摘要
在全球经济变动及宏观经济不确定性增强的背景下,中国经济波动的信贷周期及银行亲周期性的双重特征极易触发银行业的系统性风险。本文以经济波动与不良贷款的关系为切入点,采用时间序列分析方法系统地研究了上述问题并证明了二者之间的因果关系。基于研究结论,本文提出了研究、评估经济波动对银行业的潜在影响、审慎使用信用风险模型、实施差别化的调控政策、推进银行战略转型等政策建议,以有效预防银行业的系统性风险。
Under the backgrounds of the global economic fluctuations and the uncertainty of macro-economy, the double feature of China＇ s economic fluctuations in credit cycle and pro-cyclical will easily trigger a systemic risk for banking. In this paper, we focus on the relationship between economic fluctuations and non-performing loans, using time series analysis method to prove the casual link between them. In order to contain a banking＇ s systemic risk, we put forth some suggestions. For example, we should assess the economic fluctuations＇ potential impact on banks, use the credit risk models prudently and promote banking＇ s strategic restructuring.
出处
《国际金融研究》
CSSCI
北大核心
2009年第6期55-63,共9页
Studies of International Finance
关键词
经济波动
不良贷款
信贷周期
系统性风险
Economic Fluctuations
Non-performing Loans
Credit Cycle
Systemic Risk
作者简介
李麟，管理学博士、高级经济师，现任浦发银行总行战略发展部总经理；
索彦峰，经济学博士，现为复旦大学与浦发银行联合培养博士后。
