美国银行信用风险与宏观经济变量的实证研究

以2005年到2012年美国综合银行不良贷款的相关数据为样本，对影响美国银行信用风险的宏观经济变量进行实证检验。研究结果表明：美国综合银行的信用风险水平比较高，其信用风险水平与失业率有着显著的强正相关关系，而与 GDP增长率、消费者物价指数增长率、生产者物价指数增长率和广义货币增长率无关。实际上，美国银行业的信用风险经过金融衍生品分散转化后并没有消除，只是被隐藏起来了，并且逐步累积。有鉴于此，提高我国银行业信用风险管理水平措施包括：一是着重研究宏观经济波动以及政策的实施对信用风险的影响；二是提高就业率，保持宏观经济环境的良好状态；三是借鉴西方发达国家较为成熟的理论体系，形成适合我国的风险管理控制方法；四是提高对住房贷款业务的风险认识；五是重视信用文化建设和银行信用制度创新。

An Empirical Research on American Banks＇ Credit Risks and Macroeconomic Variables

With some randomly selected statistics from the non-performing loans of USA comprehensive banks be-tween 2005 and 2012 as samples,the present paper conducts an empirical study on the macroeconomic variables that affect the credit risks of American banks.The results demonstrate that the credit risks of the comprehensive banks in the USA are comparatively high,and that there exists a significant positive correlation between their level of cred-it risks and unemployment;credit risks have nothing to do with GDPR,CPIR,PPIR,and M2R.However,due to transformation and decentralization caused by financial derivatives,American banking credit risks have been not e-radicated yet;they are j ust hidden and will gradually be accumulated.The measures to raise the level of credit risks management in our country banking include：firstly,we should lay a great emphasis on our researches about macro-economic fluctuations and the impact of implementation in banking policies on credit risks;secondly,we need to im-prove the employment rate to retain the healthy state of our macroeconomic environment;thirdly,it is advisable to learn from the Western developed countries to form risk management and control methods fit for our own country as they have developed rather a mature system of theories;fourthly,governments at all levels should enhance their un-derstanding of the risk involved in housing loans business;lastly,attention should be paid to credit culture construction and credit system innovation.