基于非完全利率市场化的中国银行业贷款定价研究

Research on the Loan Pricing of Chinese Commercial Banks based on Non-complete Interest Rate Marketization

贷款定价是商业银行控制风险、追求利润的重要手段。本文在当前中国非完全利率市场化的背景下,利用期望效用理论,建立了商业银行单周期的财富期望效用函数,并推导出银行最优的贷款定价和纯利差。在本文的理论研究结果与现有研究结果对比中发现,在非完全利率市场化下,存款利率管制会给银行造成额外的成本。这种成本体现在隐含利息支付中,所以隐含利息支付对纯利差的影响要高于在利率市场化下。本文采用中国33家商业银行和美国52家商业银行2003-2010年的平衡面板数据,利用固定效用模型,进行实证分析。实证研究结果与理论研究结论基本一致。此外,实证研究还发现:中国的商业银行通过贷款定价来覆盖违约风险的能力较差;中国在长期的利率管制下,商业银行的违约风险问题比较严重。

Loan pricing is an important way to control risks and pursue profits for commercial banks. This paper establishes a single-period wealth expectation utility function with expectation utility theory under the background of non-complete interest rate marketization in China and deduces the optimal bank loan pricing results and the optimal pure interest margins. Compared with the traditional dealership model, the theoretical model established in this paper finds out that deposit interest rate control will bring about the extra cost reflected as implicit interest payment in the non-complete marketization of interest rate and at the same time, implicit interest payment has bigger impacts on pure interest margins than it has in the marketization of interest rate. This paper uses the fixed utility model and conducts the empirical research with the balanced panel data of 33 Chinese commercial banks and 52 American banks. The empirical research results are consistent with the theoretical one. In addition, the empirical research shows that Chinese commercial banks aren＇t completely aware of controlling default risks with loan pricing; and the long-term interest rate control brings about the serious problems of commercial bank default risks in China.