摘要
本文以2007-2018年中国商业银行为研究对象,探究中国情境下银行贷款信息的宏观预测价值。研究发现:第一,汇总的银行贷款风险溢价能够预测宏观经济风险,汇总的不良贷款信息能够预测宏观经济趋势;第二,银行的信息优势和决策前瞻性动机是贷款信息具备宏观预测效应的重要原因;相比企业会计盈余信息,银行贷款信息具有更稳健的宏观经济预测能力。本文发现表明,中国银行贷款信息具备有效的宏观预测价值,特殊的制度环境影响了银行信贷业务运作,导致与美国市场不同的预测结果,为预测和分析未来宏观经济发展变化提供了新的有效途径,为监管部门理解银行营运状况和完善监管政策提供了建议。
Macroeconomic forecasting is of great significance for both policy-making and business decision-making.In theory,the information advantage and forward-looking motivation of banks provide loan information the ability to forecast macro-economy.A preliminary study indicates that loan loss provision and non-performing loan information can steadily predict the state-level recessions in the United States but does not throw light on its theoretical mechanism.In view of the huge differences between China’s banking regulation system and the mature financial market,the provision for loan losses tends to cater to regulatory policies and send signals to regulators,besides,the over-competitive market environment and strong intervention policy guidance also make the risk reaction of banks in China obviously different from that in the United States.Therefore,the aggregate bank loan information is more likely to have unique macro forecasting value in the special institutional environment of China.However,there is still a lack of relevant research.This paper uses a sample of China’s commercial banks from 2007 to 2018 to explore the macro forecasting value of bank loan information in China.This paper finds the aggregate loan risk premium is associated with future macroeconomic fluctuations,while the changes of aggregate non-performing loan can forecast economic trends.Besides,the forecasting value of bank loan information is attributed to banks’information advantage and forward-looking motivation of decision-making.Furthermore,after controlling for aggregate corporate accounting earning information,the aggregate bank loan information still has robust macroeconomic forecasting value.These findings show that the bank loan information in China has effective macro-forecasting value,and China’s special regulatory environment affects credit business,leading to the different forecasting results from that in the United States.To a large extent,the forecasting results of differentiation with the United States reveal the operation pattern of bank loan business in China under the special institutional environment,such as high-standard and inflexible regulatory requirements,excessive market competitive pressure and policy guidance,which reflecting on the current situation of banking regulation in China.The conclusions provide a novel and effective method for macroeconomic forecasting,and suggestions for making economic policies effectively for regulators in China.This paper also helps regulators to understand the operation of banks and improve regulatory policies,so as to alleviate the imbalance between regulation and marketization and optimize the credit operation,making the financial sector better serve the real economy,containing financial risks and deepening financial reforms.
作者
马永强
吴年年
玄宇豪
Ma Yongqiang;Wu Niannian;Xuan Yuhao(School of Accounting,Southwestern University of Finance and Economics)
出处
《南开管理评论》
CSSCI
北大核心
2021年第1期136-147,179-180,共14页
Nankai Business Review
基金
国家自然科学基金重点国际合作项目(72010107001)
国家自然科学基金项目(71872151)
财政部“会计名家培养工程”项目资助
关键词
银行贷款
微观信息
宏观预测
制度差异
Bank Loans
Micro Information
Macroeconomic Fore-casting
Institutional Environment Differences
