基于风险偏好的中国商业银行不良贷款影子价格研究  

Shadow Prices of Non- performing Loans of Chinese Commercial Banks under Different Risk Preferences

作　　者：朱宁[1] 王兵[1] 于之倩[1] 

机构地区：[1]暨南大学经济学院,广东广州510632

出　　处：《金融研究》2014年第6期67-81,共15页Journal of Financial Research

基　　金：中央高校基本科研业务费专项资金(暨南远航计划:12JNYH002);新世纪优秀人才支持计划(NCET-110856);国家自然科学基金(71203077);广东省人文社科重点研究基地项目(2012JDXM_0009);暨南大学研究生"菁英学子"计划项目的资助

摘　　要：本文运用二次型方向性产出距离函数估计了2004—2011年不同风险偏好下中国商业银行不良贷款的影子价格，并使用Bootstrap方法对影响影子价格的宏观经济因素进行了实证检验。主要的结论有：随着银行对风险敏感性的下降，不良贷款的影子价格呈现下降趋势；风险平衡型偏好对不良贷款的定价具有更显著的影响；国有控股商业银行的信贷行为可能受到“政策性”力量的影响；实际GDP和货币供给速度的提高会降低不良贷款影子价格，而CPI、实际贷款利率和固定资产投资总额占当年GDP的比重则具有相反的作用。Quadratic directional output distance function is applied to estimate the shadow prices of non - performing loans under different risk preferences based on different direction vectors around 44 Chinese commercial banks during 2004 to 2011, and bootstrap method is applied to empirically examine macroeconomic factors affecting the shadow price of non - performing loans changes. There are some results as follows ： with the decrease of risk sensitivity, the shadow price of non - performing loans decreases. The affects derived from risk balance preference was more appropriate to determine the price of non - performing loans. The credit behavior of SOCB might be affected by some policy power. Regarding macroeconomic factors, real GDP and M2 supply decrease shadow price of non - performing loans, whereas CPI, real lending rate and fixed asset investment to GDP have opposite effect.

关 键 词：不良贷款 影子价格 风险偏好 

分 类 号：F832.33[经济管理—金融学] F832.4