要素价格扭曲对商业银行不良贷款率的影响研究——基于省际数据的实证分析

Research on the Impact of Factor Price Distortion on Non-performing Loans Ratio of Commercial Banks——Empirical Analysis Based on Provincial Data

消除要素价格扭曲对于供给侧结构性改革和降低银行信贷风险都具有重要的现实意义。本文利用2005年到2014年各省市面板数据,采用系统GMM估计方法研究生产要素价格扭曲对商业银行不良贷款率的影响,并对其传导机制进行了检验。研究发现:第一,要素价格扭曲对商业银行不良贷款率具有显著的促进作用,且劳动价格扭曲的影响最大,能源价格扭曲的影响次之;第二,要素价格扭曲的传递机制主要依赖于供给端和需求端效应,供给端产能过剩中介效应比例为32.23%,需求端社会零售品销售总额中介效应比例为24.36%;第三,中西部地区要素价格扭曲对商业银行不良贷款率的影响要显著大于东部地区。

Eliminating the factor prices distortion is of great practical significance in the supply-side structural reforms and the reduction of bank credit risk. This paper uses the panel data of each province from 2005 to 2014, applies the systematic GMM estimation to study the effect of factor price distortions on the non-performing loans ratio, besides, the transmission mecha- nism is tested. The findings are as follows： Firstly, factor price distortions have a significant role in promoting the non-perform- ing loan ratio of commercial banks, and labor price distortions have the greatest impact, followed by energy price distortions. Sec- ondly, the transmission mechanism of factor price distortions mainly depends on the supply-side and demand-side effects, the supply-side overeapaeity intermediary effect ratio is 32.23%, and the demand-side social retail sales total intermediary effect ra- tio is 24.36%. Thirdly, the impact of the faetor price distortions in the central and western regions on the non-performing loan ra- tio of commercial banks is greater than the eastern region.