【摘要】：近些年我國商業(yè)銀行不良貸款余額和不良貸款率正在逐年雙升,這不僅降低了商業(yè)銀行的資產(chǎn)質(zhì)量以及利潤水平,同時還弱化了商業(yè)銀行對市場經(jīng)濟(jì)的支撐能力。我國金融體系是一個以銀行為中介的間接融資為主、以發(fā)行股票和債券的直接融資為輔的格局,一旦我國商業(yè)銀行發(fā)生信用危機(jī),金融體系會隨之崩塌,實(shí)體經(jīng)濟(jì)將會如二十世紀(jì)九十年代的日本一樣急劇衰退。所以,商業(yè)銀行不良貸款問題應(yīng)當(dāng)引起足夠重視,進(jìn)行該問題的相關(guān)研究對我國銀行業(yè)、金融市場和實(shí)體經(jīng)濟(jì)的發(fā)展都具有重大意義。我們通常將影響某個行業(yè)發(fā)展的因素歸類為宏觀因素和微觀因素,本文在對微觀因素進(jìn)行一定程度的控制前提下,從宏觀經(jīng)濟(jì)方面探討我國商業(yè)銀行不良貸款率的影響因素及其作用機(jī)制,找出解決問題的對策。本文思路層次作如下安排,首先,對我國商業(yè)銀行不良貸款的概況進(jìn)行闡述,主要內(nèi)容包括不良貸款和不良貸款率的概念界定、我國商業(yè)銀行不良貸款監(jiān)督管理發(fā)展歷程、我國商業(yè)銀行不良貸款余額與不良貸款率的發(fā)展?fàn)顩r及不良貸款問題對我國宏觀經(jīng)濟(jì)的影響。然后,從理論上討論經(jīng)濟(jì)增長、通貨膨脹、失業(yè)和貨幣政策(包括貨幣供應(yīng)量和利率)等宏觀經(jīng)濟(jì)因素對不良貸款率影響的作用機(jī)制,并找出最具代表性和操作性的指標(biāo)來量化這些宏觀經(jīng)濟(jì)因素,為實(shí)證分析選出恰當(dāng)?shù)淖兞?理論部分主要以西方經(jīng)濟(jì)學(xué)理論和貨幣銀行學(xué)理論以及近十多年來我國宏觀經(jīng)濟(jì)與不良貸款率的特征事實(shí)為支撐點(diǎn)展開探討。接著,從實(shí)證方面分析宏觀經(jīng)濟(jì)因素對我國商業(yè)銀行不良貸款率的影響,本文以國內(nèi)生產(chǎn)總值增長率、消費(fèi)者價格指數(shù)、失業(yè)率、廣義貨幣供應(yīng)量增長率與一年期貸款基準(zhǔn)利率等指標(biāo)來衡量經(jīng)濟(jì)增長、通貨膨脹、失業(yè)和貨幣政策等因素作為解釋變量,以資產(chǎn)負(fù)債率、資本充足率、流動性比例等指標(biāo)衡量商業(yè)銀行資產(chǎn)的資本結(jié)構(gòu)、安全性和流動性作為控制變量,以不良貸款率指標(biāo)作為被解釋變量,建立VAR模型進(jìn)行實(shí)證探究,經(jīng)過平穩(wěn)性檢驗(yàn)、穩(wěn)定性檢驗(yàn)、協(xié)整分析、格蘭杰因果關(guān)系檢驗(yàn)、脈沖響應(yīng)函數(shù)分析和方差分解分析等一系列實(shí)證分析后,我們得出了實(shí)證結(jié)果。研究結(jié)果表明,第一,經(jīng)濟(jì)增長率的變動對我國商業(yè)銀行不良貸款率的升降具有重大影響,且該影響具有周期性。剛開始時,不良貸款率隨經(jīng)濟(jì)增長率上升而上升,但是經(jīng)過一段時間后,不良貸款率隨著經(jīng)濟(jì)增長率上升而下降,如此循環(huán)下去,這是由經(jīng)濟(jì)周期對違約風(fēng)險影響的非對稱性以及我國近十多年經(jīng)濟(jì)增長和不良貸款率變動的特征事實(shí)決定的。第二,廣義貨幣供應(yīng)量增長率的變動對我國商業(yè)銀行不良貸款率有反向影響,貨幣供應(yīng)量增加,意味著整個社會的資金量增多,可供企業(yè)借貸的資本增多,能鼓勵企業(yè)加大投資生產(chǎn),企業(yè)的效益一旦提升上去,自然就緩解了還款壓力。第三,消費(fèi)者價格指數(shù)的變動會引起我國商業(yè)銀行不良貸款率反向變動,且對其貢獻(xiàn)率比較大。溫和的通貨膨脹有利于企業(yè)、農(nóng)民以及在某些情況下的政府,企業(yè)受益,是因?yàn)樗麄兂鍪凵唐返膬r格比工資、薪水、租金、債券利息等一些費(fèi)用增長得更快;農(nóng)民受益,是因?yàn)檗r(nóng)產(chǎn)品需求缺乏彈性,食品價格往往比其他產(chǎn)品價格增長快得多。企業(yè)從通貨膨脹中受益后會加大投資生產(chǎn),而農(nóng)民受益后增大消費(fèi)支出,兩者皆會提高國內(nèi)生產(chǎn)總值,這有利于借款主體及時歸還貸款。第四,失業(yè)率的變動會引起商業(yè)銀行不良貸款率同向變動,且對其貢獻(xiàn)率比較大。無論是處于短期還是中長期階段,失業(yè)都會直接導(dǎo)致企業(yè)的利潤和個人可支配收入降低,從而影響各主體的還款能力。第五,貸款利率的變動剛開始會引起我國商業(yè)銀行不良貸款率同向變動,但是從長期趨勢來看,貸款利率的變動會引起我國商業(yè)銀行不良貸款率反向變動,因?yàn)橘J款利率上升意味著社會融資成本增加,籌資主體會更加謹(jǐn)慎借款,并將款項投入到有效項目中,從而保證貸款盡可能地按期歸還。第六,商業(yè)銀行自身微觀因素也會影響不良貸款率的升降,本文主張商業(yè)銀行保持較低的資產(chǎn)負(fù)債率與較高的資本充足率和流動性比例。最后為防范和化解不良貸款的對策。本文根據(jù)上述的理論分析和實(shí)證分析,結(jié)合國家金融監(jiān)管和宏觀審慎政策,向政府、貸款人和借款人等三個重要主體提出了解決不良貸款問題的政策建議。政府方面,尋找經(jīng)濟(jì)增長新動力,突破經(jīng)濟(jì)發(fā)展瓶頸;實(shí)施穩(wěn)健中性的貨幣政策,保障利率市場化成果;升級人才培養(yǎng)和選拔模式,解決結(jié)構(gòu)性失業(yè)困境;健全相關(guān)法律法規(guī)體系,加強(qiáng)金融監(jiān)管。貸款人方面,關(guān)注宏觀經(jīng)濟(jì)變化,理性放貸;健全信貸管理機(jī)制,完善風(fēng)險管理體制;不良貸款證券化,解決已有不良貸款。借款人方面,加強(qiáng)企業(yè)道德風(fēng)險管理,加強(qiáng)財務(wù)風(fēng)險提示;加強(qiáng)貸款使用調(diào)查,加大逾期還款懲罰力度。
[Abstract]:In recent years, the balance of non-performing loans and the rate of non-performing loans of commercial banks in China are increasing year by year. This not only reduces the asset quality and profit level of commercial banks, but also weakens the supporting ability of commercial banks to the market economy. Our financial system is mainly indirect financing, which is mediated by banks to issue stocks and bonds. If the Commercial Bank of our country has a credit crisis, the financial system will collapse and the real economy will be as sharp as Japan in 1990s. Therefore, the problem of non-performing loans for commercial banks should be paid enough attention to the related research of this