经济周期、地方债务扩张与银行风险  

Business Cycle,Local Government Debt Expansion and Bank Risks

作　　者：章成帅 陈一稀 胡牧雪 叶德俊 周佳豪 

机构地区：[1]中国人民银行浙江省分行,浙江杭州310001 [2]中国人民银行台州市分行,浙江台州318000

出　　处：《浙江金融》2024年第12期3-22,共20页Zhejiang Finance

摘　　要：为研究地方债务扩张对银行风险的影响,本文利用财务数据估算了部分城商行持有地方债务的规模及债务违约带来的风险,并构建包含政府、银行、家庭、厂商等要素的DSGE模型。通过模拟经济周期中政府不同举债行为对银行信用风险、流动性风险的影响,发现银行风险与政府投资效率相关:经济上行期,政府过度举债在中长期对银行风险产生不利影响;经济下行期,地方债务违约率上升,将严重影响银行信用风险与流动性风险。To study the impact of local government debt expansion on bank risks,this paper estimates the scale of local government debt held by some city commercial banks and the risks brought by debt default using financial data.And construct a DSGE model that includes government,banking,households,manufacturers,and other departments.By simulating the impact of different government borrowing behaviors on bank credit risk and liquidity risk during business cycles,it is found that bank risks are related to government investment efficiency.During the economic upturn,excessive government borrowing has an adverse impact on bank risks in the medium and long term.During the economic downturn,the increase in local debt default rates will seriously affect bank credit risk and liquidity risk.

关 键 词：地方债务 经济周期 银行风险 

分 类 号：F832.1[经济管理—金融学]