房价波动对银行计提损失准备的时变传导效应研究

Study on time-varying conduction effect of China’s housing price fluctuation on commercial banks’loan loss provision

为研究中国房价波动对商业银行计提贷款损失准备的时变传导效应,选取2012-2018年相关变量的季度数据并结合随机波动时变参数向量自回归(random fluctuation time-varying parameter vector autoregression,TVP-VARS-SV)动态时变模型,分析房价波动对贷款损失准备的非静态影响。研究发现,经济环境稳定时,房价和贷款损失准备对货币供应量变动的反应呈现滞后性。同时,房价波动对贷款损失准备的影响具有时变性;短期内房价上涨会使得商业银行降低贷款损失准备,而长期则会适度提高贷款损失准备。这表明商业银行建立动态化风险防控机制对其预防房价波动带来的经营风险和金融风险具有积极意义。

For the purpose of studying the time-varying conduction effect of housing price fluctuation on loan loss provision of China’s commercial banks,the non-static effect of housing price fluctuation on loan loss provision was analyzed by selecting the quarterly data of relevant variables from 2012 to 2018 and combining the random fluctuation time-varying parameter vector autoregressive(TVP-VARS-SV)dynamic time-varying model.It is found that when the economic environment being stable,the response of housing price and loan loss provision to the change of money supply is lagging behind.At the same time,the effect of housing price fluctuation on loan loss provision is time-varying.Rising housing prices in the short term tend to make commercial banks lower loan loss provision,while in the long run they will moderately increase loan loss provision.The results show that establishment of the dynamic risk prevention and control mechanism of commercial banks is of positive significance to prevent operating risk and financial risk brought by housing price fluctuation.