积极财政政策背景下国有商业银行信贷风险研究

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浙江财经学院硕士学位论文

摘要

随着社会主义市场经济体制的逐步建立，中国的金融市场在不断探索中慢慢

发展，作为金融市场中核心部门而存在的国有商业银行因其巨大的资产规模、庞

大的业务量发挥着重要且特殊的作用。而作为关乎我国金融稳定的一个重要方面，

中国国有商业银行的信贷风险问题在人们的视野中和国内外学者的思考框架中也

一直长期存在着。

关于中国国有商业银行信贷风险问题的研究，涉及到信息经济学、现代产权

理论、企业管理等众多相关理论。本文将对国有商业银行在国家实施积极财政政

策的条件下所面临的各种信贷风险来源进行研究，并着重分析此背景下国有商业

银行承担政策性贷款任务导致的信贷风险以及由此引起的银行经理人和地方政府

道德风险。

本文首先通过建立一般性的理论模型，解释了在经济衰退的背景下，为促进

积极财政政策的有效实施，政府有对国有商业银行进行政治干预的激励和冲动。

进一步，政府政治干预的广泛存在使得中央政府、银行经理人和地方政府发生共

同作用导致不良资产产生及银行信贷风险加强。具体而言，本文说明了只要存在

政府干预，银行经理人就会出于自身利益最大化的需求而遵守政府意愿发放超过

最高盈利点的过度贷款；另一方面，政府对国有商业银行实行的政治干预也会导

致银行在承担正常盈利性任务的同时承担一定的政策性任务。鉴于政府与银行经

理人之间的信息不对称，政府将会对此两种任务所造成的可能的银行信贷损失都

予以补贴。因而，银行经理人在被动接受政府意愿发放过度贷款的基础上会有动

机主动承担更大的信贷风险来最大化自己的收益，同时这也会降低作为国有银行

债务人——地方政府的激励程度和努力水平，加强地方政府事后不履约的概率和

道德风险。

另外，本文为对前文理论思路和逻辑推理进行验证，构建了一个国家银行贷

款余额增长额和财政赤字两个变量的向量自回归模型，对我国积极财政政策与银

行信贷风险相互作用的关系及其动态性进行了实证分析。通过协整检验、格兰杰

因果关系检验、脉冲响应函数分析和方差分解，发现银行信贷风险与政府所实施

的积极财政政策有长期均衡关系，积极财政政策的长期扩张对国家银行贷款的发

放有较为明显的正向推动作用；且财政政策对银行信贷波动的贡献度为 15%，但

随着滞后期增加而减小，产生稳定影响的期限比较短。

通过以上分析本文认为，在目前情况下，应该通过加强政府职能转变明确国

浙江财经学院硕士学位论文

有商业银行市场主体地位、完善国有银行激励和约束机制防止管理层道德风险以

及改革金融集权和财政分权制度降低地方政府过度利用能力等方面来完善当前国

有商业银行的风险管理体制，稳定金融秩序，以及指导未来银行业的改革。

关键词：国有商业银行；信贷风险；积极财政政策；VA R 模型

浙江财经学院硕士学位论文

III

ABSTRACT

As the socialist market economy system is being set up graduallly,China’s financial

market continues to develop in the exploration, the state-owned commercial banks as

the core of financial market plays an important part because of it’s huge assets scale and

enormous business. At the same time, as one important aspect relating to our country’s

financial stability ,the issue of credit risk of the state-owned commercial banks has been

existing in the view of people and the economic scholars’ think framework for a very

long time.

The research on the credit risk of the state-owned commercial banks involves a lot

of theories such as information economics,modern property rights theory and business

management.This paper will study the various sources of credit risk of the state-owned

commercial banks which is under the condition of the implementation of the national

pro-active fiscal policies. On this basis,we will focus on the analysis of the credit risk

and bank managers and local government’s moral hazard leaded by the policy task’s

being taken on by the state-owned commercial banks.

Firstly, This paper established a general theoretical model to explain the generation

mechanism of state banks’ bad assets owing to the exist of political control of the

central government under the condition of the pro-active fiscal policies. In specific, the

paper revealed that on the purpose to maximize their own interests, bank managers

complyed with government requirement to issue loans exceeding the maximum profit

point.On the other hand,in view of asymmetric information between the government

and the bank managers,the credit losses caused by profitable tasks more than policy

tasks were subsidized by the government.Hence,the bank managers had an greater

motivation to take on more credit risk to maximize their own returns,while the

probability of default and moral hazard of logal government who is the debtor of the

state banks was going to be strenghtened.

In addition, this paper made a VAR model including two variables: the increase in

the state-owned banks loans and state budget deficit ,and analyzed the interactions of

pro-active fiscal policies of China and credit risk of the state-owned commercial banks

and their dynamics. Also we performed a Cointegration Test,a Granger Causality Test,

Impulse Responses Functions and Variance Decomposition Analysis, and detected that

浙江财经学院硕士学位论文

there was a long-term equilibrium relationgship between credit risk of the state-owned

banks and the national pro-active fiscal policies,the expansion of the pro-active fiscal

policies had a more significant role in promiting the issue of state banks’ loans.

Through the above analysis,this paper argues that the state-owned commercial

bank’s current credit risk management system should be improved by accelerating the

transformation of government functions,optimizing the incentive mechanism of

state-owned banks and reforming the system of financial centralization and fiscal

decentralazation.

Keywords：the State-owned commercial banks ；Credit risk ；the Pro-active fiscal

policies；VAR model

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摘要：

浙江财经学院硕士学位论文I摘要随着社会主义市场经济体制的逐步建立，中国的金融市场在不断探索中慢慢发展，作为金融市场中核心部门而存在的国有商业银行因其巨大的资产规模、庞大的业务量发挥着重要且特殊的作用。而作为关乎我国金融稳定的一个重要方面，中国国有商业银行的信贷风险问题在人们的视野中和国内外学者的思考框架中也一直长期存在着。关于中国国有商业银行信贷风险问题的研究，涉及到信息经济学、现代产权理论、企业管理等众多相关理论。本文将对国有商业银行在国家实施积极财政政策的条件下所面临的各种信贷风险来源进行研究，并着重分析此背景下国有商业银行承担政策性贷款任务导致的信贷风险以及由此引起的银行经理人和地方政府...

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