摘要
本文以动态理论模型对中国商业银行体系信贷违约率做压力测试。结果表明:中国商业银行的违约率受货币供给量(M2)增速变化的影响较大,且两者之间显著负相关,这说明对于中国商业银行体系来讲,货币供给量增速的变化对违约的影响大,甚至超过了贷款利率和实际GDP增长率的影响;经济系统的动态性在模型中体现非常明显,尤其是时滞效应、反馈效应、传染效应都在模型中有较为显著地体现,而时滞效应更是相当明显。
The paper makes a stress testing on the credit default probability of China＇ s commercial banks by means of a dynamic model. The result shows that the default rate of commercial banks in China is greatly affected by the change of the growth rate of mon- ey supply （M2）, and that there is a significantly negative correlation, which indicates that for China＇ s commercial bank system, the impact of the change of the money supply growth on the default is even greater than the impact of the loan interest rate and real GDP growth rate; Dynamics of economic system is very obvious in the model, especially the time lag effect, feedback effect, contagion ef- fects reflected in the model are significant, and the time lag effect is more apparent.
出处
《西部金融》
2014年第2期51-55,共5页
West China Finance
关键词
商业银行
压力测试
信用风险
commercial bank
stress testing
credit risk
