The Impact of Bank-Specific and Macroeconomic Factors on Non-performing Loans in Sri Lankan Commercial Banks

The main purpose of this study is to ascertain the effect of bank-specific and macroeconomic factors on non-performing loans in systemically and non-systemically important commercial banks in Sri Lanka over 10 year’s period from 2004 to 2013.Also,the study examines the impact of civil war that prevailed in the country for 30 years on the ex-post credit risk of the banking sector.The study employed panel data methodology to investigate the effect of bank-specific and macroeconomic factors on non-performing loans.Panel unit root test has been undertaken in order to test the stationary of the variables.Hausman test and Wald coefficient restriction test were used to select the appropriate model out of pooled,random,and fixed effect.A dummy variable panel regression model adopted to study the war effect,considering 2009 as the structural year.Findings revealed that return on assets as a proxy for bank efficiency has a significant negative influence,while non-interest income as a proxy for income diversity is positively correlated with non-performing loans of systemically important banks.Both real gross domestic products and lending rates were highly significant in both bank types.On contrary with literature,growth in bank branches is negatively correlated.Public banks do not account for higher level of non-performing loans compared to their private counterpart.Finally,it was identified that civil war had an effect on the level of non-performing loans in commercial banks.The research would have benefited if the analysis is carried out among classified types of loans offered by commercial banks.Future researchers should involve in identifying the most significant contributing loan type to the non-performing loans and its determinants.This study is one of the few studies which have investigated the causes of non-performing loans in the commercial banking industry in Sri Lanka.The analysis of civil war and its impact on non-performing loans is the first study of that nature to be conducted in the context.

Non-performing Loans in Turkish Banking Sector and Balance Sheets Effects

In the 21st century, while the scope of banking activities has been expanding every day, collecting deposits and providing credit remain as their main and most important functions. They transfer the collected funds thanks to the market confidence they create back to the market in terms of the credits they give. For the organizations operating in the banking sector, crediting is the highest revenue earning source. However, uncollected loans may disrupt the activities of banks and may reduce their effectiveness. Therefore, the control of bank credits has a particular importance in the bank balance sheets. In this study, the relationship between bank balance sheets and non-performing loans （NPL） will be analyzed using Granger causality test and vector autoregressive （VAR） method. This study aims to discuss the impact of NPL on balance sheets and contribute to making correct credit decisions. It also intends to assist to reduce the NPL ratios of banks and minimize the level of negativity in their financial statements.

Research in the Securitization of the Non-performing Loans of China＇s State-owned Banks

In this paper, through analyzing the necessity of the securitization of the non-performing loans of China＇s state-owned banks, the author proposes some tentative ideas for the securitization of the non-performing loans and works out some problems that need to be solved in this process.

Determining pledged loan-to-value ratio:an option pricing perspective

Background:We investigated the determination of the pledged loan-to-value ratio in an optionpricing environment and mainly articulated the theoretical framework and analytical method.Methods:The basic idea is that the present value of the pledged loan payoff is equal to a put option’s value.While the interest rate is fixed and the loan is without coupon,we analyzed the pledged loan-to-value ratioin the option pricing perspective and got it that the pledged loan-to-value ratio is decided by term,excessreturn,and the value volatility of the pledge.Next,we extended the same work to coupon loan and portfoliopledge circumstances.For zero coupon and fixed interest rate circumstances,we performed a numericalanalysis.Results:Our results indicate the following:the pledged loan-to-value ratio is a convex decreasing function ofthe term;and the pledged loan-to-value ratio is a concave decreasing function of the value volatility of the pledge;and the pledged loan-to-value ratio is a concave increasing function of the risk premium.For floating interest rate circumstances,we should specify the function form between the loan interest and the risk-free rate.Conclusions:The scientific measurement of the pledged loan-to-value ratio means that simple rules of thumb or the VaR method may lead to mispricing,which could create the possibility of arbitrage.In this way,a new direction for trading derivative products of pledges will be provided.

