摘要
基于1999～2007年中国、美国和日本部分银行的不良贷款率数据,本文对影响银行信用风险的宏观经济因素进行了实证研究和比较分析。结果表明:(1)中国的银行信用风险水平与失业率呈现显著的负相关关系;(2)表面上美国的银行信用风险水平极低,而且不受宏观经济变量波动的影响,但是实际上其风险被金融衍生工具隐藏并积累起来;(3)日本的银行信用风险水平与CPI呈现显著的负相关关系。最后本文提出了几点建议。
Based on the non-performing loans data of banks in China, America and Japan from 1999 to 2007, this paper comparatively analyses the macroeconomic determinants of credit risk in each country. The results are as follows： the unemployment rate negatively affects the credit risk of China＇ s banks. Credit risk of America＇ s banks is very low and it isn＇ t significantly affected by macroeconomic factors, but actually it is concealed and accumulated by derivatives. CPI negatively affects the credit risk of Japan＇ s banks. At last some policy suggestions are provided.
出处
《国际金融研究》
CSSCI
北大核心
2009年第4期48-56,共9页
Studies of International Finance
基金
国家社科基金项目“基于契约理论的国际金融衍生品交易治理机制研究”(项目编号:06BGJ015)的阶段性成果
关键词
信用风险
风险管理
不良贷款率
Credit Risk
Risk Management
Non-performing Loans Ratio.
