地区汇总的庞氏利息程度变化与商业银行不良贷款预测  

Changes in Aggregate Ponzi Interests and Commercial Banks'Non-Performing Loan Forecasting

作　　者：谢德仁[1] 史学智 XIE Deren;SHI Xuezhi(School of Economics and Management,Tsinghua University)

机构地区：[1]清华大学经济管理学院,北京100084

出　　处：《金融研究》2023年第8期55-73,共19页Journal of Financial Research

基　　金：国家自然科学基金(71672098);清华大学经济管理学院研究基金(2020051009);清华大学中国现代国有企业研究院专项课题(iSOEYB202102)的资助。

摘　　要：本文基于企业的第一还款来源视角构建省份(含直辖市)层面汇总的上市公司庞氏利息程度指标,考察各省份层面汇总的庞氏利息程度变化对于该省份未来期间商业银行不良贷款增长的预测价值。研究发现,地区汇总的庞氏利息程度变化能够有效预测商业银行未来不良贷款增长。其原因在于,庞氏利息程度指标反映了企业第一还款来源的可靠性,庞氏利息程度的加深会导致企业未来经营风险上升,有更大概率陷入经营困境。进一步研究还发现,上述预测价值在庞氏型融资可持续性较低、银行不良贷款隐藏动机或能力较弱的地区更为明显。本文的研究发现意味着,由微观企业会计信息所构建的地区汇总的庞氏利息程度及其变化指标包含了未来期间地区商业银行信贷资产的信用风险与预期信用损失的增量信息,具有预测价值,商业银行在其预期信用损失模型中应该引入这一指标。The emerging literature suggests that the accounting information disclosed by micro-enterprises is useful for macro forecasting.Previous studies have mainly analyzed the relevance of aggregate accounting information for predicting macroeconomic indicators,such as future GDP growth,job creation and destruction,monetary policy,and inflation(Konchitchki and Patatoukas,2014a;Crawley,2015;Luo et al.,2016;Shivakumar and Urcan,2017;Rouxelin et al.,2018;Ma and Zhang,2020;Ye et al.,2020;Hann et al.,2021).However,little is known about the usefulness of aggregate accounting information in predicting meso-level indicators,especially the credit risk of the regional banking industry.The non-performing loan ratio is a leading indicator of an impending banking crisis(Reinhart and Rogoff,2011)and can effectively reflect a bank's risk status(Fang,2015).Thus,this paper investigates the predictive value of changes in aggregate Ponzi Interests for the growth of non-performing loans in commercial banks.This study uses data from publicly listed companies to construct a measure of firm Ponzi Interests,considering the primary repayment source and subsequently aggregating this measure to the provincial level.We measure Ponzi Interests by tracking the financial sources of firms'interest payments over an extended period and separating the component of total cumulative interest payments covered by financing cash inflows.Consistent with our conjecture,we find that changes in aggregate Ponzi Interests effectively predict the subsequent growth of non-performing loans in commercial banks.We observe a significantly positive association between changes in aggregate Ponzi Interests and the subsequent growth of non-performing loans in commercial banks at the provincial level.This relationship is attributed to the fact that our Ponzi Interests indicator reflects the reliability of a firm's primary repayment source.Firms with a deepening degree of Ponzi Interests will have a higher operating risk and likelihood of experiencing financial distress.Furth

关 键 词：庞氏利息 第一还款来源 地区汇总 不良贷款 预测价值 

分 类 号：F832.4[经济管理—金融学] F275F832.51