消费约束下农业信贷和农业保险最优产品设计

农村金融是农村经济发展重要的内生动力,农业保险和农业信贷作为农村金融的重要组成部分,在助农增收方面发挥着重要作用,两者的融合发展也成为增强农村金融服务能力的重要举措。基于多重均衡模型,引入最低消费约束,研究农业信贷、农业保险和农业“信贷+保险”三种方式对农户终身效用的影响,并通过调整贷款比例和保障水平为不同资本水平的个体设计最理想的农业“信贷+保险”产品。研究结果表明:第一,单一的信贷产品和单一的保险产品只能提升部分农户的终身期望效用;第二,固定保障水平和贷款比例的“信贷+保险”产品无法满足所有农户的实际需求,抑制了部分农户的终身效用;第三,最优的“信贷+保险”产品设计能使所有农户的终身期望效用得到提升,尤其对低资本农户提升效果显著,使其摆脱了低均衡状态,实现资本增长。通过优化农业“信贷+保险”产品设计,可以更有效地增强农户的风险抵御能力和自我发展动力,对于巩固脱贫攻坚成果、深化农村改革、实现乡村振兴具有一定的理论和现实意义。

房地产信贷与住房可支付性

本文使用2010—2022年中国135个城市房地产信贷、房价、房租以及家庭收入与消费数据,考察房地产信贷对住房可支付性影响。实证研究发现,城市房地产开发贷款占比越高,城市房价收入比越低;城市住房抵押贷款占比越高,城市房价收入比与房租收入比越高;房地产信贷对房价可支付性的影响大于房租可支付性;房地产开发贷款提高城市中等收入者住房可支付性,但住房抵押贷款降低城市中等收入者住房可支付性。因此,住房信贷政策应主要解决城市中等收入者房价可支付问题而非房租可支付问题。

价格不确定下基于混合CVaR的出口海陆仓融资质押率决策研究

出口海陆仓融资模式中,海运物流企业在制定质押率时面临质押货物价格波动风险,不同的风险态度会导致决策结果存在差异。本文在质押物价格不确定的条件下,引入混合CVaR风险度量准则,构建同时刻画三种不同风险态度的出口海陆仓质押融资决策模型,讨论海运物流企业的最优质押率。进一步拓展基础模型,考虑清算延迟与流动性风险对质押物价值变现的影响。结果表明:质押物清算延迟与不充足的市场流动性加剧了贷款风险,需下调质押率以管控风险。海运物流企业在风险追逐偏好下的质押率水平最高,其次是风险中性,风险规避下数值最低。质押物价格的波动程度越剧烈,质押率水平越低。质押率与运价呈负相关,当传统海运市场不景气时,海运物流企业会加大物流金融业务的拓展力度。海运物流企业应建立全程、实时的质押贷款风险监测与预警机制,强化贷款清偿阶段的风险管理。

基于央行征信数据运用的区域金融风险预警实证研究——以广东省为例

区域金融风险预警的前提是合理选择风险预警指标。以广东省为研究对象,基于央行征信数据、宏观经济数据和广东省经济风向指标数据,构建广东省金融风险监测预警分析框架和模型,实证分析预测广东省区域金融风险演变趋势,并针对构建基于央行征信数据运用的区域金融风险预警体系提出建议,为运用征信数据开展区域金融风险监测预警提供有益借鉴。

金融科技对商业银行系统性风险影响研究

金融科技已经成为金融行业关注的焦点,为银行业的发展带来了新范式,并且正逐渐成为银行业风险管控的重要手段。文章基于静态的CoVaR方法来测算系统性风险,进而探讨金融科技与商业银行系统性风险之间的关系。结果表明:金融科技会抑制商业银行的系统性风险;金融科技通过提高资本充足率进而降低商业银行的系统性风险;商业银行的不良贷款率越高,金融科技对系统性风险的抑制作用会越明显。基于此,应推动金融科技与银行业务结合,注重系统性风险防范;优化银行网点分布,提高客户粘性;针对不同类型商业银行,施行差异化风险管控;加强内外联动,建立金融业务网络信息共享平台。

Loan growth and bank solvency:evidence from the Pakistani banking sector

Background:The dramatic loan growth and changes in the Pakistani banking system in mid-2000s have led to significant research attention on borrowers and lenders.This expansion and diversification in financial sector was driven by structural reforms,political stability and significant economic growth.Against this background,this study investigates the loan growth and risk-taking behavior of the banks during the expansionary periods of lending.Method:This study used dynamic two-step system generalized method of moment’s estimation technique,based on data taken from 32 banks in Pakistan over 2006-2014.Result:Loan growth has a significant effect on bank-specific and macroeconomicspecific variables.Loan growth in the previous year raises non-performing loans and decreases the solvency of banks with a time lag of many years.The driving force behind this phenomenon is weak prudential regulation among competitors,the asymmetric information of the borrowers,and,most importantly,that banks underestimate the risk of lending during credit booms.Conclusion:More regulatory measures are required to ensure a strong financial system when the volume of non-performing loan grows significantly.An increase in the capital requirement policy for rapidly growing banks is also needed because the problem of abnormal loan growth cannot be detected at the current time.At the same time,strong supervision is necessary to avoid the adverse consequences of borrower selection.

