause banking crisis. This reality is rooted in the changes of the economic cycle. In the three-phase superposition stage, macroeconomic changes will affect the quality of credit assets of commercial banks, and this effect will react to macroeconomic. Therefore, it is of great significance to study the impact of macroeconomic factors on the non-performing loan rate of commercial banks in the new era. From the theoretical point of view, this paper firstly analyzes the pro-cyclicality of commercial bank credit, secondly discusses the non-performing loan rate and GDP of commercial banks, the investment in fixed assets of the whole society, the money supply in a broad sense and the GDP of the whole society. From the empirical point of view, this paper constructs the VAR model of the above four indicators and the non-performing loan rate of commercial banks, and makes a dynamic analysis by using impulse response function and variance decomposition method after data stationarity test, cointegration test and Granger causality test. The results show that the growth rate of GDP, the growth rate of money supply in a broad sense, the growth rate of consumer price index and the growth rate of fixed assets investment in the whole society are negatively correlated with the non-performing loan rate of commercial banks. The contribution of the growth rate of GDP and the growth rate of fixed assets investment to the rate of non-performing loans of commercial banks decreases in sequence. Combined with theoretical analysis and empirical analysis, this paper puts forward corresponding policies from the following two perspectives to promote the healthy development of commercial banks From the commercial bank level, there are the following suggestions: first, improve the corporate governance system, establish a business philosophy in line with the law of development; second, improve the risk management system, improve the level of risk management; third, strengthen the attention to the macroeconomic situation. Two, encourage the development of direct financing market; three, appropriately relax financial regulation and encourage financial innovation.
【学位授予单位】：广东外语外贸大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.4;F124
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