商业研究

商业研究

• 财经纵横 • 上一篇    下一篇

利率市场化、银行微观特征与风险承担

冯传奇，洪正   

  1. （西南财经大学 中国金融研究中心，成都 611130）
  • 收稿日期:2017-09-04 出版日期:2018-01-25
  • 作者简介:利率市场化与市场微观主体；洪正（1971-），男，安徽无为人，西南财经大学中国金融研究中心教授，博士生导师，研究方向：公司金融、中国经济转型与发展。
  • 基金资助:
    教育部人文社会科学重点研究基地项目“我国城市商业银行公司治理优化研究，项目编号：14JJD790026；国家社会科学基金重点项目“基于金融分权视角的地方金融控股集团研究”，项目编号：17AJY029。

Interest Rate Liberalization, Bank Micro Characteristics and Risk-taking FENG Chuan-qi，HONG Zheng

FENG Chuan-qi，HONG Zheng   

  1. (Institute of Chinese Financial Researches，Southwestern University of Finance and Economics, Chengdu 611130,China)
  • Received:2017-09-04 Online:2018-01-25

摘要： 国外经验表明，利率市场化过程常伴随着银行业危机的发生。随着我国利率市场化改革的不断深入，银行如何有效控制自身风险水平已成为理论研究关注的问题。本文利用2004-2015年我国130家商业银行的微观数据，采用GMM动态面板估计的方法实证检验中国利率市场化改革、银行微观特征与风险承担之间的关系。结果显示：利率市场化与银行风险承担呈现出U型关系；国有银行风险承担水平较低，利率市场化会加剧股份制银行的风险承担；资本充足率越高、存贷比越低的银行，其风险承担水平越低。但随着利率市场化的深入，高资本充足率、低存贷比对于降低银行风险承担的作用会减弱；在地方性银行样本中，没有选择跨区经营的银行，其风险承担水平较低。但是随着利率市场化的深入，地方性银行跨区经营对于增加银行风险的作用会减弱。上述研究结果表明监管机构需警惕利率市场化带来的银行业风险加剧，根据银行不同微观特征构建更为有效的监管指标体系。

关键词: 利率市场化, 资本充足率, 存贷比, 跨区经营, 银行风险承担

Abstract: Foreign experience shows that interest rate liberalization is often accompanied by banking crisis. With the deepening interest rate liberalization in our country, how to effectively control the risk level of banks has become a common concern of theoretical research. Based on 2004-2015 micro data of 130 commercial banks in China, this paper empirically tests the relationship among China′s interest rate liberalization, bank micro characteristics and risk-taking by using the method of dynamic panel estimation of GMM. The results show that interest rate liberalization has a U-shaped relationship with banks′ risk-taking; the risk-taking level of state-owned banks is low, and interest rate liberalization will increase the risk-taking of joint-stock banks;the higher the capital adequacy ratio and the lower the loan-to-deposit ratio, the lower the risk-taking level. But with the deepening of interest rate liberalization, the effect of high capital adequacy ratio and low deposit-to-loan ratio on banks′ risk-taking reduction will be weakened;in the sample of local banks, banks that do not choose to operate across the region have lower risk-taking. However, with the deepening of interest rate liberalization, the cross-regional operation of local banks will weaken the role of increasing banks′ risk-taking. The above research results show that regulators need to be aware of the aggravation of the banking risks caused by interest rate liberalization, and build a more effective regulatory index system based on the different micro characteristics of banks.

Key words: interest rate liberalization, capital adequacy ratio;loan-to-deposit ratio, cross-regional operation, banks′ risk-taking