经济政策不确定环境下银行系统性风险预警研究——基于SHAP可解释机器学习的应用

经济政策不确定性是影响银行系统性风险管理的重要因素。文章在传统银行系统性风险预警体系中嵌入经济政策不确定性,基于我国2012—2020年银行宏微观数据,构建银行系统性风险指数,采用逻辑回归、随机森林、XGBoost模型评估我国银行系统性风险。实证表明：一是嵌入经济政策不确定性因素的银行系统性风险指数反映了我国银行系统性风险走势;二是随机森林、XGBoost模型在银行系统性风险预警方面表现出较高的预测精度;三是通过SHAP可解释算法对指标体系中重要变量进行“黑箱”分解发现,广义货币量、拨备覆盖率以及经济政策不确定等因素对银行系统性风险有重要影响。最后,基于分解结果为我国防范化解银行系统性风险提出具体措施及相关监管建议。     

经济政策不确定性对货币政策有效性的影响研究

随着经济发展,宏观政策的不确定性逐年升高。宏观经济政策在应对经济危机,稳定市场秩序,调节资源分配等方面具有重要的作用。货币政策作为宏观经济政策的重要组成部分,有效性在逐渐下降。本文研究经济政策不确定性能否影响货币政策正常发挥作用,通过回归分析判断不同政策不确定性区间货币政策对于物价和产出的影响,研究发现,高政策不确定性会影响货币政策对于产出的调节作用,数量型货币政策受政策不确定性的影响更大。     

高校贷款风险分析

随着我国高等教育的迅速发展,部分高校为满足扩大招生的需求,采用银行贷款方式进行大规模的基础设施建设,但是由于对贷款风险重视不够,给学校和银行均带来了财务风险。希望通过分析贷款使用过程中存在的问题、高校贷款的风险特征和高校贷款的影响因素,充分认识贷款的风险,树立正确的负债观,把握机会,利用有限贷款资金把学校建设得更好,促进高等教育的持续、健康、稳定发展。     

中国银行业盈利影响因素分析

考察了2001年至2007年14家商业银行的盈利状况,并选择银行资产利润率为银行盈利水平的测度变量,分析银行机构的个体特征变量、宏观经济变量和金融结构变量对中资银行利润率的影响。结果发现,商业银行的盈利能力主要由个体特征变量决定,其中,银行信贷率与银行利润率呈显著正相关关系,而银行规模、所有权性质与银行利润率之间呈显著负相关关系;宏观经济变量和金融结构变量与银行利润率的关系在总体上不显著,其中,只有通胀率与银行利润率呈显著负相关关系,存款和公债投资与银行利润率之间也呈负相关关系,但是没有显著性。     

房贷新政背后的银行利益博弈

中小股份制商业银行为了提高利润,对贷款业务仍然依依不舍,房贷业务是当前部分银行贷款业务增长的主要来源。不少银行仍将房贷视作优质业务,不愿正视房贷业务的潜在风险。     

亚行关注的中国电力——访亚洲开发银行主任经济学家林伯强

林伯强，美国加利福尼亚大学经济学博士，专业涉及国际贸易和金融、银行与财政以及发展经济学等。现为亚洲开发银行能源部东亚及中亚局主任经济学家，参与并主持亚行确定、准备、评价、管理能源领域的贷款及技术援助项目，负责评估项目的宏观经济环境和经济可持续性，以及政策对话。林伯强的研究范围包括项目经济分析、亚行运行政策、中国宏观经济和经济政策，以及中国能源政策和应用等。近期在中国能源政策和应用方面的主要论文有《结构变化、效率改进与能源需求预测：以中国电力为例》(《经济研究》2003年第5期)、《电力消费与中国经济增长：基于生产函数的研究》(《管理世界》2003年第10期)、(《电力短缺，短期措施与长期战略》(《经济研究))2004年第3期)等。     

施工企业流动资金贷款风险浅析

施工企业(下称企业)流动资金贷款,是建设银行为满足和补充企业再生产过程中,购买劳动对象、垫付劳动报酬和其它费用,自有资金不足而发放的短期贷款。但在企业流动资金贷款发放中,却经常出现短贷长用及呆滞、呆账等风险贷款,严重的破坏了资金的正常周转,影响了银行效益,给国家造成了极大的经济损失。一、风险贷款产生原因 1.银行原因 1)贷款管理人员素质低由于银行建经贷款管理人员素质低,缺少银行贷款经营观念,没有把管理工作,贯穿于放贷、用贷、收贷工     

