PDF《作者信息》

1 作者信息 隋聪,男,1978 年10 月出生,管理科学与工程(金融工程)博士,金融学讲师,硕士生导师.

单位:东北财经大学金融学院 地址:大连市沙河口区尖山街

217 号东北财经大学金融学院

116025

电话:134

7868 8820 Email: [email protected] 研究方向:商业银行风险管理 邢天才,男(1961-),博士,教授,博士生导师. 单位:东北财经大学金融学院 地址:大连市沙河口区尖山街

217 号东北财经大学金融学院

116025

电话:135

0077 3900 Email: [email protected]

2 基于非完全利率市场化的中国银行业贷款定价研究 隋聪,邢天才 (东北财经大学金融学院,大连 116025) 摘要:贷款定价是商业银行控制风险、追求利润的重要手段.本文在当前中国非完全利率市场化的背景下,利用期望 效用理论,建立了商业银行单周期的财富期望效用函数,并推导出银行最优贷款定价结果以及最优纯利差.通过本文 建立的理论模型与传统的代理商模型进行对比,发现在非完全利率市场化下,存款利率管制会给银行造成额外的成本. 这种成本体现在隐含利息支付中,所以隐含利息支付对纯利差的影响要明显高于在利率市场化下.本文采用中国

33 家 商业银行和美国

52 家商业银行在 2003-2010 年的平衡面板数据,利用固定效用模型,进行了实证研究.实证研究的结 果证明了理论研究的结论.此外,实证研究还发现:中国的商业银行还没有完全意识到要通过贷款定价来控制违约风 险;

中国在长期的利率管制下,商业银行的违约风险问题严重. 关键词:贷款定价;

净利差;

利率市场化;

期望效用函数 中图分类号:F830 JEL 分类号:G21 文献标识码:A Chinese commercial bank loan pricing based on non-complete interest rate marketization SUI Cong, Xing Tian-cai (School of Finance, Dongbei University of Finance and Economics, Dalian 116025, China) Abstract: Loan pricing is the important way of controlling risks and pursuing profits for commercial banks. This paper establishes single-period wealth expected utility function with expected utility theory under the background of non-complete interest rate marketization in China and deduces the optimal bank loan pricing results and the optimal pure interest margins. Compared to the traditional dealership model, the theoretical model established in this paper finds out that deposit interest rate control will bring about the extra cost reflected as implicit interest payment in the non-complete marketization of interest rate and at the same time, implicit interest payment has bigger impacts on pure interest margins than it has in the marketization of interest rate. This paper uses the fixed utility model and does the empirical research with the balanced panel data of Chinese

33 commercial banks and American

52 ones and the empirical research results are consistent with the theoretical one. In addition, the empirical research shows that Chinese commercial banks aren'

t completely aware of controlling default risks with loan pricing;

long-term interest rate control brings about the serious problems of commercial bank default risks in China. Keywords: loan pricing;

net interest margins;

non-complete interest rate marketization;

expected utility function

1 引言 贷款定价是商业银行控制风险、追求利润的重要手段.在利率市场化下,商业银行通过贷款定价和存 款定价控制贷款的需求和存款的供给,从而达到控制违约风险、利率风险,提高收益的目的.商业银行的 贷款定价行为体现在银行的净利差中,因此研究商业银行贷款定价行为可以从净利差入手.然而在不同的 金融环境下,商业银行的贷款定价行为也会有所差异.