problem to China's banking and financial markets. And the development of the real economy is of great significance. We usually classify the factors that affect the development of a certain industry as macro and micro factors. Under the premise of a certain degree of control on the micro factors, this paper discusses the influencing factors and mechanism of the non-performing loan rate in China's commercial banks from the macro economic aspect, and finds out the solution. The following arrangements are made in this paper. First, the general situation of non-performing loans in China's commercial banks is expounded. The main contents include the definition of non-performing loans and the rate of non-performing loans, the development process of supervision and management of non-performing loans in commercial banks in China, the development of the balance of non-performing loans and the rate of non-performing loans in commercial banks in China. And the impact of the problem of non-performing loans on China's macro-economy. Then, the mechanism of the impact of macroeconomic factors such as economic growth, inflation, unemployment and monetary policy (including money supply and interest rates) on the rate of non-performing loans is discussed in theory, and the most representative and operational indicators are found to quantify these macroeconomic factors. The appropriate variables are selected for the empirical analysis, and the theoretical part is mainly based on the western economic theory and the monetary banking theory and the characteristics of the macroeconomic and non-performing loans in China over the past ten years. Then, this paper analyzes the impact of macroeconomic factors on the non-performing loan rate of China's commercial banks from the empirical aspect. Based on the GDP growth rate, the consumer price index, the unemployment rate, the broad money supply growth rate and the one-year loan benchmark interest rate and other indicators to measure economic growth, inflation, unemployment and monetary policy as explanatory variables, the assets and liabilities rate, capital adequacy ratio, liquidity ratio and other indicators are used to measure commercial bank assets. The capital structure, security and liquidity are taken as the control variables, and the VAR model is established by the nonperforming loan rate index as the explanatory variable. After a series of empirical analyses, such as stability test, stability test, cointegration analysis, Grainger causality test, impulse response function analysis and variance decomposition analysis, we get a series of empirical analysis. The results show that, first, the change of the economic growth rate has a significant impact on the rise and fall of the non-performing loan rate of China's commercial banks, and the effect is cyclical. At the beginning, the rate of non-performing loans rose with the increase of economic growth rate, but after a period of time, the rate of non-performing loans has risen with the increase of economic growth rate. This is determined by the asymmetry of the impact of the economic cycle on the risk of breach of contract and the characteristics of the changes in economic growth and the rate of non-performing loans in China for the last more than 10 years. Second, the change in the growth rate of the broad money supply has a reverse effect on the non-performing loan rate of commercial banks in China, and the increase of money supply means that the whole money supply is increasing. The