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### 中国省域信贷风险判别分析

• 出版日期:2019-11-25 发布日期:2019-11-28

### Analysis on Credit Risk Differentiation in China’s Provinces

Wang Hongliang & Cheng Haisen

• Online:2019-11-25 Published:2019-11-28

Abstract: Currently, commercial bank credit is still the main way to allocate social funds in our country. Considering profit and risks, commercial bank credit behavior naturally has the characteristics of conforming to a period. To realize the goal of stable growth, the government is more inclined to reverse period adjustment. Affected by the local financial revenue and expenditure situation, the provincial local government will take different ways to interfere in the allocation of provincial funds to varying degrees. When the pressure of economic downturn increases, it is more likely to cause regional financial frictions and credit risks. The work report of the 19th National Congress of the Communist Party of China clearly points out the need to improve the two-pillar regulatory framework of monetary policy and macro-prudential policy. Thus, the discrimination of provincial credit risk is a dynamic process, which should be considered under the framework of economic period and macro-prudential policies. Based on the analysis framework of neoclassical economics, this paper establishes a provincial credit risk identification model since 2008. The following conclusions are drawn: firstly, the ratio of local fiscal expenditure and income is positively correlated with the non-performing loan ratio, and the rate of capital returns is negatively correlated with the non-performing loan ratio; in addition, the ratio of local fiscal expenditure and income plays a more important influencing role in the non-performing loan ratio. Secondly, according to the classification criterion, the following provinces are involved in high credit risks: Henan, Hainan, Chongqing, Sichuan, Guizhou, Yunnan, Shaanxi, Gansu, Qinghai, Ningxia, Xinjiang and Tibet. Thirdly, with the significant influences of the ratio of local fiscal expenditure and income and the rate of capital returns, there are U-shape changes in the non-performing loan ratio in various provinces, with the macro-prudential judgment of the non-performing loan ratio threshold of 1.49%. That is, when the non-performing loan ratio is higher than 1.49%, there are relatively high provincial credit risks. Fourthly, during the period of stable capital returns in our country, the non-performing loan ratio is in the valley bottom of the threshold, with small provincial risk differences. During the descending period of capital return rate in our country, the non-performing loan ratio rises above the threshold, with relatively large provincial risk differences.