利率市场化改革与银行信贷风险定价能力——基于中国省区贷款利率浮动与信贷风险关系的考察

Interest Rate Liberalization Reform and Banks’Ability of Credit Risk Pricing——Based on the Relationship Between Loan Interest Rate Fluctuation and Credit Risk at Chinese Provincial Level

本文实证研究中国银行业的信贷风险定价能力以及利率市场化对其影响。研究发现,中国银行业的信贷风险定价能够从总体上对较长期的信贷风险做出正确反应,中国银行业具有信贷风险定价能力,且这种能力因利率市场化而显著提升;中国银行业的信贷风险定价对增量风险更为敏感,利率市场化的作用更为显著地通过提升定价的增量风险敏感性来体现,其含义是中国银行业的信贷风险定价能力尚有很大提升空间。

This paper empirically studies the credit risk pricing ability of Chinese banking industry and the impact of interest rate liberalization on it.The research finds that the credit risk pricing of Chinese banks can make a correct response to the longer-term credit risk on the whole.Chinese banks have the ability to price the credit risk,and this ability is significantly improved by the liberalization of interest rates;the credit risk pricing of China's banking industry is more sensitive to incremental risk.The effect mechanism of interest rate liberalization on the banks'pricing ability is mainly through increasing the incremental risk sensitivity of pricing,which means that the credit risk pricing ability of China's banking industry stll has much room for improvement.