摘要
本文利用面板VAR模型及2004～2009年9家上市商业银行的数据,研究银行贷款损失准备计提与银行贷款行为、盈余管理策略的动态调整。研究发现,从中国代表性上市商业银行的经验证据来看,贷款损失准备的计提与净利润率之间存在显著的负相关关系;贷款损失准备计提影响了商业银行的贷款能力和商业银行的盈利水平,这证实了盈余管理行为的存在;充分计提贷款损失准备的商业银行其风险管控能力更强,从而阻碍不良贷款率的提高,但商业银行贷款损失计提对不良贷款率的提高不敏感,这可能与商业银行计提不规范和监管部门的监管水平不高有关。
With panel VAR model and 9 listed commercial banks＇ data from 2004 to 2009, this paper studies the loan behavior, earnings management and the dynamic adjustment of loan loss provisions. The results show that, according to Chinese listed commercial banks＇ representative empirical evidences, there is a significant negative correlation between loan loss provision and net profit margin;loan loss provision impacts commercial bank＇s lending capacity and profitability, which confirms the existence of earnings management; commercial banks with full loan loss provision have greater risk control capability, which thereby hinders the increase of non-performing loan ratio; but loan loss provision is not responsive to the increase of non-performing loan ratio, which may be related to irregular provision of commercial bank and low suoervision level of suoervision denartment.
出处
《金融论坛》
CSSCI
北大核心
2011年第5期31-36,共6页
Finance Forum
基金
国家社科基金青年项目(10CJL017)
国家自科基金面上项目(71073031)
教育部人文社科基金一般项目(08JA790025)
广东省银行业十二五规划课题
广东省软科学项目(2010B070300088)
广东省"千百十人才工程"第六批培养项目的阶段性成果
