摘要
运用时变增强型向量自回归(TVFAVAR)模型,分析了利率调整以及因利率调整而引发的宏观经济和金融市场的回馈响应与商业银行信用风险关联性的周期性特征。实证检验发现:利率调整与商业银行信用风险的关联性存在周期性特征,且利率调整有可能通过改变宏观经济和金融市场的经营环境,从而放大或减弱利率调整对商业银行信用风险的冲击。因此,厘清利率调整在经济周期的不同阶段如何影响商业银行的信用风险,有助于有效整合银行业的宏观审慎监管与利率政策框架。
In this paper, we propose a time--varying factor--augmented vector autoregressive （TVFAVAR） model to study the cyclical characteristics of risk linkage between interest rate, mac- roeconomic and financial market feedback response triggered by interest rate adjustment and credit risk of commercial banks. We found that there exist cyclical characteristics between interest rate and credit risk of commercial banks, and the operating environment of macroeconomic and financial market may be changed by interest rate adjustment and thus the response on credit risk of commer- cial banks were enlarged or diminished. So, clarifying the effect of interest rate adjustment on credit risk of commercial banks at different cycle stages, it is helpful to effectively integrate the banking macro--prudential regulation and interest rate policy framework.
出处
《现代财经（天津财经大学学报）》
CSSCI
北大核心
2013年第7期42-50,共9页
Modern Finance and Economics：Journal of Tianjin University of Finance and Economics
基金
国家重大社会科学基金项目(1282D070)
教育部人文社科重点研究基地项目(11JJD790013)
关键词
利率
信用风险
不良贷款率
卡尔曼滤波
interest rate
credit risk
nonperforming loan ratio
Kalman filter
