统计研究 ›› 2019, Vol. 36 ›› Issue (11): 104-112.doi: 10.19343/j.cnki.11-1302/c.2019.11.009

• • 上一篇    下一篇

中国省域信贷风险判别分析

王洪亮 程海森   

  • 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

摘要: 现阶段,商业银行信贷仍是我国社会资金配置的主要方式。出于盈利和风险考虑,商业银行信贷行为天然具有顺周期特征。为实现稳增长目标,政府更倾向于逆周期调节。受到地方财政收支状况影响,省级地方政府会采取不同方式、不同程度地干预省域资金配置。十九大报告明确指出,要健全货币政策和宏观审慎政策双支柱调控框架。因此,省域信贷风险判别是一个动态过程,需在经济周期与宏观审慎政策框架下整体考虑。在此背景下,本文基于新古典经济学分析框架,建立了2008年以来省域信贷风险识别模型,研究发现,第一,地方财政支出收入比与不良贷款率存在正向影响关系,资本回报率与不良贷款率存在负向影响关系,且地方财政支出收入比对不良贷款率的影响程度更大;第二,依据分类准则,属于信贷高风险的省域分别是:河南,海南,重庆,四川,贵州,云南,陕西,甘肃,青海,宁夏,新疆,西藏;第三,在地方财政支出收入比、资本回报率的显著作用影响下,我国各省域不良贷款率呈现U型变化,不良贷款率阈值为1.49%,即当不良贷款率大于1.49%时,省域贷款风险较高;第四,当我国资本回报率处于企稳阶段,不良贷款率处于低于阈值的谷底阶段,且省域间风险差异性较小。当我国资本回报率处于下行阶段时,不良贷款率上升至阈值线以上,且省域间风险差异性较大。

关键词: 省域信贷, 宏观审慎, 判别分析

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.

Key words: Provincial Credit, Macro-Prudente, Discriminant analysis