Loan Loss Provisioning Practices

The purpose of this paper is to come up with factors in loan loss provisioning practices on commercial banks that reflect on collectability of defaulted loans. The need for this research is due to failures in the loan loss provisioning practices which resulted in loan loss provisions （LLP） not reflecting on collectability of the defaulted loans. As a consequence, the banks do not capture their loss expectations and do not continuously reassess their loss expectations as the conditions affecting their borrowers may change. Henceforth, in their financial reporting, the banks do not represent relevantly and faithfully their true underlying credit risks conditions. When the banks do not represent relevantly and faithfully their true underlying risk conditions, they contradict the objectives of useful financial reporting. The results showed that among explanatory variables, bad debt recoveries as a factor in loan loss provisioning practices that reflect on collectability of defaulted loans was rejected. Bad debt recoveries was a biased variable and inconsistent estimator. In context of perceived credit risks as the basis to make credit judgments, an estimate of bad debt recoveries had not fulfilled the criteria. On the other hand, non-performing loans （NPL） as a factor in loan loss provisioning practices was not rejected.

地方政府债务扩张与政策选择

在经济压力叠加背景中,中国出现房价疲软与地方政府债务激增并存现象,二者趋势的长期背离可能诱发系统性金融风险。通过建立包含异质性生产部门、地方政府的DSGE模型,讨论在实现稳房价目标基础上的地方政府债务风险化解问题。研究发现,当地方政府债务规模较小时,其土地融资行为能够推动房价与地价螺旋上涨。负向住房交易成本冲击可以通过地方政府的土地融资渠道刺激经济增长,由此引发地方政府债务规模扩张。相比于对预期房价作出反应的货币政策,逆周期地方政府贷款价值比的宏观审慎政策的优势在于能够基于地价与预期房价的变动关系来适时调整政策力度,有效抑制地方政府债务扩张的同时在稳地价、稳房价上的表现更佳。

资产证券化对银行资本充足率和不良贷款率的影响机制

基于2SLS方法和中介效应模型,选取81家中国商业银行2012—2021年微观数据,分析资产证券化对商业银行资本充足率和不良贷款率的影响,并进一步从盈利能力视角和信贷扩张视角分别研究两者的影响机制。研究表明:资产证券化通过提升银行盈利能力显著提高其资本充足率,净资产比率越高、不良贷款率越低、贷款占比大、资产规模小的银行,其资产证券化对银行资本充足率有更好的效应;资产证券化刺激了银行信贷扩张却增加了银行不良贷款率,流动性越强、成本收入比越大、资本充足率越低的银行不良贷款的风险越大。银行资产证券化的目的在于提高盈利能力和增强资产流动性,但是利益的驱使和监管不到位会促使银行过度资产证券化,从而增加银行风险。

衡量金融支持力度:存贷比还是社会融资规模?

存贷比和社会融资规模都是衡量金融要素投入的重要指标,随着金融市场不断发展,金融产品持续创新,传统的存贷比指标很可能无法全面反映金融支持地方经济的力度,社会融资规模或将成为主要的金融考察依据。本文基于湖南省实际,对存贷比和社会融资规模指标进行对比分析,得出以下结论。第一,以存贷比指标衡量区域经济金融发展存在明显短板,多种融资渠道对贷款的替代效应明显,贷款真实需求不足、金融政策导向等因素易导致存贷比信息失真。第二,社会融资规模具有取代存贷比指标的多重优势。其作为国家宏观调控重要参考指标,能多角度、全方位反映各类融资支持实体经济的情况,与经济的相关性更高,能前瞻性地反映经济发展变化,对宏观调控政策有一定指示作用。鉴于此,本文建议地方政府应用社会融资规模指标,多角度、更全面地掌握地区金融发展状况,切实推动地区社会融资规模合理增长。

