负利率、银行风险承担与风险异质性研究
——基于欧洲银行业的实证分析

商业研究

负利率、银行风险承担与风险异质性研究 ——基于欧洲银行业的实证分析

曾智1，何雅婷2，曹国华2

1.中国人民大学财政金融学院，北京 100872；2.重庆大学经济与工商管理学院，重庆 400044

收稿日期:2017-03-29 出版日期:2017-07-20
作者简介: 曾智（1989-），男，湖南常德人，中国人民大学财政金融学院博士研究生，研究方向：货币政策与商业银行风险管理；何雅婷（1992-），女，重庆北碚人，重庆大学经济与工商管理学院硕士研究生，研究方向：商业银行流动性管理；曹国华（1967-），男，安徽宣城人，重庆大学经济与工商管理学院博士研究生，研究方向：金融市场、风险投资与期权博弈。
基金资助:
教育部人文社会科学重点研究基地重大项目，项目编号：11JJD790009；中国人民大学2016年度拔尖创新人才培育资助计划成果。

Negative Interest Rate, Bank Risk Taking and Heterogeneity:An Empirical Analysis based on European Banking Industry

ZENG Zhi1, HE Ya-ting2, CAO Guo-hua2

1.School of Finance, Renmin University of China, Beijing 100872, China;2. School of Economics and Business Administration, Chongqing University, Chongqing 400044, China

Received:2017-03-29 Online:2017-07-20

摘要/Abstract

摘要： 由于欧洲各个国家在宏观环境、银行业结构、利率机制等方面存在差别，对银行风险行为、异质性的影响会产生不同的结果。在长期低利率搭配量化宽松货币政策工具实施效果逐渐降低的背景下，欧洲部分国家针对银行在央行的储备存款实施负利率政策。本文利用欧洲银行业的数据分析负利率、银行微观特征对银行风险行为的影响，结果显示负利率政策的实施增加了欧元区银行的风险水平，而显著降低了瑞士银行的风险水平；从银行微观特征看，瑞典规模大的银行实施负利率更能降低自身的风险水平，欧元区资本充足率高的、流动性水平低的银行实施负利率更能降低自身的风险水平，而丹麦资本充足率低、流动性水平高的银行实施负利率更能降低自身的风险水平。上述结论证实了负利率政策的有效性，但不同国家实施负利率的结果可能存在差异，加强流动性监管非常重要。

关键词: 负利率, 风险行为, 银行异质性, 流动性监管

Abstract: Because of the difference of macro environment, bank structure, and the mechanism of interest rates in European countries, the influence on the bank risk behavior and heterogeneity will be different. In the context of long-term low interest rates with quantitative easing monetary policy implementation effect is gradually reduced, some European countries try to implement negative interest rate policy in the central bank′s reserve deposits. The paper uses European banking data to analyze the effects of negative interest rates, bank microscopic characteristics on bank risk behaviors. Results showed that negative interest rate policy in the euro zone have increased the risk of bank, and significantly reduce the Swiss bank′s risk level;considering the microscopic characteristics of banks, large banks, with negative interest rates can reduce the risk level of banks in Sweden, banks with high capital adequacy ratio, low level of liquidity, negative interest rates can reduce the risk level in the euro zone, under the low capital adequacy ratio, high level of liquidity circumstances, negative interest rates can reduce the risk level of banks in Denmark. The above conclusions confirm the effectiveness of negative interest rate policy, but there may be differences in the implementation of negative interest rate in different countries, so it is very important to strengthen liquidity regulation.

Key words: negative interest rate, risk behaviors, bank heterogeneity, liquidity regulation

曾智1，何雅婷2，曹国华2 . 负利率、银行风险承担与风险异质性研究 ——基于欧洲银行业的实证分析[J]. 商业研究.

ZENG Zhi1, HE Ya-ting2, CAO Guo-hua2. Negative Interest Rate, Bank Risk Taking and Heterogeneity:An Empirical Analysis based on European Banking Industry[J]. 商业研究.

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