金融监管研究
金融鑑管研究
금융감관연구
Financial Regulation Research
2015年
4期
1-14
,共14页
经济周期%信贷风险%不良贷款%逆周期监管
經濟週期%信貸風險%不良貸款%逆週期鑑管
경제주기%신대풍험%불량대관%역주기감관
Business Cycle%Credit Risk%Non-performing Loans%Counter-cyclical Regulation
本文利用向量自回归模型(VAR),通过脉冲响应函数和方差分解技术,分析主要宏观经济变量的冲击对我国商业银行信贷风险水平影响的传递过程以及贡献程度,并对经济周期内商业银行的经营行为及其风险形成机制展开分析.研究发现:宏观经济变量的波动对我国商业银行信贷风险的变化有较大影响,不良率的周期波动对自身的惯性影响非常明显;GDP的周期波动与不良率呈逐渐减弱的反相关关系;物价周期波动对不良率的影响呈先正再负再转正的波动变化,而且持续时间较长;宽松的货币政策会助长不良率的提高.
本文利用嚮量自迴歸模型(VAR),通過脈遲響應函數和方差分解技術,分析主要宏觀經濟變量的遲擊對我國商業銀行信貸風險水平影響的傳遞過程以及貢獻程度,併對經濟週期內商業銀行的經營行為及其風險形成機製展開分析.研究髮現:宏觀經濟變量的波動對我國商業銀行信貸風險的變化有較大影響,不良率的週期波動對自身的慣性影響非常明顯;GDP的週期波動與不良率呈逐漸減弱的反相關關繫;物價週期波動對不良率的影響呈先正再負再轉正的波動變化,而且持續時間較長;寬鬆的貨幣政策會助長不良率的提高.
본문이용향량자회귀모형(VAR),통과맥충향응함수화방차분해기술,분석주요굉관경제변량적충격대아국상업은행신대풍험수평영향적전체과정이급공헌정도,병대경제주기내상업은행적경영행위급기풍험형성궤제전개분석.연구발현:굉관경제변량적파동대아국상업은행신대풍험적변화유교대영향,불량솔적주기파동대자신적관성영향비상명현;GDP적주기파동여불량솔정축점감약적반상관관계;물개주기파동대불량솔적영향정선정재부재전정적파동변화,이차지속시간교장;관송적화폐정책회조장불량솔적제고.
In this paper, we use a Vector Auto Regression (VAR) model to dynamically analyze the relationship between commercial bank and macroeconomic variables. By using impulse response functions and variance decompositions, this paper analyzes the delivery process, the significance of macroeconomic variables on commercial banks' credit risk and the operational behaviors and risk forming mechanism of commercial banks in business cycles. We find that macroeconomic fluctuations have great impacts on credit risk of commercial banks, the inertia effects of NPL ratio on itself are significant; periodic fluctuations of GDP are negatively correlated with NPL ratio, though their correlation is declining with time; the impact of price fluctuations on NPL ratio appears positive, negative, then positive, and lasts for a long time; finally, loose monetary policy will increase NPL ratio.