金融结构影响产业结构变迁的传导机制研究

通过作用机理分析提出待检验的研究假设,着重研究金融结构影响产业结构变迁的传导机制。研究发现:银行主导型金融结构更适合转型期内中国的金融体系,能够促进产业结构合理化和高级化;不良贷款率和城乡收入差距均为传导渠道,并且不良贷款率对产业结构高级化的中介作用要强于合理化,城乡收入差距对产业结构合理化的中介作用要强于高级化;不同的产业形态需要相应的金融结构与之匹配,产业结构的优化升级能够倒逼金融体系的市场化。因此,未来产业的前沿化发展需要不断提升直接融资比例,逐步推进金融体系的市场化进程。

绿色信贷,银行异质性与银行经营绩效

从商业银行异质性角度出发,采用17家上市银行11年的面板数据分组进行实证研究,检验绿色信贷与上市商业银行经营绩效二者间的内在关系,得出如下结论:一是绿色信贷与非国有商业银行经营绩效之间存在非线性关系;二是绿色信贷对国有商业银行经营绩效存在促进作用,对非国有商业银行经营绩效存在负向作用,导致中小型商业银行缺乏开展绿色信贷业务的动机;三是总资产规模与银行的经营绩效并无关系,不同规模的商业银行对其经营绩效没有显著性影响。

Non-performing loans(NPLs),liquidity creation,and moral hazard:Case of Chinese banks

This study analyzes the impact of non-performing loans(NPLs)on bank liquidity creation to investigate the existence of moral hazard problem in Chinese banks.It uses data from 197 listed and unlisted Chinese banks,spanning the period 2005 to 2014.Total liquidity creation by Chinese banks is declining,and NPLs ratio has started to increase following a continuous decline between 2005 and 2012.Using one-step system GMM estimation,fixed and random effect model,and pool data analysis,we find that liquidity creation by Chinese banks does not depend on NPLs ratio,i.e.,we did not find the evidence of moral hazard problem in Chinese banks.We repeated the analysis for small and large banks and the results of these sub-samples reinforced our findings for the aggregate sample.

Do Macroeconomic Determinants of Non-Performing Loans Vary with the Income Levels of Countries?

This paper explores the macroeconomic determinants of non-performing loans(NPL) in 19 Asian countries(low to high income economies) using the Generalized Method of Moments estimation approach based on the economic data for the period between 1998 and 2015. The categorization of the economies is based on the average gross national income per capita as set by the World Bank.Specifically, the paper aims to evaluate if the determinants of NPL vary with the income levels of the countries. The results indicate that the NPL is strongly influenced by the inflation rate. The effect is,however, negative in the high-income and the middle-income countries and positive in the low-income countries. The GDP per capita has a dynamic negative relationship with the NPL in the high-income and the low-income countries. The remittance has a significant positive association in the high-income and a significant negative association in the low-income countries. Similarly, the unemployment rate has a positive effect on NPL in the middle-income and the low-income countries. With the rise in the official exchange rate, the NPL level increases in the low-income countries. The overall estimation results suggest that the NPL in Asian banking system depend on some key macroeconomic variables,such as unemployment rate, inflation rate, official exchange rate, remittance received and gross domestic product per capita, and these associations vary with the income level of the countries. Therefore,economic level of a country should be carefully considered while formulating credit policy to minimize credit risks in the banking system.

基于区块链技术的供应链存货质押融资决策研究

存货质押融资是中小企业解决资金问题的重要金融手段。同时区块链技术因其公开透明、难以伪造数据等特点,能有效改善存货质押融资模式在发展过程中存在的诸多痛点。针对区块链技术下的存货质押决策问题,建立区块链技术下零售商和采用下侧风险银行的存货质押融资博弈决策模型,采用Stackelberg博弈模型分析区块链技术对零售商质押量和银行质押率的决策影响。研究表明:制造商初始批发价定价较高时,区块链技术可以使零售商用较少的质押量获更高的期望利润。在银行采用相同的风险容忍水平下,使用区块链技术后银行的最优质押率上限提高,且最优质押率会有所提高。对融资参与方是否使用,以及何时使用区块链优化存货质押融资有一定参考价值。