投资者情绪对银行贷款预期损失的影响研究  

Research on the Impact of Investor Sentiment on Bank Loan Expected loss

作　　者：王千红[1] 王欣[2] Wang Qianhong;Wang Xin(Glorious Sun School of Business and Management,Donghua University,Shanghai,200051)

机构地区：[1]东华大学旭日工商管理学院金融系,上海200051 [2]东华大学旭日工商管理学院,上海200051

出　　处：《上海经济》2023年第1期80-96,共17页Shanghai Economy

摘　　要：投资者情绪在金融市场深化背景下是否会影响银行贷款预期损失?为了尝试打开这个黑箱,选择2011—2021年期间16家A股上市银行季度经营数据为观测样本,运用GLS回归验证了投资者情绪对银行贷款预期损失的负向影响。进而通过构建动态递归模型,分别验证了“企业贷款需求”与“银行经营者过度自信”在投资者情绪对银行贷款预期的作用机制中分别发挥着部分中介效应与遮掩效应。此外,经济周期波动会影响投资者情绪作用于银行贷款预期损失的效力,而且不同类型商业银行对投资者情绪的反应也存在差异。Will investor sentiment affect expected losses on bank loans in the context of deepening financial markets? In order to try to open this black box, the quarterly operating data of 16 A-share listed banks from 2011 to 2021 were selected as the observation samples, and GLS regression was used to verify the negative impact of investor sentiment on expected loan losses of banks. Furthermore, the dynamic recursive model is constructed to verify that "enterprise loan demand" and "bank manager overconfidence" play a part of mediating effect and masking effect in the mechanism of investor sentiment on bank loan expectation. In addition, the economic cycle fluctuations will affect the effect of investor sentiment on the expected loan losses of banks, and different types of commercial banks have different reactions to investor sentiment.

关 键 词：投资者情绪 银行贷款预期损失 企业贷款需求 银行经营者过度自信 

分 类 号：F49[经济管理—产业经济] F299.2