【作者】 孙宇；

【导师】 张屹山；

【作者基本信息】 吉林大学 ， 数量经济学， 2004， 硕士

【摘要】 目前，国有商业银行改制问题一直是受到全国乃至全世界关注的热点问题，尤其是以中国银行和中国建设银行为试点的银行股份制改造更是引起人们的极大兴趣，而国有商业银行改制无可避免所要面临的一个问题，就是国有商业银行庞大的不良贷款规模。我国绝大多数国有商业银行的不良贷款率难以达到《巴塞尔协议》的要求，因此，分析国有商业银行不良贷款产生的内部原因，从而对不良贷款的再生进行防范，具有非常重要的现实意义。本文通过对我国商业银行不良资产的界定和现状分析，分别从经济体制、产权制度、政府角度、贷款企业以及银行内部等方面、利用经济学和信息经济学的理论方法分析了我国商业银行不良资产产生的内在原因，并相应的提出了防范不良资产再生的政策性建议。 一、导论贷款风险分类法是指以风险为基础对贷款进行分类的方法。贷款风险分类的依据是贷款的风险程度，实际是指借款人及时足额归还贷款本息的可能性。对贷款归还可能性的判断，主要是通过对以下六种因素的分析判断：一是借款人的还款能力；二是借款人的借款记录；三是借款人的还款意愿；四是贷款的担保；五是贷款偿还的法律责任；六是银行的贷款管理。我国推行的贷款风险分类法，根据贷款的风险状况，将贷款分为五类，分别是：正常、关注、次级、可疑和损失，其中，后三类合称为不良贷款。化解商业银行不良资产有利于国家经济安全、预防经济危机的发生，有助于重塑银企关系、为深化改革和体制创新扫清障碍，有利于经济发展。二、我国商业银行不良资产的现状分析由于长期以来受计划经济体制的束缚，以及九十年代初期经济过热的影响，中国国有商业银行积累大量不良贷款，中国国有商业银行不良<WP=38>资产加速积累和暴露，信贷资金周转速度减缓，经营亏损扩大，国有商业银行的经营面临巨大的信用风险和流动性风险压力。我国商业银行不良资产沉淀数额巨大。人民银行发布的1999年度金融统计报告显示，截至1999年末，金融机构各项贷款余额为93734亿元，金融机构各项存款余额为108779亿元。1999年末，工、农、中、建四大商业银行的呆坏帐占整个贷款余额的2.7%。对于商业银行而言，清理不良资产刻不容缓，化解金融风险迫在眉睫。三、我国商业银行不良资产成因分析从经济体制上分析。企业自身积累能力较差，资金来源严重不足，资本市场规模较小。从产权制度上分析。企业和银行的产权具有同一性，其产权结构基本一样都是国有资本控制；企业和银行的预算约束很弱；我国商业银行产权约束弱化。从政府角度分析。我国政府对国有商业银行存在着严重的行政干预，即“政银合一”。虽然经济改革一直在致力于实现政企分开、政银分开，但由于政府职能没有从根本上转变，银行和企业基本上都还属于政府的附属物，对企业和银行随意的、不合理的干预也就难以避免，有时还非常频繁，这使得银行和企业要按市场化规范运作有许多困难。从企业角度分析。经营管理者素质低下，经营管理不善；投资项目失败；企业自我积累能力差，缺乏资本金；企业信用观念淡薄。从银行内部治理角度分析。一方面，我国商业银行因委托代理关系多元化，委托代理链条过长而致的代理成本过高问题，是商业银行在内部治理上的首要问题，也是我国商业银行不良资产产生的根源。另一方面，内部人滥用对银行贷款的控制权，弱化所有权的约束，无限扩大自身的权利，使所有者权益受到伤害；运用自己扩张了的权利，使银行贷款项目乃至银行经营目标发生偏离，由追求银行利润最大化变为追求个人收益最大化。 <WP=39>四、我国商业银行不良资产成因的模型分析1．我国国有企业银行信贷倾向的内在机理分析假设国有企业决策为一项目进行投资，该投资项目需要资金总额为K，设企业自有资金为e，则企业就需向银行贷款D=K-e。假定企业投资项目的回收额是一个随机变量[，]（这里<），企业基建投资项目预期的净利润W为：W = E-D(1+r)[1-F(D(1+r))]-(1+r)e 另一方面，银行系统的收益V：V = 如果>D(1 +r ) ；V=0 如果<D(1 +r ) 。假定国家银行系统也是利润极大化的行业，那么，其利润的预期值Ф是Ф=V（D，r）-（1+r）D 其最大化的必要条件是： (1+r+D)[1-F(D(1+r))-(1+r)Df(D(1+r))]=(1+r) 即对一个给定的经济环境而言，客观上存在着一个贷款最佳总额度D。当企业投资向银行告贷的债务规模上升时，企业无法偿还本利的累积分布函数F〔D（1+r）〕也上升了，当D≥时，有<0。2．政府与商业银行委托—代理的博弈分析政府作为委托人的情况下，政府与银行之间的委托—代理问题可以表述如下：) <WP=40>s．t．(IR) – c() (IC) = ()令和分别为参与约束IR和激励相容约束IC的拉格郎日乘数，上述最优化问题的一阶条件是：=一般地，是的单调增函数，最优激励合同一定是的增函数，即产出越高，银行经理的收入越高：>0。3．银行与银行贷款管理人间委托—代理的博弈分析银行对银行贷款管理人所要寻找的最优激励合是选择，可以表示为下列最优化问?更多还原

