【作者】 张强；

【导师】 胡金焱；

【作者基本信息】 山东大学 ， 金融学， 2018， 博士

【摘要】 小额贷款公司自2008年在全国范围内开展试点工作以来,无论是公司数量、从业人员数,还是实收资本都得到了迅速发展。近年来,受经济结构调整和金融市场发展的影响,小额贷款公司行业的整体规模和贷款业务总量也由初期的快速增长转变为缓慢发展。与此同时,行业整体利润水平薄弱,经营绩效开始下降,贷款结构制定不合理,客户违约风险加剧等问题,也使小额贷款公司的可持续发展面临巨大困境。如何提高小额贷款公司的盈利能力和经营绩效,有力控制风险在合理水平是解决小额贷款公司发展困境的当务之急。贷款利息收入是小额贷款公司的主营业务收入。从公司角度来说,小额贷款公司开展信贷业务,制定或调整贷款结构与其利息收入和利润水平密切相关。从实践层面来看,小额贷款公司在我国按照市场化原则以追求利润最大化为目标进行经营。通过科学合理地制定贷款结构,提升信贷技术和风险管控能力,是提高小额贷款公司经营绩效,走出发展困境的有效路径;从理论研究来看,小额贷款公司是一类特殊的信贷中介机构。当前对小额贷款公司微观层面的信贷行为研究尚且简单,亟需深入探讨和澄清现有结论在认识上的不足。基于以上考虑,文章以小额贷款公司的贷款结构为研究对象,重点分析了贷款结构对经营绩效和贷款违约风险的作用机制。具体从贷款利率结构、贷款额度结构和贷款期限分布结构三个方面选择了小额贷款公司最具代表性也最重要的三类贷款结构进行分析。文章在理论分析部分,从小额贷款公司经营特征和贷款结构特征入手,基于信息并不对称理论,提出了贷款结构在借款人违约风险影响下对经营绩效的作用机理。贷款结构与违约风险存在显著关系,因此贷款结构对经营绩效的作用效果主要取决于贷款利息收入和违约风险损失的大小。这与小额贷款公司面临不同的违约风险水平有关。结合数理模型分析,文章提出了违约风险门限效应这一理论假设。即违约风险存在一个门限水平,在低于和高于这一门限水平时,贷款的收入效应和风险效应大小不同,使贷款结构与经营绩效的关系发生显著的变化。其主要原因是贷款结构作用于经营绩效的同时,对违约风险也存在着显著的影响。在实证分析部分,文章使用山东省小额贷款公司的面板样本数据进行实证检验。首先分析了在不考虑违约风险因素影响下贷款结构对经营绩效的作用情况;然后进一步加入违约风险因素,对违约风险门限效应的存在性和影响效果进行检验;最后检验贷款结构对违约风险的影响情况,以期解释背后的原因。文章得到的主要结论有:(1)在没有违约风险影响下,贷款利率与经营绩效的关系呈显著的线性正相关关系,提高利率水平可以有效增加小额贷款公司经营绩效;单笔贷款额度与经营绩效之间存在着倒U型关系,说明贷款额度并不是越高越好;6个月以内的短期贷款占比与经营绩效呈显著正相关关系,而7～12个月的中长期贷款占比与经营绩效呈显著负相关关系。表明贷款期限越长,贷款分布越集中,越不利于小额贷款公司经营绩效的提高。(2)若考虑违约风险门限效应,对于贷款利率,不是越高越好,当违约风险达到门限值水平以上时,提高贷款利率不再对经营绩效产生正向作用;对于贷款额度,一方面不管违约风险水平如何变化,单笔贷款额度与经营绩效之间的倒U型关系始终存在。另一方面当违约风险增加超过门限水平时,提高单笔贷款额度对小额贷款公司经营绩效有显著的负向作用。这两点充分说明,单笔贷款额度越大,越不利小额贷款公司增加经营收益;对于贷款期限分布,中长期贷款占比与经营绩效的关系不受违约风险水平的影响,始终存在负相关的线性关系。但是短期贷款占比对经营绩效的影响表现出显著的违约风险门限关系,即违约风险上升到门限水平以上时,短期贷款占比与经营绩效的关系由原来的显著正相关变为显著负相关。(3)贷款结构对违约风险具有显著的影响,并且影响效果也与借款人的违约风险水平有关。其中,当小额贷款公司面临的违约风险较低时,提高贷款利率和增加短期贷款占比可以有效降低借款人的违约率。但是当违约风险上升到门限水平以上时,贷款利率、贷款额度和短期贷款占比均与违约率呈显著正相关关系,而中长期贷款占比始终与违约率呈正相关关系。因此,贷款结构对违约风险的影响情况也恰好解释了贷款结构与经营绩效之间呈门限关系的原因。文章在充分借鉴前人研究成果的基础上,不断改进和完善,实现了以下几点创新:第一,在研究视角上,文章不再局限于对外部和宏观因素的研究,而是从微观层面深入探讨贷款结构与经营绩效的关系。并且抓住小额信贷违约风险特征,从风险的角度提出了违约风险门限效应理论假设;第二,在研究内容上,文章选择了最能体现小额贷款公司贷款结构特点的三类贷款结构,首次系统全面地分析了不同类型的贷款结构对小额贷款公司经营绩效和风险的影响机制;第三,在研究方法上,文章的理论分析从特征现象出发到抽象出事物的一般规律,提出了小额贷款公司贷款结构对经营绩效的作用机理。并构建了数理模型进行推演分析,提高了文章的理论研究层次。实证分析选取了更加科学的计量模型,按照层层推进的实证检验思路,充分揭示了各变量之间的影响关系,证明了违约风险门限效应这一理论假设的存在性和合理性;第四,在研究应用上,文章将信息不对称理论全面应用到分析小额贷款公司贷款结构的作用机制中,尤其是深入揭示了贷款结构与借款人违约风险的关系。这既符合小额信贷市场信息不完备这一典型特征,也是对该理论的扩展应用。文章的研究发现和结论在一定程度上能够弥补现有关于小额信贷市场贷款结构方面的理论研究空白。从信贷技术的角度,补充对小额贷款公司经营绩效和贷款风险影响因素的研究。这不仅有助于正确认识小额贷款公司贷款结构特征及其影响效应,也在提高公司盈利能力、促进行业稳健发展和帮助监管部门制定政策等方面都具有重要的现实意义。更多还原

【Abstract】 Since 2008,the small loan company has carried out the pilot work nationwide,whether the number of companies,the number of employees,or the paid-in capital has been developed rapidly.In recent years,under the influence of economic restructuring and the development of financial market,the overall size of the industry and the total amount of loan business in the small loan companies have also changed from the initial rapid growth to the slow development.At the same time,the overall profit level of the industry is weak,the performance has began to decline,the loan structure is unreasonable,and the risk of client default is increasing.It also makes the sustainable development of small loan companies face huge difficulties.How to improve the profitability and performance of small loan companies is the most urgent task to solve the development dilemma.Loan interest income is the main business income of small loan company.From the perspective of the company,small loan companies carry out credit business,making or adjusting loan structure is closely related to their interest income and profit level.On the practical level,in our country,small loan companies operate according to the principle of marketization in