后危机时代商业银行不良资产形成因素的实证研究——基于江西省数据的经验分析

2009年,我国信贷高增长引致未来银行不良资产大量积聚的潜在风险引起了各方关注。在后金融危机背景下,研究商业银行不良贷款的现状,发掘不良贷款存在的根源,对信贷风险管理具有重要的现实意义。本文在回顾以前研究成果的基础上,试图以更加全面的视角,从宏观经济金融环境、宏观调控政策以及银行业运行情况等三个方面深入分析商业银行不良资产的影响因素。文章运用协整分析、格兰杰因素检验和脉冲响应模型对资产价格、固定资产投资、通胀率、存款准备金率、基准利率、银行利润等指标与不良贷款率（或不良贷款余额）的因果关系、影响程度进行了实证分析。结果表明,宏观经济金融形势的变化和货币政策调整都是影响不良贷款变化的重要原因,而不良贷款率的变化对商业银行利润影响明显。

Study on Post-crisis era of non-performing assets of commercial banks Status——Based on Jiangxi Data

In 2009,the high growth of credit caused the accumulation of future bad bank assets and raises the potential risk of the parties concerned.After the financial crisis in the context of non-performing loans of commercial banks in the current situation,to explore the root causes of bad loans,on credit risk management has important practical significance.This paper reviewed research on the basis of previous,attempt to view a more comprehensive,from the macroeconomic and financial environment,macro-control policies,and banking operation of the three aspects to expand,in-depth analysis of non-performing assets of commercial banks factor.Articles apply cointegration,Granger factor test and impulse response model,analyze the causal relations on asset prices,investment in fixed assets,inflation rate,deposit reserve ratio,base rate,bank profits and other indicators with the bad loan ratio（or non-performing loans） The results show that changes in macroeconomic and financial situation and the impact of monetary policy adjustment is an important reason for changes in non-performing loans,while non-performing loan rate changes affect the significant profits of commercial banks.