信贷波动、经济周期与商业银行不良贷款:基于Beveridge-Nelson分解的实证研究

The Credit Fluctuations, Business Cycle and the Risk of Commercial Banks: An Empirical Study Based on the B-N Decomposition

针对现有研究的不足,本文根据中国商业银行信贷规模的数据特征,运用Beveridge-Nelson(B-N)趋势周期分解技术,将1990年1季度以来的信贷余额季度数据分解为确定性趋势、随机趋势和周期成分。在此基础上,分别研究了信贷冲击与不同类型商业银行不良贷款,以及信贷周期、经济周期与总体不良贷款率之间的关系,并获得了不同于现有文献的研究发现。

Based on Chinese bank credit data, we use the Beveridge-Nelson （B-N） decomposition technique, to decompose the credit series into a deterministic trend, stochastic trend and cyclical fluctuations. We analyse the relationship among credit fluctuations in commercial bank, business cycle and the NPL of different banks. We get some findings different from existing studies.