导　　师： 朱芳

学科专业： 020204

授予学位： 硕士

作　　者： ;

机构地区： 暨南大学

摘　　要： 作为我国商业银行拨备体系中最重要的内容，贷款损失拨备是防范贷款风险的重要工具之一，它的提取源自于商业银行对风险管理和控制的需要。然而，由于会计制度、税务规则以及风险度量方法缺乏关于经济周期考虑等方面的原因，商业银行贷款损失拨备与经济周期呈现负相关关系：在经济繁荣时期，商业银行计提较少的拨备，而在经济衰退时期又不得不针对集中出现的贷款损失计提大规模的拨备，贷款损失拨备计提的顺周期性不仅可能侵蚀银行资本，而且会通过多种渠道影响着实体经济，进一步放大金融体系的周期性波动。因此，建立具有逆周期作用的动态拨备，使商业银行在经济繁荣时期多计提拨备从而覆盖经济衰退时期的贷款损失，不仅能够提高商业银行自身抵御风险的能力，而且能够降低系统性金融风险，使整个宏观经济更加稳定。 本文在对相关理论进行阐述并比较分析西班牙等国商业银行动态拨备实践的基础上，结合我国商业银行贷款损失拨备、动态拨备的发展历程，采用16家上市商业银行2003年至2012年的数据对我国商业银行贷款损失拨备的顺周期性进行实证分析。实证结果表明，GDP增长率、通货膨胀率和资本充足率三个指标都反映出不同程度贷款损失拨备的顺周期性，而贷款增长率指标在有限的程度内缓解了这一顺周期性特征。此外，由于预期的商业银行收入平滑行为没有出现，没有显著证据表明银行利用贷款损失拨备来平滑收入，商业银行贷款损失拨备的顺周期性比预期的要强。因此，建立和完善具有逆周期作用的动态拨备是必要且合理的，我国应当加快商业银行动态拨备的建设。最后，本文在前文分析的基础上提出了一些建议，具体包括：协调会计准则和监管政策的内在冲突；实施监管机构严格统一管理制度；完善贷款五级分类法；加大对银行表外非标资产的监管力度；加大税收政策鼓励力度；建立信贷损失数据资料库完善贷款损失拨备信息披露体系。 Loan loss provision, as the most important part of provision system ofcommercial bank, is one of the most important tools for banks to prevent risks fromhappening. The extraction of loan loss provision is derived from the needs of banks’risk management and control. Due to the current accounting standards /(accrualprinciple/), tax rules and less consider of economic cycle of risk measurement methods,banks extract much less in the period of economic prosperity, while extract muchmore for the emerging of loan loss during the recession, affecting the real economythrough various channels, further amplifying the cyclical fluctuations in the financialsystem. Therefore, establishing dynamic provisioning not only improves the banks’ability to resist risks, but also makes the whole macroeconomic more stable becausebanks extract more provisions during the boom years which can cover the loan loss ofrecession. Based on the analysis of relevant theory and comparative study of the currentdynamic provision practices of Spain and other counties, combining with thedevelopment history of China's loan loss provision system, this paper empirically teststhe pro-cyclicality of loan loss provision of China’s commercial banks by using thedata of16listed commercial banks during2003-2012. The test shows that, the threeindicators, GDP growth rate, inflation rate and capital adequacy ratio, reflect differentlevels of pro-cyclicality of loan loss provision, while the indicator of loan growth ratealleviated this feature within a limited extent. In addition, there is no significantevidence shows that commercial banks use loan loss provision to smooth income, sothe pro-cyclicality of loan loss provision is stronger than expected. At last, this paperput forward some corresponding suggestions to speed up the construction of dynamicprovisioning system of China's commercial banks. The suggestions includecoordinating inherent conflict of accounting standards and regulatory policies,implementing strictly unified management system, improving five category loanclassifications, strengthening the supervision of non-standard assets of banks, encouraging banks extract provisions by tax policy, establishing database of loan lossand improving information disclosure system.

关 键 词： 贷款损失拨备 顺周期性 动态拨备 商业银行

分 类 号： [F832.33]

领　　域： [经济管理]