企业经营状况的变动对我国商业银行信用风险的影响

The Impact of Enterprise's Operation Change on Credit Risk of Commercial Banks in China

本文运用计量方法,分析了企业经营状况的变动对我国金融稳定带来的影响,并借助宏观压力测试工具和蒙特卡洛模拟方法,模拟了贷款利率上浮和工业生产者出厂价格指数冲击下的2014年第二季度全国商业银行不良贷款率的概率分布情况。结果显示,贷款利率的上升和工业生产者出厂价格指数的下降分别提高了企业的融资成本和降低了企业的销售价格,企业利润下降,还贷能力随之下降,从而导致我国商业银行的信用风险增大;单从这两大冲击来看,2014年第二季度我国信用风险有较大的上升幅度,需要关注这一变动趋势对我国金融稳定的影响。

This paper makes an empirical analysis on the impact of enterprise＇s operation change on China＇s financial stability. With the method of the macro stress testing tool and the Monte Carlo simulation, it simulates the probability distribution of China＇s commercial banks non-performing loan rate in the second quarter of 2014 under the impact of the loan interest rate and the producer price index. The results show that interest rates＇rise increases the financing costs of enterprises, and the producer price index＇s decrease reduces the sales price of enerprises. As a result, enterprise＇s profits fall, its repayment ability decreases, and China＇s commercial banks＇ credit risk increase. Only from their impacts of the two factors, China＇s credit risk greatly rises in the second quarter of 2014, and it need to focus on the impact of this trend on China＇s financial stability.