bank non-performing loans (npls) a dynamic model and analysis in china银行不良贷款的动态模型,分析在中国.pdfVIP
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bank non-performing loans (npls) a dynamic model and analysis in china银行不良贷款的动态模型,分析在中国
Modern Economy, 2012, 3, 100-110
/10.4236/me.2012.31014 Published Online January 2012 (http://www.SciRP.org/journal/me)
Bank Non-Performing Loans (NPL ): A Dynamic Model
S
*
and Analysis in China
Shihong Zeng
School of Economics Management, Beijing University of Technology, Beijing, China
Email: zengshihong2000@
Received July 16, 2011; revised August 28, 2011; accepted September 29, 2011
ABSTRACT
In this paper we report on a utility function (loss function) and model that we designed by using optimal control theory
based on previous studies. we found that: 1) the Hamiltonian multiplier of the bank NPLs growth rate in the model was
obtained using the negative derivitive of the utility (defined as loan function minus non-performing loan function) with
respect to the NPLs multiplied by a factor which expresses the rate of change in NPLs over time with respect to the
NPLs, the formula is 1 vm N m1 1 U ; 2) the model determines the equilibrium value of the saddle
N N
point of the bank NPLs; 3) the model can explain the NPLS phenomenon in the Chinese banking system as mainly sig-
nificant in the state owned banks (SOBS); 4) The paper supports the following hypothesis by considering the situation in
China: the equilibrium value of the bank NPLs is dependent on micro-economic factors but influenced by macro-eco-
nomic factors.
Keywords: Bank Non-Performing Loans; Finance Frangibility; Chinese Banking System
1. Introduction ment of
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