企业风险异质性、贷款利率与信贷违约风险——基于银行信贷微观数据

Research on Enterprise Risk Heterogeneity,Loan Interest Rate and Credit Default Risk Based on Bank Credit Microscopic Data

通过某股份制商业银行2010-2015年贷款数据,讨论不同风险贷款企业、贷款利率与信贷违约之间的关系。结果表明:贷款利率与贷款违约之间呈现U型关系;高风险等级企业与贷款违约之间正相关且显著;无论是高风险等级企业还是低风险等级企业与银行贷款利率之间均呈现负相关且显著,说明贷款利率的抑制现象依然存在。从参数估计值来看,低风险等级企业贷款利率要低于高风险等级企业;高风险企业与贷款利率交叉项与违约之间呈现负相关且显著,说明高风险企业通过贷款利率渠道确实可以降低信贷违约概率。

This paper discusses the relationship between loan interest rate and default of different risk loan enterprises through the loan data of a shareholding commercial bank in20102015.The empirical results show that:there is a U type relationship between the loan interest rate and the loan default;there is a positive correlation between the high risk enterprise and the loan default;whether the high risk enterprise or the low risk enterprise.And bank lending rates are negatively correlated and significant,indicating that the loan interest rate control still exists.There is a negative correlation between the high risk enterprise and the loan interest rate cross term and the default,which indicates that high risk enterprises through the lending rate channels can really reduce the probability of default credit.