中国银行业风险形成机理及压力测试研究:基于行业信贷视角  

Risk Accumulation Mechanism and Stress Testing in China's Banking System:from the Perspective of Industry Credit

作　　者：方意[1] 郑子文[1] 颜茹云 

机构地区：[1]中央财经大学金融学院,北京100081 [2]中央财经大学中国金融发展研究院,北京100081

出　　处：《当代经济科学》2017年第5期1-15,共15页Modern Economic Science

基　　金：国家自然科学基金青年项目"货币政策;房地产价格与金融稳定"(项目批准号:71503290);中央财经大学青年科研创新团队支持计划"国际货币金融体系改革与人民币国际化";教育部一般项目"我国宏观审慎政策协调问题研究"(项目批准号:15YJA790090)

摘　　要：本文以新常态作为切入点,首次从行业信贷视角探究新常态时期经济增速下行压力对银行风险的影响,进而研究2007年至2015年宏观经济特征在银行风险形成过程中的一般作用。研究发现:(1)新常态下经济增速放缓对中国银行业的风险影响程度有限。从行业信贷来看,顺周期行业的信贷风险高于逆周期行业的信贷风险;(2)在银行风险的形成机理方面,物价变动引起的"货币幻觉"效应长期存在;银行自身特征引起的风险放大效应主要存在于金融危机时期;经济增速放缓引起的信贷需求摩擦在非危机时期更突出。上述因素对不同周期性行业信贷风险的影响与总体情况基本一致;(3)基于银行风险形成机理,本文发现货币政策比汇率政策治理银行风险的效果更好。此外,危机时期应使用宏观审慎政策抑制银行风险的自我放大。Based on the background of the new normal,this paper analyzes how the long-run slowdown in economic growth during the new normal period impacts on bank risk and explores the general effect of macroeconomic characteristics on the risk accumulation mechanism from 2007 to 2015.The results show that:(1)during the new normal period,the growth slowdown has a limited impact on banking system.From the industry credit,the credit risk in the pro-cyclical industry is higher than that in the countercyclical industry.(2)the risk accumulation mechanism indicates that the'Money Illusion'effect under the price factor exists in all periods.The risk amplification effect driven by bank characteristics mainly exists in the crisis periods,while the credit friction caused by the growth slowdown has a greater effect on bank risk in the non-crisis periods.The industry credit risk accumulation mechanism is the same as overall risk accumulation mechanism.(3)based on the risk accumulation mechanism,we find that monetary policy is more effective than exchange rate policy in the management of bank risk.Moreover,in the crisis period,macro-prudential policy should be applied to prevent the self-amplification of bank risk.

关 键 词：银行风险形成机理 行业信贷 新常态 宏观压力测试 

分 类 号：F832.4[经济管理—金融学]