商业银行不良资产影响因素实证分析.docVIP

PAGE PAGE 29 商业银行不良资产影响因素实证分析 摘要：商业银行不良资产是导致经济和金融危机的重大隐患。近年来，我国商业银行不良资产居高不下，银行不良资产问题不容忽视。本文收集了国内16家上市商业银行2007-2013年的面板数据，分别从宏观经济形势、宏观调控政策与银行运行情况三个层面对商业银行不良资产影响因素进行深入研究。本文建立多元回归模型和个体固定效应回归模型对国内生产总值、居民消费价格指数、财政支出、广义货币量供应增长率、基准贷款利率、银行总资产规模、资产负债率、资本充足率、存贷比等指标与银行不良贷款率的关系进行实证分析。结果表明，宏观经济形势的变化和宏观政策调整都是影响银行不良贷款率变化的重要原因。此外，银行总资产规模、资产负债率、资本充足率和存贷比与银行不良贷款率呈负相关，但存贷比在滞后四期时与不良贷款率正相关。 关键词：商业银行；不良贷款；面板数据；多元回归 Empirical Analysis on factors of non-performing loans in commercial banks Abstract: The non-performing assets of commercial banks are a major cause of the economic and financial crisis risks. In recent years, the non-performing assets of commercial banks in China are high，which problem cannot be ignored. Based on the panel data of 16 listed domestic commercial banks from 2007 to 2013, this paper deeply analyses factors of non-performing assets in commercial banks from three aspects respectively: macroeconomic situation, macroeconomic policies and bank operation. Based on multivariate regression model and individual fixed effects regression model, the relationships are analyzed among non-performing loans rate and GDP, CPI, fiscal expenditure, growth rate of broad money supply, benchmark lending rate, banks total asset size, debt to assets ratio, capital adequacy ratio, loan to deposit ratio. The empirical analysis results show that the changes of macroeconomic situation and adjustment of macroeconomic policies affect the non-performing loan rate of commercial banks hugely. In addition, the banks total asset size, debt to assets ratio, capital adequacy ratio and loan to deposit ratio were negatively correlated with bank non-performing loan rate when there is no lag, but loan to deposit ratio and non-performing loans rate were positively related when lagged four periods. Keywords: commercial bank; non-performing loans; panel data; multivariate regression 一、引言 金融体系的稳健发展对国民经济的稳定有至关重大的影响，其中商业银行在现代金融体系中起着主导性的作用。纵观历史，历次银行危机、金融危机乃至经济危机的爆发似乎均与银行不良资产密切相关，商业银行的不良资产问题引起了金融界、各国政府乃至社会各界的