利率市场化、市场主体异质性与银行信贷风险

Interest Rate Liberalization, Heterogeneity and Credit Risk of Banks

本文基于中国某省2010—2016年间近118万笔企业信贷数据,采用OLS、Ordered Probit、DID等模型,考察利率市场化对银行企业客户信贷风险的影响。结果显示,利率市场化总体上会加剧银行信贷风险,且对关注、次级、可疑、损失四种贷款形态的边际效应依次递减。从作用机理看,利率市场化通过企业资信、信贷成本渠道会增加银行信贷风险,而通过银行竞争渠道则会降低风险。利率市场化对不同类型企业、银行信贷风险具有异质性影响,并与银企关系、贷款期限存在交互作用。本文研究表明,企业、银行及政策取向需结合市场结构变化,采取针对性的应对策略,充分发挥利率市场化的正向激励作用。

Based on the sample of 1.18 million lending data in a Province of China during 2011-2016,this paper studies the effect of interest rate liberalization on credit risk by the OLS,Ordered Probit and DID models.We find the interest rate liberalization increases credit risk of enterprises.From the influence of channels,the interest rate liberalization increases credit risk through enterprise credit rating and loan cost channels but reduces risk through bank competition.The impact is heterogeneous in different types of banks and enterprises,and associated with the bank-firm relationship and loan term.This study shows that enterprises,banks and policy need to take targeted strategies according the structural changes in the market,and play a positive role in interest rate liberalization.