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近年来,我国民间借贷规模迅速增加,有相当一部分民间借贷利率远高于银行贷款利率,企业因无法偿还高利贷而跑路的事件频现。有数据表明一些银行贷款也流入了民间借贷市场,使得整体金融风险急剧增加。因此,从理论和实证上研究民间借贷与商业银行违约风险之间的内在联系意义重大。在理论上,从套利和交易成本两个角度构建两种传导机制,以解释民间借贷风险是如何传递给正规金融机构的。在实证上,研究发现民间借贷风险的波动与农村金融机构不良贷款率的波动有着显著的正相关,而与国有商业银行、股份制商业银行和城市商业银行之间没有明确的相关性。同时,民间借贷风险的正向冲击和民间借贷利率的上升均会引起农村金融机构不良贷款率的正向变动。因此,文章认为部分农村金融机构的贷款通过我们所提出的两种渠道流向了民间借贷市场,地方政府应该加强对农村金融机构的监管,防止民间借贷风险传递给农村金融机构,进而引发银行风险。
In recent years, the scale of China’s private lending has been rapidly increasing. A considerable part of the private lending interest rate is much higher than the interest rate of bank lending. The frequent incidents of enterprises leaving the road due to their inability to repay usury. Data shows that some bank loans have also flowed into the private lending market, causing the overall financial risk to rise sharply. Therefore, it is of great significance to study the internal relations between private lending and the default risk of commercial banks theoretically and empirically. In theory, two kinds of transmission mechanisms are constructed from the perspectives of arbitrage and transaction costs to explain how the risk of private lending is transferred to the formal financial institutions. In empirical studies, we find that there is a significant positive correlation between the volatility of private lending risk and the volatility of non-performing loan ratio of rural financial institutions, while there is no clear correlation with the state-owned commercial banks, joint-stock commercial banks and urban commercial banks. At the same time, the positive impact of private lending risk and the rise of private lending rates will all cause a positive change in the non-performing loan ratio of rural financial institutions. Therefore, the article thinks that some rural financial institutions loans to the private lending market through the two channels we propose, and local governments should strengthen the supervision of rural financial institutions to prevent the risk of private lending to rural financial institutions and then lead to bank risks.