买房三建议

购买二手房时必须考虑房龄在人们投资置业的过程中,比较关注的就是地段,而往往忽视了房屋本身的房龄问题。针对本次的个人贷款利率上调,其主要的目的已经不言自明,银行一方面是配合国家的宏观调控政策,减少对过热行业房地产的支持力度;另一方面就是为了降低银行自身的风险。因此,自从去年以来,银行就已经对房屋的房龄作为其限贷的条件之一,房龄过老的房子必然不能得到银行的支持。为此,笔者提醒购房者要注意:在进行二手房的选择中,如果希望得到银行贷款,就要更加关注房龄。房龄较新的二手商品房存在的折旧风险就相对较小,使得再次进行转售的…     

中国西部地区金融发展支持经济增长的实证研究

文章从金融资产结构的角度(包括银行贷款、保险资产以及股票等)对西部地区1985~2010年的金融发展与经济增长的关系进行了实证研究,结论表明:保险市场对经济增长的推动作用不显著;股票市场对西部地区经济的贡献率仅为0.0834;银行贷款显著地促进了西部地区的经济增长,其中短期贷款的贡献最大;从贷款投向来看,工业贷款贡献率最大,其次是农业贷款,最后是第三产业贷款。结合本文实证结论,提出了优化和改善西部地区银行体系的信贷结构、继续增加对西部地区农业的有效资金投入、通过加大对第三产业授信规模来提高第三产业在国民经济中的比重、同时提高第三产业就业吸纳力等政策建议。     

经济政策不确定性冲击对企业创新投入调整的影响研究

经济政策不确定性上升对企业动态创新决策提出极大挑战。本文利用沪深A股非金融业上市公司经验数据，考察了经济政策不确定性冲击对企业创新投入调整的影响以及高管风险感知的调节作用。研究发现：(1)经济政策不确定性冲击抑制了企业创新投入调整幅度；(2)高管风险感知反向调节经济政策不确定性冲击对创新投入调整幅度的抑制效应；(3)进一步研究发现，经济政策不确定性冲击对创新投入调整幅度的抑制效应在强财务压力企业和国有企业中相对较小。高管风险感知的调节效应则在强财务压力企业和非国有企业中表现得更为充分。本文拓展了经济政策不确定性微观经济后果和企业创新的研究视阈，深化了对经济政策不确定性变动背景下企业创新投入调整行为的理解。     

Failed Bank Resolution and the Collateral Crunch: The Advantages of Adopting Transferable Puts

Current methods of failed bank resolution are unnecessarily expensive for taxpayers and impose substantial costs on borrowers at failed banks. This situation is the result of distorted incentives imbedded in the standard contract between the government and acquirers of failed banks, which result in more loan foreclosures than if the loan were held by a well-capitalized bank. This paper proposes a modification to the standard contract in the form of a transferable put, which would introduce market-based incentives to the disposition of failed bank assets.     

Credit rationing and implicit contract theory : An empirical study

This paper investigate whether or not implicit contract relations predominate in the Japanese bank loan market and produce equilibrium credit rationing. The empirical evidence suggests that risks are shared between banks and firms through interest rate arrangements. This implies that commercial banks in Japan operate in a market dominated by implicit contract relations. However, the evidence does not support the view that Japanese commercial banks execute credit rationing in the sense of Fried and Howitt (1980). Furthermore, the results show that large banks differ from small banks in the risk consideration of loan contracts. These empirical results are completely consistent with the intermarket business group hypothesis such that the group formation aims to share risks and profits among members.     

Information Externalities,Neighborhood Characteristics and Home Mortgage Pricing and Underwriting

Theories of rational redlining suggest thinness in housing markets should lead to greater uncertainty in house price appraisals, increasing mortgage denial rates or pricing. Empirical tests found support for this theory in mortgage underwriting using 1990s data. Using 2006 data and bank‐specific regression models, we revisit this topic in light of two developments leading to the recent mortgage bubble: the widespread securitization that allowed banks to shift loan risk to investors and the advent of risk‐based pricing. Consistent with expectations, we find that information externalities have become economically very small and have shifted from underwriting to pricing decisions.     

