宏观经济、所有权变更和银行信用风险——来自印度尼西亚的证据

Macroeconomic Factors, Ownership Change and Bank Credit Risk——Evidence from Indonesia

本文采用2011~2018年印度尼西亚银行业的数据,使用不良贷款率衡量信用风险,定量分析了宏观经济和所有权变更对印度尼西亚银行信用风险的影响。研究结果表明,考虑所有权因素后,当经济上行时,银行业整体的信用风险有所下降。控制宏观因素的所有权变更影响如下:在静态效应方面,信用风险最高的是区域银行;在选择效应方面,被选为并购对象而发生国内所有权变更的银行具有较高的信用风险;在动态效应方面,国内所有权变更后银行的信用风险明显下降;而国际所有权变更并未给银行带来显著的信用风险下降。此外,相比于发生国内所有权变更的银行,发生国际所有权变更银行的信用风险对宏观经济冲击更加敏感。

This study investigates the effects of macroeconomic factors and ownership change on bank credit risk of Indonesia using data of Indonesia banking sector from 2011-2018,and the credit risk is represented by the ratio of Non-Performing Loans to Total Loans(NPL).The result reveals that improved macroeconomic conditions will reduce bank credit risks with ownership changing factors taken into consideration.And we find following results controlling for macroeconomic factors:Regional development banks have the highest credit risk(static effect);banks undergoing a domestic acquisition had particularly high credit risks beforehand(selection effect);and these banks dramatically improved following domestic acquisition while banks undergoing a foreign acquisition did not(dynamic effect).But banks undergoing a foreign acquisition are more sensitive to macroeconomics shocks.