pursuit of profit maximization.It is an effective way to improve the performance of small loan companies and get out of the development dilemma by making loans scientifically and rationally,improving credit technology and risk control capabilities.From the point of theoretical research,small loan company is a special kind of credit intermediary organization.At present,the research on small loan companies’ micro level credit behavior is relatively simple.It is urgent to further explore and clarify the shortcomings of the existing conclusions.Based on the above considerations,this thesis focuses on the loan structure of the small loan company,and mainly analyzes the mechanism of the loan structure on the performance and loan default risk.Specifically,we choose three types of loan structure,which are the most representative and the most important,are analyzed from three aspects:loan interest rate structure,loan amount structure and loan maturity distribution structure.In theoretical analysis,this thesis starts with the characteristics of the small loan company and the characteristics of the loan structure.Based on the asymmetric information theory,the thesis puts forward the mechanism of loan structure’s effect on performance under the influence of borrowers’ default risk.There is a significant relationship between loan structure and default risk,so the effect of loan structure on performance is mainly determined by the size of loan interest income and the loss of default risk.This is related to the different levels of default risk for small loan companies.Based on the analysis of mathematical models,this thesis puts forward the hypothesis theory of the threshold effect of default risk.That is,there is a threshold level of default risk.When the level is below or above the threshold level,the income and risk effects of loans are different,which makes significant changes in the relationship between loan structure and performance.The main reason is that the loan structure has a significant impact on the risk of default as well as on the performance.In empirical analysis,the thesis uses the panel sample data of small loan companies from Shandong province to carry out empirical tests.Firstly,we analyze the effect of loan structure on performance without considering default risk factors.Secondly,we further join the risk factors,and examine the existence and effect of threshold effect from default risk.Finally,the thesis examines the effect of loan structure on default risk in order to explain the reasons behind it.The main conclusions are as follows:(1)If default risk factors are not considered.There is a significant linear positive correlation relationship between loan interest rate and performance,and raising interest rate can effectively increase the performance of small loan companies.(2)Consider the threshold effect of default risk.For the loan interest rate,the higher the better,when the default risk reaches the threshold level above,increasing loan interest rate will no longer have a positive effect on performance;As for the loan amount,on the one hand,the inverted u-shaped relationship between single loan amount and performance is always present regardless of how the default risk level changes.On the other hand,when the default risk increases beyond the threshold level,the increase of single loan amount has a significant negative effect on the performance of small loan companies.These two points fully explain that the larger the loan amount,the more unfavorable the small loan company increases the income;For the loan maturity distribution,the relationship between medium-long maturity loan ratio and performance is not affected by default risk level,and there is always a negative linear relationship.However,the impact of short maturity loan ratio on performance shows a significant default risk threshold relationship,that is,when the default risk rises to the threshold level,the relationship between short maturity loan proportion and performance has a significant negative correlation changed from the original significant positive correlation.