基于非参数估计方法的中国银行业不良贷款影子价格测算  

Estimating the Shadow Price of Non-Performing Loans in China’s Banking Industry Through Non-Parametric Methods

作　　者：沈智扬 白凯璇 陈雪丽[4,5,6] Shen Zhiyang;Bai Kaixuan;Chen Xueli

机构地区：[1]法国科学经济与管理学院(IESEG管理学院) [2]法国国家科学研究中心(CNRS UMR 9221) [3]法国国家农业科学院与勃艮第大学 [4]中国社会科学院研究生院 [5]丹麦哥本哈根大学 [6]中国社会科学院新闻与传播研究所

出　　处：《金融经济学研究》2023年第6期18-31,共14页Financial Economics Research

基　　金：国家自然科学基金项目(72104028);国家留学基金委资助(No.202206030069)。

摘　　要：不良贷款影子价格是呈现金融风险与收益关系的重要指标,研究其变化对银行业稳健发展和促进经济高质量发展至关重要。基于2007—2020年中国95家银行机构的面板数据,采用多维非参数前沿面和Meta-frontier模型,探究中国银行业不良贷款的影子价格及其变动趋势。研究发现,总体上中国银行业不良贷款影子价格在样本期内呈现下降趋势,银行业经营风险稳定下降;其中,政策性银行的风险管理意愿最高,其次为大型商业银行和股份制银行,最后是城市商业银行。研究结论为研判如何提高银行信贷资产质量,防范系统性金融风险提供重要依据。The shadow price of non-performing loans is a critical gauge for delineating the interplay between financial risk and returns.Understanding its fluctuations is vital for ensuring the banking industry’s stability and advancing high-quality economic growth.Utilizing panel data from 95 Chinese banking institutions spanning 2007 to 2020,this study applied multidimensional non-parametric frontier and meta-frontier analytical models to investigate the shadow price of non-performing loans within China’s banking sector and its evolving trends.The study revealed a general decline in the shadow price of non-performing loans during the sample period,signifying a consistent reduction in operational risks within the sector.Regarding risk management proclivi⁃ty,policy banks took the lead,followed by large commercial banks and joint-stock banks,while city commercial banks exhibited the least willingness.These findings offer valuable perspectives for assessing strategies to enhance the quality of banking credit assets and for mitigating systemic financial risks.

关 键 词：银行绩效 不良贷款影子价格 非参数估计 Meta-frontier 

分 类 号：C61[社会学] D24[政治法律—政治学] G21[政治法律—中共党史]