摘要
选取2008-2018年的季度数据,结合当前我国经济新常态的形势,将国内生产总值、广义货币供应量、产能利用率、信贷规模、杠杆率、不良贷款率纳入一个框架体系进行研究,构建VAR模型,利用脉冲响应分析揭示几个变量之间的动态关系,再用方差分解法分析五大变量对不良贷款率影响程度。结果表明:国内生产总值对不良贷款率的影响为负;广义货币供应量对不良贷款率的影响,短期为正,长期为负;企业的产能利用率对不良贷款率的影响为负;商业银行贷款余额对不良贷款率的影响,短期为正,长期为负;银行杠杆率对不良贷款率的影响,短期为负,长期为正。
Based on the quarterly data of 2008-2018 and the current situation of China′s new normal economy,this research integrates the gross national product,the money supply,productivity utilization,credit scale,leverage ratio and non-performing loan rate,constructs a VAR model,and reveals the dynamic relationship among several variables by impulse analysis,usingvariance decomposition to analyze the impact of five variables on the non-performing loan rate.The results show that GDP has a negative impact on the non-performing loan rate;M2′s impact on the non-performing loan rate is negative on the condition that it is long term or positive if it is short term;so do the credit balance and leverage rate of bank;enterprise′s productivity utilization has a negative impact on the non-performing loan rate.
作者
夏佳佳
王守龙
XIA Jiajia;WANG Shoulong(Anhui Business College,Wuhu 241002,China)
出处
《河南工程学院学报（社会科学版）》
2020年第1期18-23,80,共7页
Journal of Henan University of Engineering(Social Science Edition)
基金
安徽省重大教育研究项目(2017jyxm0749)
安徽商贸职业技术学院“三平台两基地”应用研究院内招标重点项目(2019ZDF18)。
关键词
资产质量
杠杆率
不良贷款率
VAR模型
商业银行
asset quality
leverage rate
non-performing loan rate
VAR model
commercial bank
