摘要
本文利用ARMA模型和VAR模型,对重要宏观经济指标、商业银行信贷资产的规模与质量进行预测分析,对商业银行房地产开发贷款增速和质量进行压力测试,并对指标间的波动特性及变化规律进行量化。研究结果表明,宏观经济波动对商业银行信贷资产的增长和质量稳定均有显著影响。商业银行应加强基础数据的整理、储备,将土地、物业作为抵质押物的影响纳入压力测试范围,根据经济增长率、房贷增长率等关键指标的预测结果以及房贷规模和质量指标的压力测试结果,科学评估商业银行房地产开发贷款规模和质量变迁对整体信贷资产质量的影响。
With the ARMA model and the VAR model,this paper forecasts and analyses important macroeconomic indicators,the size and quality of credit assets of commercial banks,conduct stress testings on the growth and quality of the loans of the real estate development of commercial banks and quantifies the fluctuations characteristics and variation law of the indicators.The results of the study show that macroeconomic fluctuations significantly impact both the growth and the stablity of the quality of the credit assets of commercial banks.Commercial banks should strengthen the reserve and analysis of basic data,conducts the stress testing on the impacts of the collateral of land and property,scientifically assesses the impacts of the changes in the size and quality of commercial bank's loans of real estate development on the overall quality of credit assets.
出处
《金融论坛》
CSSCI
北大核心
2012年第5期19-25,共7页
Finance Forum
