基于风险偏好的中国商业银行不良贷款影子价格研究
阅读全文
下载全文 |
| Title | The Study of Shadow Prices of Non-performing Loans in Chinese Commercial Banks under Different Risk Preferences
|
| 作者 | 王兵 朱宁 |
| Author | Wang Bing and Zhu Ning |
| 作者单位 | 暨南大学经济学院 |
| Organization | College of Econoics,Jinan University |
| 作者Email | twangb@jnu.edu.cn；znzy1986@163.com |
| 中文关键词 | 不良贷款 影子价格 风险偏好 方向性产出距离函数 |
| Key Words | Non-performing Loans; Shadow Price; Risk Preference; Directional Output Distance Function |
| 内容提要 | 本文运用方向性产出距离函数的二次型形式估计了2004-2011年不同风险偏好下中国商业银行不良贷款的影子价格，并使用Bootstrap方法对影响影子价格的宏观经济因素进行了实证检验。主要的结论有：随着银行对风险敏感性的下降，不良贷款的影子价格呈现下降趋势；国有控股商业银行在风险厌恶偏好下有更大的动力去消除不良贷款；在风险均衡和风险无效的偏好中，城市商业银行和股份制商业银行有更谨慎的盈利模式和更灵活的运营机制，愿意支付的风险溢价更高，而国有控股商业银行的信贷行为仍然受到来自政府目标、社会责任等“政策性”力量的影响；实际GDP和货币供给速度的提高会降低不良贷款影子价格，而CPI、实际贷款利率和固定资产投资总额占当年GDP的比重则具有相反的作用。 |
| Abstract | Quadratic directional output distance function is applied to estimate the shadow prices of non-performing loans under different risk preferences based on different direct vectors around 44 Chinese commercial banks during 2004 to 2011, and Bootstrap is applied to empirically examines macroeconomic factors of the shadow price of non-performing loans changes. There are some results as follows: following the decrease of risk sensitivity of banks, the shadow price of non-performing loans is decreasing. SOCB intends to eliminate the non-performing loans more actively under the preference of risk aversion, whereas CCB and JSCB, owning a more rational and flexible operation, prefer to pay more risk premiums than that of SOCB under the preferences of risk equality and risk invalid. The credit behavior of SOCB has been impacted by some policy power, like government goal and social responsibility. Regarding macroeconomic factors, real GDP and M2 supply decrease shadow price of non-performing loans, whereas CPI, real lending rate and fixed asset investment to GDP have opposite effect. |
| 文章编号 | WP430 |
| 登载时间 | 2013-02-07 |
|