新冠肺炎疫情对农村商业银行的信用风险冲击与异质性检验--以山东省110家农村商业银行为例  

Credit Risk Shocks and Heterogeneity Test of Rural Commercial Banks in the COVID-19--Taking 110 Rural Commercial Banks in Shandong Province as the Example

作　　者：郑录军[1] 孙毅[1] Zheng Lujun;Sun Yi(PBC Jinan Branch,Jinan 250021,Shandong,China)

机构地区：[1]中国人民银行济南分行,山东济南250021

出　　处：《金融发展研究》2022年第8期48-54,共7页Journal Of Financial Development Research

基　　金：山东省人文社会科学项目“新冠疫情对山东省农村商业银行的风险冲击、异质性检验和成本分担机制研究”(2020-NDJJ-12)。

摘　　要：本文以山东省110家农村商业银行为样本,实证分析了新冠肺炎疫情对农村商业银行的信用风险冲击及异质性,并探讨了监管部门的政策效应。GMM估计模型结果表明:新冠肺炎疫情与农村商业银行不良贷款率显著正相关,中央银行货币政策工具对新冠肺炎疫情冲击具有抑制效应,新冠肺炎疫情前风险相对较高与欠发达地区的农村商业银行受到的冲击更大。基于此,提出强化政策扶持、加强流动性风险监测与资本补充、完善风险转移和分担机制建设、加快推进数字化与平台化转型等政策建议。Using a sample of 110 rural commercial banks in Shandong province,this paper empirically analyzes the credit risk shocks and heterogeneity of COVID-19 on local corporate banking institutions and explores the policy effects of regulators.The results of the GMM estimation model indicate thatCOVID-19 is significantly and positively related to the non-performing rate of rural commercial banks,the central bank monetary policy instruments have a dampening effect on the epidemic shock,and rural commercial banks in relatively high risk and less developed areas before the epidemic are hit harder.Based on this,policy recommendations such as strengthening policy support,enhancing liquidity risk monitoring and capital replenishment,improving the construction of risk transfer and sharing mechanisms,and accelerating digitalization and platform transformation are proposed.

关 键 词：疫情冲击 农村商业银行 不良贷款率 实证检验 

分 类 号：F832.33[经济管理—金融学]