信贷扩张、宏观经济与银行危机:基于中国数据的实证分析

为了验证信贷扩张、宏观经济环境对银行危机爆发的影响,本文以衡量商业银行风险的两个基本指标——不良贷款率和资本充足率构建了银行危机指标,并以此为被解释变量来构建计量模型,对宏观经济指标、贷款扩张与银行危机的关系进行了实证分析。基于中国数据的实证分析表明,贷款扩张速度以及通货膨胀率与银行危机水平呈正相关关系,存款增长率的变动也是体现民众对商业银行风险认知的重要指标。这一实证研究结果不仅印证了银行危机发生的普遍范式,而且在美国"次贷"危机中得以充分体现,从而为银行监管部门实施审慎监管提供了可靠的依据。

Credit Expansion, Macro-economy and Bank Crisis: An Empirical Analysis Based on China's Data

In order to testify the effect imposed by credit expansion and macroeconomic environment on bank crisis,this paper introduces an indicator which is composed of two basic risk indicators — non-performed loan rate and capital adequacy ratio — as the dependent variable to carry out an empirical analysis.The empirical analysis based on China’s data illustrates a positive relation between growth rate of loan or CPI and bank crisis.It also shows that the growth rate of deposit is a crucial indicator to popular recognition on bank’s risk condition.This empirical result not only provides a proof of common pattern for bank crisis,but also is fully reflected during the Sub-prime Mortgage crisis which occurred in the U.S.A.Thus,it could offer a tenable reference for the authority of bank industry to deliver macro-prudential regulation.