【摘要】：明斯基的金融脆弱性理論認(rèn)為貨幣具有天然的脆弱性,銀行業(yè)作為資金融通的重要中介機(jī)構(gòu),經(jīng)濟(jì)基礎(chǔ)的惡化容易造成銀行危機(jī),這種現(xiàn)實(shí)根源于經(jīng)濟(jì)周期變化。當(dāng)前我國(guó)經(jīng)濟(jì)正處于經(jīng)濟(jì)增速換擋器、結(jié)構(gòu)調(diào)整陣痛期以及前期政策消化的三期疊加階段,宏觀經(jīng)濟(jì)的變動(dòng)會(huì)影響商業(yè)銀行的信貸資產(chǎn)質(zhì)量,而這種影響會(huì)反作用于宏觀經(jīng)濟(jì)。因此在新的時(shí)代背景下研究宏觀經(jīng)濟(jì)因素對(duì)商業(yè)銀行不良貸款率的影響十分具有意義。經(jīng)過(guò)對(duì)國(guó)內(nèi)外相關(guān)文獻(xiàn)的研讀,本文從理論以及實(shí)證兩個(gè)方面梳理與分析宏觀經(jīng)濟(jì)因素對(duì)我國(guó)商業(yè)銀行不良貸款率的影響。從理論角度出發(fā),本文首先詳細(xì)分析了商業(yè)銀行信貸的順周期性,其次論述了商業(yè)銀行不良貸款率與國(guó)內(nèi)生產(chǎn)總值、全社會(huì)固定資產(chǎn)投資、廣義貨幣供應(yīng)量和居民消費(fèi)價(jià)格指數(shù)四個(gè)宏觀經(jīng)濟(jì)因素的反向變化關(guān)系。從實(shí)證角度出發(fā),通過(guò)構(gòu)建上述四個(gè)指標(biāo)與商業(yè)銀行不良貸款率的VAR模型,在經(jīng)過(guò)數(shù)據(jù)平穩(wěn)性檢驗(yàn)、協(xié)整檢驗(yàn)和格蘭杰因果檢驗(yàn)后使用脈沖響應(yīng)函數(shù)與方差分解法進(jìn)行動(dòng)態(tài)分析。實(shí)證結(jié)果表明:國(guó)內(nèi)生產(chǎn)總值增長(zhǎng)率、廣義貨幣供應(yīng)量增長(zhǎng)率、居民消費(fèi)價(jià)格指數(shù)同比以及全社會(huì)固定資產(chǎn)投資增長(zhǎng)率總體均與商業(yè)銀行不良貸款率呈負(fù)相關(guān)關(guān)系;通過(guò)方差分解可知,隨著時(shí)間的變化,商業(yè)銀行不良貸款率本身、廣義貨幣供應(yīng)量增長(zhǎng)率、居民消費(fèi)價(jià)格指數(shù)同比、國(guó)內(nèi)生產(chǎn)總值增長(zhǎng)率與全社會(huì)固定資產(chǎn)投資增長(zhǎng)率對(duì)商業(yè)銀行不良貸款率的貢獻(xiàn)度依序逐漸減少。結(jié)合理論分析與實(shí)證分析,為了促進(jìn)商業(yè)銀行健康發(fā)展,本文從以下兩個(gè)角度提出相應(yīng)的政策建議。從商業(yè)銀行層面有如下建議:一、完善公司治理體制,樹立合乎發(fā)展規(guī)律的經(jīng)營(yíng)理念;二、健全風(fēng)險(xiǎn)管理體制,提高風(fēng)險(xiǎn)管理水平;三、加強(qiáng)對(duì)宏觀經(jīng)濟(jì)形勢(shì)的關(guān)注。從政府層面有如下建議:一、實(shí)施逆周期資本緩沖政策,減輕金融機(jī)構(gòu)共振;二、鼓勵(lì)發(fā)展直接融資市場(chǎng);三、適當(dāng)放松金融管制,鼓勵(lì)金融創(chuàng)新。
[Abstract]:Minsky's theory of financial fragility holds that money is naturally fragile and that the deterioration of the economic base of the banking sector, as an important intermediary for financing, is likely to cause banking crisis. This reality is rooted in the changes of the economic cycle. In the three-phase superposition stage, macroeconomic changes will affect the quality of credit assets of commercial banks, and this effect will react to macroeconomic. Therefore, it is of great significance to study the impact of macroeconomic factors on the non-performing loan rate of commercial banks in the new era. From the theoretical point of view, this paper firstly analyzes the pro-cyclicality of commercial bank credit, secondly discusses the non-performing loan rate and GDP of commercial banks, the investment in fixed assets of the whole society, the money supply in a broad sense and the GDP of the whole society. From the empirical point of view, this paper constructs the VAR model of the above four indicators and the non-performing loan rate of commercial banks, and makes a dynamic analysis by using impulse response function and variance decomposition method after data stationarity test, cointegration test and Granger causality test. The results show that the growth rate of GDP, the growth rate of money supply in a broad sense, the growth rate of consumer price index and the growth rate of fixed assets investment in the whole society are negatively correlated with the non-performing loan rate of commercial banks. The contribution of the growth rate of GDP and the growth rate of fixed assets investment to the rate of non-performing loans of commercial banks decreases in sequence. Combined with theoretical analysis and empirical analysis, this paper puts forward corresponding policies from the following two perspectives to promote the healthy development of commercial banks From the commercial bank level, there are the following suggestions: first, improve the corporate governance system, establish a business philosophy in line with the law of development; second, improve the risk management system, improve the level of risk management; third, strengthen the attention to the macroeconomic situation. Two, encourage the development of direct financing market; three, appropriately relax financial regulation and encourage financial innovation.
【學(xué)位授予單位】：廣東外語(yǔ)外貿(mào)大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2017
【分類號(hào)】：F832.4;F124

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