大宗商品价格波动对商业银行风险承担的影响研究

Study on the Impact of Commodity Price Fluctuation on Commercial Banks'Risk-taking

随着我国经济迅速发展,国内能源和初级产品的供应已无法满足日益上涨的需求,因此,我国对大宗商品进口的依赖程度也逐渐加深。然而,近年来各类“黑天鹅”事件引发的大宗商品价格异常波动,加重了大宗商品进口贸易的风险,也给商业银行带来新的挑战。本文对我国20家商业银行2010年—2022年的季度数据进行实证分析,建立面板向量自回归模型检验了不同类别大宗商品价格波动对银行风险承担的影响。结果表明:矿业类和能源类大宗商品价格波动对商业银行风险承担的影响大于农产品类对商业银行风险承担的影响;矿业类大宗商品价格波动对商业银行风险承担的长期贡献度更高,能源类大宗商品价格波动对商业银行风险承担的影响比较滞后;此外,国有银行不良贷款率对能源类和农产品类大宗商品价格波动的响应程度都小于非国有银行,而对矿业类大宗商品价格波动的响应程度较大,远大于非国有银行。本文基于研究结论,从银行资产配置、信息流通、货币政策等层面提出了相关对策建议。

With the rapid development of China's economy,the domestic supply of energy and primary products has been unable to meet the rising demand,so China's dependence on bulk commodity imports has gradually deepened.However,in recent years,various kinds of"black swan"events caused by the abnormal volatility of commodity prices,increased the risk of commodity import trade,but also brought new challenges to commercial banks.This paper empirically analyzes the quarterly data of 20 Chinese commercial banks from 2010 to 2022,and establishes a panel vector autoregressive model to test the impact of diff erent commodity price fl uctuations on bank risk taking.The results show that the impact of the price fl uctuation of mining and energy commodities on the risk taking of commercial banks is greater than that of agricultural products.The long-term contribution of the price fl uctuation of mining commodities to the risk taking of commercial banks is higher,while the impact of the price fl uctuation of energy commodities on the risk taking of commercial banks is relatively lagging.In addition,the non-performing loan ratio of state-owned banks is less responsive to the price fl uctuations of energy and agricultural commodities than that of non-state-owned banks,while the response to the price fluctuations of mining commodities is larger and much larger than that of non-state-owned banks.Based on the research conclusions,this paper puts forward relevant countermeasures and suggestions from the aspects of bank asset allocation,information circulation and monetary policy.