中国影子银行违约风险和防范机制研究——来自上市公司委托贷款数据的经验证据

doi:10.16381/j.cnki.issn1003-207x.2020.07.004

中国管理科学 ›› 2020, Vol. 28 ›› Issue (7): 35-44.doi: 10.16381/j.cnki.issn1003-207x.2020.07.004

中国影子银行违约风险和防范机制研究——来自上市公司委托贷款数据的经验证据

钱雪松¹, 屈伸¹, 康瑾², 杜立¹

1. 华中科技大学经济学院, 湖北武汉 430074;
2. 中国科学院科技战略咨询研究院, 北京 100190

收稿日期:2018-03-26 修回日期:2018-10-08 出版日期:2020-07-20 发布日期:2020-08-04
通讯作者: 杜立(1990-),男(汉族),湖北荆门人,华中科技大学经济学院,博士后,博士,研究方向:公司金融、金融风险管理,E-mail:ecoduli2017@163.com. E-mail:ecoduli2017@163.com
基金资助:
国家自然科学基金资助项目（71803053，71872067，71473091）

A Study on Default Risk and Prevention Mechanism of China Shadow Banking——Evidence from Entrusted Loans of Listed Firm

QIAN Xue-song¹, QU Shen¹, KANG Jin², DU Li¹

1. School of Economics, Huazhong University of Science and Technology, Wuhan 430074, China;
2. Institutes of Science and Development, Chinese Academy of Sciences, Beijing 100190, China

Received:2018-03-26 Revised:2018-10-08 Online:2020-07-20 Published:2020-08-04

摘要/Abstract

摘要： 本文运用中国上市公司披露的委托贷款公告数据，实证研究了影子银行的违约风险及其防范机制。数据显示，我国委托贷款的整体违约率为10.09%，远高于同期银行业金融机构的不良贷款率。进一步研究发现，与影子银行风险受信息因素影响的直觉一致，抵押条款和借贷距离会显著影响委托贷款违约率：其一，从抵押视角来看，抵押条款和贷款违约率显著正相关，这表明，为了防范事后的道德风险问题，贷款者会要求借款者提供抵押；其二，从借贷距离视角看，与近距离借贷（或同省借贷）相比，远距离借贷（或异省借贷）的违约风险相对较高，这揭示出，借贷距离越远，贷款者越难对借款者进行甄别和监督，从而推高了借款企业的违约概率。本文研究不仅为我国委托贷款这一影子银行机制的风险状况提供了直接的经验证据，而且对影子银行参与者如何有效防范风险和相关政府部门加强监管具有重要的借鉴意义。

关键词: 影子银行, 违约风险, 抵押, 借贷距离, 委托贷款

Abstract: In recent years, the scale of shadow banking has grown rapidly in China. At the same time, the Chinese government repeatedly highlights the importance of preventing systemic financial risk. Since the shadow banking activity is outside the regulatory system, the risk of shadow banking is widely concerned. However, limited by the availability of micro-data, few papers empirically examine the risk of shadow banking. Fortunately, the Chinese listed companies disclosed the information of entrusted loans, which is a typical shadow banking mechanism. Using entrusted loans data of listed companies in China from 2004 to 2015, the risk of shadow banking in China is empirically examined in this paper. The data show that the default rate of entrusted loans is 10.09%, which is much higher than the non-performing loan ratio of banking financial institutions in the same period(1.94%). Moreover, the default of entrusted loans is more obvious for the real estate industry or in central and western China. Further, multiple regression methods are used to examine shadow banking riskfrom the perspective of collateral and distance. The results indicate that both the collateral and the distance affect the default rate of the entrusted loan. First, the collateral and the loan default rate are significantly positively correlated. This shows that in order to prevent the moral hazard problem, the lender will ask the borrower to provide collateral. Second, the distance between the lender and borrower is significantly and positively related to the default rate, which means that the farther the distance is, the harder it is for the lender to distinguish and supervise the borrower, thus pushing up the default ratio of entrusted loans. This study not only provides direct empirical evidence for the default risk of the shadow banking system in China, but also has important implications for shadowing banking participants and supervision.

Key words: shadow banking, default risk, collateral, distance, entrusted loans

中图分类号:

F830

钱雪松, 屈伸, 康瑾, 杜立. 中国影子银行违约风险和防范机制研究——来自上市公司委托贷款数据的经验证据[J]. 中国管理科学, 2020, 28(7): 35-44.

QIAN Xue-song, QU Shen, KANG Jin, DU Li. A Study on Default Risk and Prevention Mechanism of China Shadow Banking——Evidence from Entrusted Loans of Listed Firm[J]. Chinese Journal of Management Science, 2020, 28(7): 35-44.

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中国影子银行违约风险和防范机制研究——来自上市公司委托贷款数据的经验证据

A Study on Default Risk and Prevention Mechanism of China Shadow Banking——Evidence from Entrusted Loans of Listed Firm

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