The Study of Shadow Prices of Non-performing Loans in Chinese Commercial Banks under Different Risk Preferences
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| Title | The Study of Shadow Prices of Non-performing Loans in Chinese Commercial Banks under Different Risk Preferences
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| Author | Wang Bing and Zhu Ning |
| Organization | College of Econoics,Jinan University |
| Email | twangb@jnu.edu.cn；znzy1986@163.com |
| Key Words | Non-performing Loans; Shadow Price; Risk Preference; Directional Output Distance Function |
| Abstract | Quadratic directional output distance function is applied to estimate the shadow prices of non-performing loans under different risk preferences based on different direct vectors around 44 Chinese commercial banks during 2004 to 2011, and Bootstrap is applied to empirically examines macroeconomic factors of the shadow price of non-performing loans changes. There are some results as follows: following the decrease of risk sensitivity of banks, the shadow price of non-performing loans is decreasing. SOCB intends to eliminate the non-performing loans more actively under the preference of risk aversion, whereas CCB and JSCB, owning a more rational and flexible operation, prefer to pay more risk premiums than that of SOCB under the preferences of risk equality and risk invalid. The credit behavior of SOCB has been impacted by some policy power, like government goal and social responsibility. Regarding macroeconomic factors, real GDP and M2 supply decrease shadow price of non-performing loans, whereas CPI, real lending rate and fixed asset investment to GDP have opposite effect. |
| Serial Number | WP430 |
| Time | 2013-02-21 |
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