(3)The loan structure has a significant impact on default risk,and the effect is also related to the default risk level of borrowers.When the default risk is low,raising the loan interest rate and increasing the short maturity loan ratio can effectively reduce the default rate.However,when the risk of default rises to the threshold level,the loan interest rate,loan amount and short maturity loan ratio are significantly positively correlated with the default rate.And the medium-long maturity loan ratio always has a positive correlation with the default rate.Therefore,the influence of loan structure on default risk also explains the threshold relationship between loan structure and performance.Based on the previous research achievements,the thesis has improved and perfected continuously,and realized the following innovations:Firstly,from the perspective of research,the thesis is not limited to the study of external and macro factors,but also explores the relationship between loan structure and performance from the micro level.And the theory of default risk threshold effect is put forward from the point of risk;Secondly,on the research content,the thesis chooses the three kinds of loan structure that best reflect the characteristics of small loan company’s loan structure.For the first time,it systematically analyzes the influence mechanism of different types of loan structure on the performance and risk of the small loancompany;Thirdly,in terms of research methods,the theoretical analysis of the thesis starts from the characteristic phenomenon and abstracts the general rule of things,and puts forward the mechanism of the loan structure of small loan companies to the performance.The mathematical model is constructed to carry out and improve the theoretical research level of this thesis.The empirical analysis selects more scientific econometric models,in accordance with the empirical test through a way of thinking,and fully reveals the relationship between variables based on the empirical test method.It proves the existence and rationality of the hypothesis of default risk threshold effect;Fourthly,in terms of research and application,the thesis applies information asymmetry theory to analyze the mechanism of small loan company’s loan structure,especially reveals the relationship between loan structure and borrowers’ default risk.This is not only a typical feature of the incomplete information in the small credit market,but also an extended application of the theory.The research findings and conclusions of this thesis can make up the gap of the existing theoretical research on the loan structure of microfinance market to a certain extent.From the perspective of credit technology,it supplements the research on the factors affecting the management performance and loan default risk of small loan company.This will not only help us to correctly understand the characteristics and influence effects of small loan company’s loan structure,but also have important practical significance in improving company profitability,promoting the steady development of industry and helping regulators to make policies.更多还原