| 不良贷款率对银行业影响的统计关系检验 |
投稿时间：2015-05-13 修订日期：2015-05-13  点此下载全文 |
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| 基金项目:国家自然科学基金项目“我国银行业宏观审慎管理与微观审慎管理协调创新研究”(71373071) |
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| 中文摘要:利用格兰杰因果检验方法，根据银监会公布的2010-2014年的季度数据，检验并分析了不良贷款率与商业银行资产负债比例管理主要指标之间的关系。在5%的显著性水平下，不良贷款率对资本收益率、净利差、资本充足率有单向格兰杰因果关系；而存贷比、流动性比率对不良贷款率有单向格兰杰因果关系；拨备覆盖率与不良贷款率在不同滞后期格兰杰因果关系不同。当不良贷款率上升时，商业银行不应通过承担更高的风险选择高贷款利率的贷款项目实现其经营绩效；在系统性风险可控的前提下，监管部门可适当鼓励商业银行放松对资本的计提，降低其顺周期性；商业银行应注重盈利性、流动性、安全性之间的平衡，理性对待不良贷款率上升。 |
| 中文关键词:不良贷款率 格兰杰因果检验；商业银行；信用风险 |
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| Granger Causality Test which Non-performing Loan Ratio Affect to the Banking Industry |
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| Abstract:This paper tests and analysis of the relationship between the non-performing loan ratio and the main indicators of the asset liability ratio management of commercial banks, using granger causality test method, according to the 2010-2014 quarterly data announced by the China Banking Regulatory Commission. In the 5% level of significance, non-performing loan ratio exists a one-way granger causality relationship on capital gains rate, net interest margin, capital adequacy; the deposit loan ratio, liquidity ratio exists a one-way granger causality relationship on non-performing loan ratio; While the granger causality relationship of the provision coverage ratio and non-performing loan ratio is different in different lag. When the non-performing loan ratio rises, commercial banks should not choose a high loan interest rate loan project to achieve its business performance by taking more risk; In the controllable premise of systemic risk, regulators may be appropriate to encourage commercial banks to reduce the capital provision, reduce its procyclicality; Commercial banks should pay more attention to the balance between profitability, liquidity, security, should handle the non-performing loan rate of increase rationally. |
| keywords:non-performing loan ratio granger causality test commercial bank credit risk |
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