我国实际利率的风险调整  

The Risk Adjustment of Real Interest Rate

作　　者：刘红忠[1] 秦泰[1] 

机构地区：[1]复旦大学经济学院,上海200433

出　　处：《上海金融》2013年第9期8-14,7,共8页Shanghai Finance

基　　金：上海市金融学会课题"实际利率及相关问题研究"的资助

摘　　要：实际利率是宏观经济研究中的重要变量。在利率管制政策下,商业银行信贷资产风险结构与全社会企业投资风险结构之间产生差异,从而基于基准利率得出的实际利率指标不能很好地反映企业的平均实际融资成本。针对这一问题,本文构建由低风险企业和高风险企业组成的两部门模型,分析商业银行配置信贷资产时的风险厌恶特征,在此基础上,基于信贷资产和企业投资的不同风险结构,对实际利率进行风险调整。结果显示,2000年以来,我国低风险企业在信贷资产和企业投资中所占比例分别约为75%和60%;经风险调整的实际利率高于基于贷款利率得出的实际利率,平均利差达2.76个百分点;高风险部门的名义贷款利率与低风险部门名义贷款利率之间的平均差额达6.1个百分点。Real interest rate is an important variable in the field of macroeconomic studies.As the interest rate in China is regulated,there are differences between the risk profile of commercial banks' loan portfolio and that of the whole enterprise investments,so the estimated real interest rate based on the benchmark rate is not a satisfactory indicator of corporate' financial cost.This paper constructs a two-sector model composed of Low-risk Enterprises(LRE) and High-risk Enterprises(HRE),analyzes the risk adverse behavior of commercial banks,and on this basis conducts risk adjustment of real interest rate based on the different risk structures between loan portfolios and enterprise investments.The results show that since 2000,LRE has accounted for 75% and 60% respectively in loan portfolios and enterprise investments;the risk-adjusted real interest rate is higher than that estimated simply on the benchmark rate,and the spread is 2.76 percentage points;and that the gap between the nominal lending rates of HRE and LRE amounts to 6.1 percentage points.

关 键 词：实际利率 平均融资成本 信贷资产结构 投资结构 风险调整 

分 类 号：F832[经济管理—金融学]