商业银行不良贷款率与企业负债率、房价的关系实证分析

Empirical Analysis of the Relationship between the Non-Performing Loan Rate of Commercial Banks, Corporate Debt Ratio and Housing Price

摘要: 从2011年起，我国商业银行的不良贷款率一直呈增长态势，严重阻碍了我国宏观经济的运行。银行出现的各种不良贷款行为的原因有很多，目前有关不良贷款的现有文献中，主要是围绕宏观经济形势和银行内部经营指标进行研究，很少有针对企业自身的情况和某一具体的宏观因素展开详细的实证研究，这是本文的创新点。首先，本文通过搜集数据说明不良贷款率持续较高的现状。接着，通过理论分析说明不良贷款率与企业负债率、房价的关系。然后，选取了商业银行不良贷款率、ST及非ST公司的资产负债率、房价等季度数据建立分布滞后模型和VAR模型，发现不良贷款率与ST企业负债率呈正相关，与非ST企业负债率、房价呈负相关关系。最后，本文从企业、银行、政府三个角度提出管理不良贷款率的策略。

Abstract: Since 2011, the non-performing loan ratio of China’s commercial Banks has been growing, seriously hindering the operation of China's macro economy. There are many reasons for the non-performing loan behaviors of Banks. Currently, the existing literatures on non-performing loans mainly focus on the macro-economic situation and internal operating indicators of Banks, and there are few detailed empirical studies on the situation of enterprises and a specific macro-factor, which is the innovation point of this paper. Firstly, this paper illustrates the current situation that the non-performing loan ratio continues to be high through collecting data. Then, through theoretical analysis, it explains the relationship between non-performing loan ratio, corporate debt ratio and housing price. Then, the distribution lag model and VAR model are established based on the quarterly data of non-performing loan ratio of Chinese commercial Banks, asset-liability ratio of ST and non-ST companies, and housing price. It is found that the non-performing loan ratio is positively correlated with the debt ratio of ST enterprises and negatively correlated with the debt ratio and housing price of non-st enterprises. Finally, this paper puts forward strategies to manage the non-performing loan ratio from the perspectives of enterprises, Banks and the government.