银行贷款损失拨备的影响因素分析——基于微观数据的经验证据被引量：10

An Examination of Bank Loan Loss Provision Determinants: Empirical Evidence from Micro Data

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摘要本文运用2001年至2008年50家银行总共207个数据来分析国内银行贷款损失拨备的决定因素。我们发现国内银行会根据当年的贷款损耗和上一年度的贷款损失储备来决定本年度的贷款损失拨备量,然而我们并没有得到银行的贷款损失拨备与未来不良贷款变动成正比。这说明我国银行可能还是主要根据过去的损失情况而不是根据估计未来可能出现的损失来决定贷款损失拨备的。同时,我们还考察了国内银行是否应用贷款损失拨备来调整资本比率、平滑收入以及作为显示银行未来经营状况的信号。我们的实证结果印证了前两个假设,但是却没有找到关于信号假设的有力证据。这一结论对于我国关于贷款损失拨备的会计处理提出了挑战。 This paper employs the data from 2001 to 2008 to explore whether the Chinese banks use loan loss provisions to manage capital,earnings and signal the future.We find support for the hypothesis that loan loss provisions are used for managing capital and smoothing earnings.However,we do not find evidence for the hypothesis of signaling effect.

作者郭杰洪洁瑛

机构地区中国人民大学经济学院法国图卢兹一大经济系

出处《金融评论》 2011年第1期11-19,123,共9页 Chinese Review of Financial Studies

关键词贷款损失拨备资本管理平滑收入信号理论 Loan Loss Provision Capital Management Earning Smooth Earning Smoothing

分类号 F832.4 [经济管理—金融学]

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参考文献15

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