商业银行贷款集中的实证研究——基于羊群效应视角  

Empirical Research on Commercial Bank Credit Concentration——Based on Perspective of Herding

作　　者：陈红艳[1] 张琳[1] 孙玉玲[1] 

机构地区：[1]南京工业大学经济与管理学院,江苏南京210009

出　　处：《技术经济与管理研究》2012年第1期86-89,共4页Journal of Technical Economics & Management

基　　金：国家自然科学基金(编号:70801036);教育部人文社科基金(编号:10YJA790183)

摘　　要：银行贷款往往因为趋同行为导致贷款集中现象,非理性的贷款过度集中下,一旦风险积聚爆发,必将带来银行的重大损失与联动性危机。本文试图从贷款者行为的微观视角出发,结合2004-2010年共28个季度时间序列数据,从实证角度研究贷款行为是否存在羊群效应,运用向量自回归模型研究方法,考虑引入宏观变量作为滞后虚拟变量,分析并检验了各种贷款数据的相关性。结果表明:国有银行与股份制银行在某种程度上存在偶发性的贷款趋同效应,城市商业银行一定程度上存在基于声誉的非理性模仿行为,也部分解释了我国大银行与中小银行都贷款集中投向某一类企业或行业的原因,除了前人研究的制度与趋利行为等因素之外,一定程度上也存在着羊群效应引发的贷款集中。The same credit behavior probably lead to credit concentration,overage concentration be likely to bring bank linkage crisis.The paper try to study which there are herding behavior in credit or not.With the quarter data of 2004 to 2010,the paper analyze inhomogeneity commercial bank result in inhomogeneity herding phenomenon,in order to explain the part reason of credit concentration.Using a vector autoregressive model to research methods,considering the introduction of macroeconomic variables as lag virtual variables,analysis and test data correlation between various kinds of loan.The result shows that state-owned banks and joint-stock banks exist accidental same credit practices.City commercial banks exist irrational herd behavior based on the reputation.This also partly explains the reasons for credit concentration.In addition to the factors of benefits or reduce,to some extent,credit concentration be caused by the existence of herding.

关 键 词：贷款集中 羊群效应 不良贷款 

分 类 号：F832.4[经济管理—金融学]