银行信用风险与经济增长的关系及逆周期资本缓冲--基于向量自回归和互谱分析方法的研究

Relationship between Commercial Bank's Credit Risk and Economy Growth and the Countercyclical Buffer——Based on VAR and cross Spectrum Analysis

银行业是典型的亲周期性行业,这种亲周期性必然导致宏观经济的波动传导到银行业,引起银行业信用风险水平的变化。我们采用时域和频域相结合的方法研究二者之间的关系,结果表明银行信用风险水平与经济增长的关系在长短期存在非一致性,短期内经济增长速度的加快有利于银行不良贷款率的下降,而中长期内经济增长反而会导致银行信用风险水平的提高,我们认为这是伴随经济增长的信贷过度增长累积的系统性风险的滞后效应。因此,我们建议我国应该启动实施Basel III提出的逆周期资本缓冲政策,一方面可以保证金融机构在经济下行期稳定的信贷供给,另一方面可以防止经济上行期信贷过快增长累积系统性风险,从而减弱银行业的亲周期性。

Banking is a typical procyclical industry, which will inevitably lead to the credit risk of the banking to change with the macroeconomic fluctuations. We mainly study the relationship between macroeconomic fluctuations and credit risk of the banking using VAR model and cross-spectral analysis method. The results indicate that the relationship between them is inconsistent in the short term and long term. In the short term, rapid economic growth can make banking NPL ratio declined, while economic growth will lead to higher levels of credit risk in the medium and long term. This can be contributed to the lag effect of accumulated systemic risk of excessive credit growth accompanied with economic growth. Therefore, we recommend that China should implement the countercyclical buffer policy proposed by Basel III, which can ensure the financial institutions can maintain the supply of credit in the down stage of economy and prevent from excessive growth of credit in the up stage of economy.