Lenders’ pricing strategy: Do neighborhood risks matter?

This article explores the different pricing strategies of lenders who originate both government-sponsored enterprise (GSE) and non-GSE loans. We find that conditional on loan and borrower characteristics and some observable local economic factors, mortgage rates on GSE loans vary significantly across regions. However, we observe no sizable regional variation in loan amounts or default risk. By contrast, the mortgage rates on non-GSE loans depend almost entirely on borrowers and loan characteristics. In addition, we find that spatial variations in GSE mortgage rates are highly responsive to regional prepayment risk. Our results are robust to various controls for neighborhood characteristics, including regional-level bank competition, borrower accessibility to mortgages, and household income levels. Overall, the findings offer a novel insight into how lenders adjust pricing strategies in response to a changing lending environment. The results provide implications relating to the present and imminent dangers of housing bubbles and the intensified refinancing wave following the COVID-19 pandemic.     

Strategic Complementarities in Bank Branching Decisions*

I study how complementarities between rival banks’ branching decisions impacts banking deregulation. I use an instrumental variables approach to separately identify a bank’s strategic response to rivals’ branching decisions from common market factors. The results indicate that some bank types are more likely to open additional branches if their rivals do. This has important implications for expansion and merger policies. These are explored using a model of consumer demand for bank services and bank branch network choices. I find that strategic complementarities in branching decisions augment the effects of a merger or expansion, leading many banking markets to become over-branched.     

政府监管对银行稳健性的影响研究——基于中国上市商业银行的实证检验

以2006～2012年16家上市银行为样本,实证分析了特许权价值、资本监管、隐性保险对银行稳健性的影响。研究结果表明：特许权价值对银行风险存在自律效应,对银行绩效和银行流动性没有显著影响;资本监管能够降低银行风险,然而却降低了银行流动性,对银行盈利性没有显著影响;隐性保险制度对于稳健性差的银行保护较多;银行规模越大,银行稳健性越好,即存在“大而不倒”的情况;资本杠杆和经营杠杆对银行稳健性的影响不大：次贷危机对银行稳健性的影响不大,但金融危机对银行稳健性的影响依然存在。     

Location and competition in retail banking

We investigate the impact of banking deregulation during the 1990s on consumer welfare. We estimate a spatial model of consumer demand for retail bank deposits that explicitly accounts for consumer disutility from distance traveled. This is important given the substantial changes in banks' branch networks observed in the data. Our model indicates that cross-price elasticities between banks whose branches are close to consumers (‘close’ banks) are larger than those between ‘far’ banks and more than double the cross-price elasticity of ‘close’ banks with respect to ‘far’ banks. We distinguish between thrifts and other banks and find that within-thrift competitive effects are stronger than within-bank effects or those between thrifts and banks. We use our estimates to predict the effect of changes in market structure on consumer welfare following the branching deregulation of the Riegle–Neal Act of 1994. Our results indicate that the median household gained around $60 per year from the changes. Approximately two thirds of the gains come from within-market changes in market structure. The gains were greater in markets with high initial numbers of banks than elsewhere.     

Credit Availability and the Structure of the Homebuilding Industry

We investigate the role of disruptions to the structure of the homebuilding industry due to fluctuations in the availability of bank credit. We find a sustained decline in the large private homebuilder market share series over the period from 1988 to 1993 when many banks with deteriorated health reduced their lending in order to raise capital ratios. Regression analysis at the metropolitan statistical area level supports the hypothesis that, in areas where banks were less well capitalized and had more problem construction loans, the market shares of large private homebuilders that relied primarily on bank credit to finance their production suffered at the expense of the public homebuilders that had better access to external funds, in large part due to their direct access to public capital markets.     

商业银行房地产项目放贷初始决策研究

信贷业务是商业银行利润的主要来源,也是银行管理和决策中最复杂、最困难的金融业务之一,具备一个良好贷款资产结构和拥有大量较强盈利能力贷款资产是商业银行核心竞争力的重要体现之一.文章从银行视角出发,对房地产项目的放贷问题进行投资分析,由于该决策具有刚性,故传统投资分析方法足够对其评价;对某房地产新项目实例进行计算分析,采用以资本资产定价模型为基础的适用新模型确定折现率,取得了较好的效果,具有一定的现实应用意义.