摘要
我国商业银行不良贷款率自2014年起两年内连续出现了逐步上升态势。商业银行作为重要的经济部门,不良贷款率的高低影响着我国经济风险的大小。通过建立理论模型和VAR实证模型,对商业银行的不良贷款率与经济增长的关系及其原因进行分析。两种模型的分析结果都显示:经济增长率的变动会引起不良贷款率趋势的同向变动;不良贷款率的波动会引起经济增长率的反向变动。同时,利用VAR模型的脉冲响应分析对当前不良贷款率的成因做了解释,并预测了不良贷款率可能对未来经济增长的影响。
The rate of the non- performing loan( NPL) of Chinese commercial banks had an upward tendency in the past two years from 2014. As an important part of economy,the NPL ratio of commercial banks affects the total risk of Chinese economy. Through the establishment of theoretical models and empirical VAR model,this paper analyzes the relationship between the rate of NPL of commercial banks and economic growth,and the reason of the currently rise of the NPL ratio. The results of these two models are displayed that the change of the rate of economic growth will cause the same direction change of the NPL ratio,and the fluctuations of the NPL ratio will cause the reverse change of the rate of economic growth. Meanwhile,we use VAR model impulse response analyzes the cause of currently NPL ratio and make an explanation,and predict the non- performing loan ratio may impact on future economic growth.
引文
[1]Kaminsky G.&Reinhart C.The twin crises,the causes of banking and balance of payments problems[J].American Economic Review,1999,89(3).
[2]Bercoff M T&P HILBERS G.Stress testing financial systems:what to do when the governor calls[R].IMF Working paper,2002.
[3]Jimenez,Gabriel&J Saurina,.Credit cycles,credit risk,and prudential regulation[J].Bancode Espana,2005(1):10.
[4]谢冰.商业银行不良贷款的宏观经济影响因素分析[J].财经理论与实践,2009(11):23.
[5]岳蓓蓓,郑循刚.经济增长与商业银行不良贷款率波动的VAR模型分析[J].金融与经济,2011(1):28.
[6]张汉飞,李宏瑾.经济增长的不良贷款效应及异常分野[J].宏观经济研究,2014(3):11.
[7]肖浩.经济增速、银行业不良贷款率和量化宽松[J].金融理论与实践,2015(12):30.