中国商业银行信用风险宏观压力测试  

Macro Stress Testing of Credit Risk for Chinese Commercial Bank

作　　者：张凯[1] 周新苗[1] ZHANG Kai;ZHOU Xin-miao(Ningbo University,315211,Ningbo,Zhejiang,China)

机构地区：[1]宁波大学,浙江宁波315211

出　　处：《特区经济》2020年第3期95-100,共6页Special Zone Economy

基　　金：国家自然科学基金项目“中国绿色金融体系构建、发展困境与政策选择研究”(71773058);国家自然科学基金项目“有效风险管控策略对产业安全维护效应研究:基于远景理论的微观分析”(71473137);2020年度浙江省哲学社会科学新兴(交叉)学科重点扶持课题“金融安全视角下浙江省绿色金融发展的动力机制与驱动对策研究”(2020JC03ZD)资助。

摘　　要：本文用Logit模型将贷款损失率转化为金融稳定性综合指标,并以此作为被解释变量,以CPI、GDP和利率等宏观经济因素作为被解释变量进行回归分析,并做出各宏观经济因素的预测模型。在此基础上,对下一期的相应经济数据进行预测,并对下一期经济分别受各项宏观经济变量极端可信冲击下进行压力测试。研究结果显示,以上三种宏观经济因素对贷款损失率影响显著,其系数的经济意义也与现实相符。此外,根据模型的回归结果显示,关于利率的研究部分准确验证了我国利率的产出经济效应和货币政策的时滞期。本文为政府降低贷款损失率,提高金融稳定性而进行系统的宏观经济调控提供定性和定量的参考建议。In this paper,Logit model is used to convert loan loss rate into comprehensive index of financial stability, which is used as the explained variable, and macroeconomic factors such as CPI, GDP and interest rate are used as the explained variable for regression analysis, and the prediction model of each macroeconom-ic factor is made.On this basis, the corresponding economic data of the next phase are predicted, and the next phase of the economy under the impact of various macroeconomic variables are extremely credible pressure test.The results show that the above three macroeconomic factors have a significant impact on the loan loss rate, and the economic significance of the coefficient is also consistent with the reality.In addition, according to the regression results of the model, the research on interest rate accurately verifies the output economic effect of interest rate and the time lag of monetary policy in China.This paper provides qualitative and quantitative Suggestions for the government to reduce loan loss rate and improve financial stability for systematic macroeconomic regulation and control.

关 键 词：压力测试 贷款损失率 宏观经济因素 金融稳定性 

分 类 号：F832[经济管理—金融学]