中国商业银行信贷风险影响因素及其宏观效应研究

发布时间：2018-01-03 15:03

本文关键词：中国商业银行信贷风险影响因素及其宏观效应研究　出处：《华侨大学》2013年硕士论文　论文类型：学位论文

【摘要】：美国金融危机的爆发使人们意识到银行信贷风险的危害，信贷风险不仅影响银行的盈利性、稳定性和竞争力，，有时甚至可能对金融体系的健康运行产生冲击，影响一国实体经济，造成金融危机。改革开放以来，我国银行业高速发展，在国民经济的发展中起着关键性作用。然而，在金融高速发展的背后，我国银行业却隐藏着严重的风险问题，银行信贷风险一直处于较高水平。所以，研究我国银行信贷风险决定因素及其宏观经济效应具有重大的理论意义与实践价值。本文首先介绍我国商业银行信贷风险的特点及现状，其次从宏观经济因素以及银行微观因素两方面分析银行信贷风险的影响机制，最后运用我国宏观经济数据和微观银行数据建立动态面板模型和面板向量自回归模型（PVAR）,对我国商业银行信贷风险的影响因素及其宏观经济效应进行实证研究。结果表明：我国商业银行信贷风险同时受到宏观经济因素和微观银行个体因素的影响，商业银行信贷风险具有亲经济周期性：当GDP增长率变动1个百分点时，我国商业银行不良贷款率将出现2%左右的反向变动，CPI、M2增长率的波动同样引起信贷风险的反向变动。在对我国商业银行信贷风险的宏观经济效应研究中发现：我国商业银行信贷风险的宏观经济效应不显著，我国特殊的金融、经济体制可对此做出一定解释：政府财政政策以及我国现有的信贷结构将减弱商业银行信贷风险波动对宏观经济的冲击。
[Abstract]:The outbreak of the financial crisis in the United States to make people aware of the harm of bank credit risk, credit risk not only affects the bank's profitability, stability and competitiveness, and sometimes may impact the healthy operation of the financial system, affect a country's economy, caused by the financial crisis. Since the reform and opening up, the rapid development of China's banking industry, play a key role in the development of national economy. However, behind the rapid development of finance, China's banking industry has hidden risks serious problems, the risk of bank credit has been at a high level. Therefore, the research on the bank credit risk in China and its determinants of macroeconomic effect has great theoretical significance and practical value.
This paper first introduced our country commercial bank credit risk characteristics and the status quo of the influence mechanism followed by the analysis of bank credit risk from two aspects of macroeconomic factors and micro factors of the bank, and finally the use of China's macroeconomic data and micro data bank establishes a dynamic panel data model and panel vector autoregressive (PVAR) model, an empirical study on the influencing factors of the our country commercial bank credit risk and macroeconomic effects. The results show that the credit risk of commercial banks in China is also affected by macroeconomic factors and micro factors of individual banks, commercial bank credit risk is pro cyclical: when the GDP growth rate of 1 percentage points, China's commercial banks non-performing loan rate will appear the reverse change, about 2% of the CPI M2, the reverse changes in the fluctuation of the growth rate of the same cause. In the credit risk of China's commercial bank credit risk macro Study on economic effect: that the macroeconomic effects of the credit risk of commercial banks in China is not significant, China's special financial and economic system can be made certain explanation: government fiscal policy and the current credit structure will weaken the impact of commercial bank credit risk fluctuations of the macro economy.

【学位授予单位】：华侨大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.4

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