同业业务扩张提升了商业银行风险承担吗?——基于资产与负债的双重视角  

Does the Expansion of Interbank Business Increase Commercial Bank Risk-taking?——Based on Double Perspectives of Assets and Liabilities

作　　者：顾海峰[1] 马聪 GU Haifeng;MA Cong(Clorious Sum School of Business and Management of Donghua University,200051)

机构地区：[1]东华大学旭日工商管理学院,200051 [2]东华大学

出　　处：《制度经济学研究》2020年第2期123-150,共28页Research on Institutional Economics

基　　金：教育部人文社会科学项目“跨境资本流动对商业银行信贷风险的影响机理及政策研究”(20YJA790014)

摘　　要：本文分析了同业业务对银行风险承担的影响机理,在此基础上,选取2006~2017年中国100家商业银行年度数据,建立动态非平衡面板回归模型,对同业业务对银行风险承担的影响进行了实证分析。研究表明:一是传统与新兴同业资产业务扩张均会提升银行风险承担水平,相对于传统同业资产业务,新兴同业资产业务扩张对银行风险承担的提升力度更大。二是银行通过传统同业负债业务调剂资金缺口及改善流动性,有助于降低其风险承担水平,新兴同业负债业务扩张则会加大银行风险承担水平。三是传统同业资产业务扩张对国有控股银行风险承担的提升力度最大,股份制银行居中,城农商银行最小。新兴同业资产业务扩张对股份制银行风险承担的提升力度大于城农商银行,对国有控股银行影响不显著。四是传统同业负债业务扩张对股份制银行风险承担存在提升作用,对城农商银行风险承担则存在抑制作用,对国有控股银行影响不显著;新兴同业负债业务扩张对国有控股银行风险承担的提升力度最大,股份制银行居中,城农商银行最小。该成果将为中国银行业构建科学高效的同业风险监测机制,以此来防控中国系统性金融风险,提供重要的理论指导与决策参考。This paper analyzes mechanism of interbank business and risk-taking.We select the annual data of 100 China banks in 2006-2017 and establish a dynamic non-balanced panel regression model to analyze the impact of interbank business on bank risk-taking.The result shows that:(1)The expansion of interbank assets and interbank liabilities will significantly increase the bank’s risk-taking level,and the emerging interbank assets business will have a greater impact on bank’s risk-taking than traditional interbank assets business.(2)Banks mainly use the traditional interbank debt business to adjust the capital gap and improve liquidity,thus helping to reduce their risk-taking level,but the expansion of the emerging interbank debt business will increase the bank risk bearing level.(3)The impact of interbank business on bank risk exposure is heterogeneous.The total scale of traditional interbank assets have a greater impact on the risk-taking of state-owned banks,and the impact of emerging interbank assets on the risk-taking of joint-stock banks is greater than that of urban-funded banks,while has no significant impact on state-owned banks.(4)The expansion of traditional interbank liability business will increase the risk-taking level of joint-stock banks,and reduce the risk-taking level of urban-funded banks,which is not significant for state-owned banks.The emerging interbank debt business has a greater boost to the risk-taking of state-controlled banks than joint-stock banks and urban-funded banks.

关 键 词：同业业务 同业资产 同业负债 银行风险承担 动态GMM模型 

分 类 号：F830.9[经济管理—金融学]