经济周期对银行资产质量影响的量化研究

The Effects of Economic Cycles on the Quality of Banking Assets

在我国经济深幅调整的背景下,客观认识经济周期对银行的信贷行为和资产质量的影响,对于保持金融稳定以及把握宏观调整方向具有重要意义。本文首次使用2011—2015年月度的微观商业银行资产质量数据,通过向量自回归VAR模型,定量分析了商业银行信贷增长、贷款质量和宏观经济增长之间的关系。研究结果表明,我国宏观经济增长正处于长期趋势向下调整和短期周期性收缩的阶段,商业银行的资产质量有着明显的顺周期变化倾向,且经济增长率的下降会对银行资产质量指标产生持续的负面冲击;而商业银行贷款增长与经济周期之间的关系并不十分紧密。建议商业银行树立审慎、稳健的信贷经营理念,适度逆周期地调整信贷政策和信贷授权,持续提升风险识别、计量和控制水平。

With China＇s economy undergoing serious adjustments, the objective understanding of the impacts of economic cycles on banking behaviors and asset quality has important significance for policy makers to maintain financial stability and to control the orientation of macroeconomic adjustment. Using the monthly data of asset quality of China＇s commercial banks from 2011 to 2015, this paper quantitatively measures the relations of the bank＇s credit growth, asset quanlity and economic growth. The result shows that： （1） the economy is still under downward pressure both in the short-term and the long-term, （2） and the asset quality is strictly procyclical, which will be negatively affected by the decline of the economic growth, （3） and the relationship between credit growth and economic cycle is not closely related. This paper suggests that banks should strictly obey the rules of prudential operations, adjust the credit policy and credit authorization in a counter-cyclical way, and constantly enhance the identification, measure and controlling of risks.