预期信用损失模型对银行资本计提的结构性影响研究——基于50家上市商业银行的实证分析

预期信用损失模型是一项新的贷款损失准备计提方法,对其经济后果的评估非常重要.关于预期信用损失模型的实施对我国商业银行资本计提的具体影响,目前还缺乏深入系统的研究.本文结合我国50家上市商业银行的公开数据,从监管资本、会计损益和资本计提前瞻性的角度分析了预期信用损失模型对我国商业银行资本计提的影响.研究结果表明:总体影响上,商业银行的贷款损失准备计提金额显著增加,利润波动增强,对资本充足率带来一定冲击;从不同特征商业银行看,小型商业银行、使用权重法商业银行、城市商业银行和H股上市商业银行受到的影响更为严重;从资本计提的前瞻性看,贷款损失准备的前瞻性得到加强,顺周期性效应得到一定程度缓解,但并不能完全消除.

The Structural Impact of Expected Credit Loss Model on Bank Capital Provision:An Empirical Analysis Based on 50 Listed Commercial Banks

As a new method of provisioning for loan losses,expected credit loss model is important to evaluate the economic consequences.At present,there is a lack of in-depth and systematic research on the specific impact of the implementation of the expected credit loss model on the capital provision of commercial banks in China.Based on the public data of 50 listed commercial banks,this paper analyzes the impact of the expected credit loss model on the capital provision of commercial banks in China from the perspective of regulatory capital,accounting profit and loss and capital provision,the results showed that:in terms of overall impact,the loan loss provisions of commercial banks increased significantly and profit fluctuations increased,which had a certain impact on the capital adequacy ratio;from the perspective of different characteristics of commercial banks.Small commercial banks,weighted method commercial banks,city commercial banks and H-share listed commercial banks are affected more seriously.From the perspective of forward-looking capital provision,the forward-looking has been strengthened,and the pro-cyclical effect has been alleviated to a certain extent,but it has not been completely eliminated.