increase in the amount of capital of the society, the increase of the capital for the enterprise borrowing and lending, can encourage the enterprise to increase the investment production, and once the benefit of the enterprise is promoted, it naturally relieves the repayment pressure. Third, the change of the consumer price index will cause the negative change of the non-performing loan rate of the commercial banks of our country, and the rate of contribution is relatively large. Inflation is conducive to enterprises, farmers and in some cases of the government, enterprises benefit, because the price of their sale of goods is faster than wages, salaries, rent, bond interest and other costs. The farmers benefit from the lack of elasticity of the demand for agricultural products, and the price of food is often much faster than the price of other products. After the benefit of inflation will increase the investment production, and the increase of the consumption expenditure after the benefit of the farmers, both will increase the gross domestic product, which is beneficial to the loan subject to return the loan in time. Fourth, the change of the unemployment rate will cause the commercial bank's bad loan rate to change, and the contribution rate is relatively large. Whether it is in the short or middle and long term, Unemployment will directly lead to the reduction of profit and personal disposable income, which will affect the repayment ability of the main body. Fifth, the change of the loan interest rate will cause the non-performing loan rate of the commercial banks of our country to change. But in the long run, the change of the loan interest rate will cause the negative loan rate of the commercial banks in our country to change reverse. As the increase in the loan interest rate means the increase in the cost of social financing, the financing main experience is more prudent and the money is put into the effective project to ensure that the loan is returned as soon as possible. Sixth, the commercial bank's own micro factors will also affect the rise and fall of the bad loan rate. This article advocates that commercial banks maintain lower negative assets. The debt rate and the higher capital adequacy ratio and the liquidity ratio. Finally, this paper, based on the above theoretical analysis and empirical analysis, combined with the national financial supervision and macro Prudential policy, puts forward policy suggestions to the government, lenders and borrowers to solve the problem of non-performing loans. In the government, we should seek new impetus for economic growth, break through the bottleneck of economic development, implement a stable and neutral monetary policy, guarantee the results of interest rate marketization, upgrade the mode of training and selection of talents, solve the difficulties of structural unemployment, improve the system of relevant laws and regulations, strengthen financial supervision, and pay more attention to macroeconomic changes and rational lending. Credit management mechanism, improve the risk management system; non-performing loan securitization, solve the existing non-performing loans. Borrowers, strengthen the management of the enterprise moral risk, strengthen the financial risk hints, strengthen the loan use investigation, and increase the penalty of overdue repayment.
【學(xué)位授予單位】：江西財經(jīng)大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2017
【分類號】：F124;F832.4

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