【Abstract】 In recent years, the issue on the system reform of state-owned commercial banks, especially when the Bank of China and the Construction Bank of China have committed to the joint-stock reform as an experimental unit, has been greatly concerned by the nation and even the whole world. Regarding to this issue, Chinese state-owned commercial banks have inevitably to be confronted with such a tough problem—the large amount of banks’ bad loans. A great majority of the state-owned commercial banks’ bad loan rate cannot achieve the requirement according to “the Basel Agreement”. Therefore, it makes a great sense to analyze the internal causes of the generation of the bad loan, and therefore, to defense the regeneration of the bad loan, in the state-owned commercial banks.This paper analyzes the internal causes of the generation of the bad loan in Chinese state-owned commercial banks, and provides some suggestions on the defense on the regeneration of the bad loan, defining the Chinese state-owned commercial banks’ bad loan and its present situation, using some theoretical methods in economics and information economics regarding to the aspects of economic system, property right system, government, enterprises and the banks’ interior.Part One IntroductionThe classified method of the loan risk is a method which classifies the loans, based on the risk. The foundation of this classified method is the risk level of the loan, and in essential, is the possibility that the borrower can return the whole loan and the interest in due time. According to the analysis of the <WP=43>following six factors, we can estimate the possibility of the return: 1.the return ability of the borrower; 2.the loan record of the borrower; 3.the return inclination of the borrower; 4.the guaranty of the loan; 5.the legal obligation of the loan return; 6.the management of the loan in banks. Based on the situation of the loan risk, we use the classified method of the loan risk and classify the loans into five classes: normal, attentionable, inferior, questionable and losing, in which the latter three is called the bad loan. To solve the problem about the state-owned commercial banks’ bad loan will benefit the safety of the national economy, defense the emergence of the crisis, assist the re-regulation of the relationship between the banks and the enterprises, deepen the reform, smoothen the system innovation and accordingly push the development of the national economy.Part Two The Present Situation of the Chinese State-owned Commercial Banks’ LoanDue to the restriction of the long-term planned economy system and the impact of the economic speedy growth, Chinese state-owned commercial banks accumulate a great amount of bad loans. With the accumulation and the emergence of the bad loans, credit fund rotation rate slowed down, management expense enlarged, state-owned commercial banks are confronted massive credit risk and liquid risk. The amount of the bad loan is surprisingly huge. The financial report of the People’s Bank of China in 1999 indicated that the sum of the loans in all sorts of financial organizations had been added up to RMB 93734 billion, and the sum of deposits RMB 108779 billion. By the end of 1999, the bad loans of the four major state-owned commercial banks to the totle loans was 2.7%. Therefore, it is an emergent issue for the banks to solve the bad loan and defense the financial crisis. <WP=44>Part Three The Analysis to the Generation Causes of the Chinese State-owned Commercial Banks’ Bad LoanFrom the aspect of the economic system, the enterprises cannot depend on the capital accumulation on their own, and accordingly, lack the capital sources.The property right of the Chinese enterprises and the bank is identical, which are both controlled by the state-owned capital. The enterprises and the banks are restricted weakly. Chinese government interferes the internal management of the state-owned commercial banks through administrative way. Although economy reform has committed to the refor更多还原