我国银行贷款违约损失率的联动效应研究
发布时间：2019-05-28 19:35
【摘要】：在银行的经营管理中，不良贷款的风险控制一直是我国银行业的核心问题，而目前我国信用风险的研究仍然集中于违约概率这一指标的分析上，忽略了衡量信用风险程度的重要指标——违约损失率的研究。现有违约损失率的研究中，多集中于对性质、分布等基本问题的探讨，或是有少量实证是针对微观主体的研究。与以往学者的不同，本文从银行、区域和行业三个角度，通过违约损失率这个指标反映出的联动效应进行研究。采用2005-2013年银行贷款违约损失率的季度数据作为研究样本，首先对我国银行违约损失的历史表现，行业、区域分布现状进行描述性统计分析。然后利用pearson相关关系确定各主体之间的相关性，再用格兰杰因果检验分析它们的因果关系，并辅助最小生成树法研究其内在联动机制，在此基础上用脉冲响应法分析联动效应的方向和程度。 在理论研究和实证研究的基础上，本文发现：在银行机构间的联动中，外资银行与其他商业银行机构的相关性较弱。在非外资银行机构中，农村商业银行与其他机构的联动效应均很强，其中与大型（国有）商业银行形成的最大联动程度达0.4。在区域联动中，地理区位对违约损失率的联动有一定的聚集效应，其中华东地区的区域联动性最强。对七大区域进一步分析，将联动方式归纳为：①“一中心”联动，以北京为中心的华北地区联动，以河南为中心的华中地区联动。②以华东、西南为代表的“多中心”联动。③以华南、西北为代表的“闭合型”联动三类。在产业联动中，第一产业充当着产业联动中心，其与第二产业最大联动程度达2.78。在行业联动中，主要表现了两种行业间的联动机制，一是以产业链形式将违约损失率的变动进行上下游传导；二是以产业相关性的形式将违约损失率的变动在相似行业之间进行传导。制造业，住宿和餐饮业，居民服务和其他服务业，文化、体育和娱乐业这四个行业作为子类中心节点，将20个细分行业聚集在一起。
[Abstract]:In the operation and management of banks, the risk control of non-performing loans has always been the core issue of China's banking industry, but at present, the research on credit risk in China is still focused on the analysis of the index of default probability. The study of default loss rate, which is an important index to measure the degree of credit risk, is ignored. In the existing study of default loss rate, most of the research focuses on the nature, distribution and other basic issues, or a small amount of empirical research is aimed at the micro subject. Different from the previous scholars, this paper studies the linkage effect reflected by the default loss rate from the perspective of bank, region and industry. Taking the quarterly data of bank loan default loss rate from 2005 to 2013 as the research sample, this paper first makes a descriptive statistical analysis on the historical performance, industry and regional distribution of bank default loss in China. Then the pearson correlation is used to determine the correlation between the subjects, and then the Granger causality test is used to analyze their causality, and the minimum spanning tree method is used to study the internal linkage mechanism. On this basis, the direction and degree of linkage effect are analyzed by pulse response method. On the basis of theoretical research and empirical research, this paper finds that the correlation between foreign banks and other commercial banks is weak in the linkage between banking institutions. Among the non-foreign banks, the linkage effect between rural commercial banks and other institutions is very strong, among which the maximum degree of linkage with large (state-owned) commercial banks is 0.4. In the regional linkage, the geographical location has a certain aggregation effect on the default loss rate, among which East China has the strongest regional linkage. According to the further analysis of the seven regions, the linkage mode is summarized as: (1) "one center" linkage, North China area linkage with Beijing as the center, and central China area with Henan as the center. 2 to East China, Southwest as the representative of the "multi-center" linkage. 3 South China, northwest as the representative of the "closed" linkage three categories. In the industrial linkage, the primary industry acts as the center of industrial linkage, and the maximum degree of linkage with the secondary industry is 2.78. In the industry linkage, it mainly shows the linkage mechanism between the two industries, one is to transmit the change of default loss rate upstream and downstream in the form of industrial chain; The second is to transmit the change of default loss rate between similar industries in the form of industrial correlation. Manufacturing, accommodation and catering, resident services and other services, culture, sports and entertainment, as sub-central nodes, bring together 20 subsectors.
【学位授予单位】：湖南大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F224;F832.4
[Abstract]:In the operation and management of banks, the risk control of non-performing loans has always been the core issue of China's banking industry, but at present, the research on credit risk in China is still focused on the analysis of the index of default probability. The study of default loss rate, which is an important index to measure the degree of credit risk, is ignored. In the existing study of default loss rate, most of the research focuses on the nature, distribution and other basic issues, or a small amount of empirical research is aimed at the micro subject. Different from the previous scholars, this paper studies the linkage effect reflected by the default loss rate from the perspective of bank, region and industry. Taking the quarterly data of bank loan default loss rate from 2005 to 2013 as the research sample, this paper first makes a descriptive statistical analysis on the historical performance, industry and regional distribution of bank default loss in China. Then the pearson correlation is used to determine the correlation between the subjects, and then the Granger causality test is used to analyze their causality, and the minimum spanning tree method is used to study the internal linkage mechanism. On this basis, the direction and degree of linkage effect are analyzed by pulse response method. On the basis of theoretical research and empirical research, this paper finds that the correlation between foreign banks and other commercial banks is weak in the linkage between banking institutions. Among the non-foreign banks, the linkage effect between rural commercial banks and other institutions is very strong, among which the maximum degree of linkage with large (state-owned) commercial banks is 0.4. In the regional linkage, the geographical location has a certain aggregation effect on the default loss rate, among which East China has the strongest regional linkage. According to the further analysis of the seven regions, the linkage mode is summarized as: (1) "one center" linkage, North China area linkage with Beijing as the center, and central China area with Henan as the center. 2 to East China, Southwest as the representative of the "multi-center" linkage. 3 South China, northwest as the representative of the "closed" linkage three categories. In the industrial linkage, the primary industry acts as the center of industrial linkage, and the maximum degree of linkage with the secondary industry is 2.78. In the industry linkage, it mainly shows the linkage mechanism between the two industries, one is to transmit the change of default loss rate upstream and downstream in the form of industrial chain; The second is to transmit the change of default loss rate between similar industries in the form of industrial correlation. Manufacturing, accommodation and catering, resident services and other services, culture, sports and entertainment, as sub-central nodes, bring together 20 subsectors.
【学位授予单位】：湖南大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F224;F832.4
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