利率市场化改革与银行信贷风险定价能力——基于中国省区贷款利率浮动与信贷风险关系的考察  

Interest Rate Liberalization Reform and Banks’Ability of Credit Risk Pricing——Based on the Relationship Between Loan Interest Rate Fluctuation and Credit Risk at Chinese Provincial Level

作　　者：赵平[1] 方霞[1] ZHAO Ping;FANG Xia

机构地区：[1]浙江工商大学金融学院,杭州310018

出　　处：《金融论坛》2022年第8期19-28,共10页Finance Forum

基　　金：国家教育部人文社科规划项目“利率市场化、银行风险定价能力与民营企业融资约束”(16YJA790069);国家教育部人文社科规划项目“利率扭曲对中国行业结构失衡的影响:微观机理与政策调整”(17YJA790019);国家社会科学基金项目“绿色金融创新推动乡村产业兴旺的机制与实现路径研究”(19BJY114);浙江省科学技术厅软科学重点项目“数字化驱动浙江制造型企业创新能力提升机制、效应及政策研究”(2021C25004)。

摘　　要：本文实证研究中国银行业的信贷风险定价能力以及利率市场化对其影响。研究发现,中国银行业的信贷风险定价能够从总体上对较长期的信贷风险做出正确反应,中国银行业具有信贷风险定价能力,且这种能力因利率市场化而显著提升;中国银行业的信贷风险定价对增量风险更为敏感,利率市场化的作用更为显著地通过提升定价的增量风险敏感性来体现,其含义是中国银行业的信贷风险定价能力尚有很大提升空间。This paper empirically studies the credit risk pricing ability of Chinese banking industry and the impact of interest rate liberalization on it.The research finds that the credit risk pricing of Chinese banks can make a correct response to the longer-term credit risk on the whole.Chinese banks have the ability to price the credit risk,and this ability is significantly improved by the liberalization of interest rates;the credit risk pricing of China's banking industry is more sensitive to incremental risk.The effect mechanism of interest rate liberalization on the banks'pricing ability is mainly through increasing the incremental risk sensitivity of pricing,which means that the credit risk pricing ability of China's banking industry stll has much room for improvement.

关 键 词：利率市场化 信贷风险定价能力 贷款利率浮动 中小微企业融资约束 

分 类 号：F832.4[经济管理—金融学]