中国商业银行贷款拨备的周期效应

The Procyclicality of Loan Loss Provisioning in Chinese Commercial Banks

本文以2002—2016年间88家商业银行为样本,实证考察了中国商业银行贷款拨备计提行为的周期效应。研究发现,中国商业银行贷款拨备计提行为存在明显的顺周期性;这种顺周期性在经济上行时期会传导至信贷市场从而放大信贷供给,但在经济下行时期由于受到宏观货币政策调控的影响,贷款拨备行为对信贷供给的影响甚微。进一步研究发现,在不同的经济周期下,银行竞争程度对银行贷款拨备与信贷关系的影响具有异质性。本文的研究为商业银行全面竞争新时代下建立前瞻性拨备制度,完善贷款拨备监管提供了理论支持。

An economic crisis swept the world in 2008. The volatility of financial markets was transmitted to the real economy through credit. The shock to the real economy further expanded the risk to the financial system, leading to a vicious circle of feedback. This effect was further amplified by the procyclicality of the financial system. Because they link the real economy and the financial industry, commercial banks play an important role in this process.Specifically, at present, the accepted international bank loan provisioning policy (the so-called “loss model”)is based on historical orientation rather than future direction. The model has significant backward characteristics and is susceptible to the business cycle. The impact is as follows. During an economic upswing, the provision for loans is delayed, and during an economic downturn, accumulated loan losses are frequently confirmed. The result is a further exacerbation of cyclical effects in credit, making the cyclical fluctuations in the macro economy more intense. We use a sample of 88 Chinese commercial banks from 2002 to 2016 to examine whether loan loss provisioning in Chinese commercial banks is procyclical. The empirical results show that provisioning behavior in Chinese commercial banks is procyclical. In addition, during economic expansion, this procyclicality influences the credit market and results in an increase in the credit supply;however, during economic downturn, the impact of the provisioning behavior on the credit supply is minimal due to macroeconomic regulation and monetary policy.Further research shows that under different economic cycles, the degree of bank competition has heterogeneous effects on the relationship between bank loan provision and credit. This situation is caused by the non-marketization of China's credit supply. During the financial crisis, the government regulated the amount of bank credit through administrative means rather than market mechanisms, thus in turn regulating the macro economy. Undoubtedly, this policy prevented the Chinese economy from hardening in the short term, but in the long run, it is no mean in the Chinese specific development stage. Therefore, a dynamic provisioning system or forward-looking loan provisioning system is needed. Such a system would increase the transparency of accounting information, provide useful information for investors decision-making, improve the stability of the financial system, and avoid the procyclical effect of loan provisioning as much as possible. In 2014, the IASB issued the latest standard (IFRS9) related to loan confirmation and measurement, in which the method for confirming loan impairment was changed from the original “loss model” to “expected loss model”;however, implementation of the expected loss model is costly. Therefore, future research must examine the applicability of the expected loss model to China's commercial banks. In addition, cyclical fluctuations are inevitable in economic development. Policy tools can only avoid the effect of procyclicality as much as possibleand minimize the effect of external rules on it. There is no way to completely eliminate cyclical fluctuations in the economy. This paper makes several contributions to the literature. It shows that banks magnify the procyclicality of credit through loan provision, which leads to intensified macro-economic cycle fluctuation and further endangers the stability of China's financial market and economic development. It is thus logical to ask: does the loan provision of commercial banks in China have a cyclical effect? If so, will it spread to the supply of credit and cause economic volatility? Unfortunately, relevant research results are scarce. This paper fills a gap in the literature by discussing the periodic effect of loan provision in China and providing theoretical and empirical support for the study of the periodic effect of loan provision. In addition, this paper analyzes the impact of bank competition on the relationship between loan provision and credit, which is helpful in discussing how to improve the dynamic provision system and encourage commercial banks to avoid risks.