金融监管视角下银行稳健性与流动性资产配置  

Bank Soundness and Liquid Asset Allocation from the Perspective of Financial Regulation

作　　者：王辉[1] 朱家雲 WANG Hui;ZHU Jiayun(School of Finance,Central University of Finance and Economics)

机构地区：[1]中央财经大学金融学院,102206

出　　处：《经济研究》2022年第12期104-123,共20页Economic Research Journal

基　　金：教育部哲学社会科学研究重大课题攻关项目(22JZD011);国家自然科学基金面上项目(71771224,72273165);国家社会科学基金重大项目(20&ZD101)的资助

摘　　要：本文在机构资产配置决策中引入银行稳健程度并构建一般性理论框架,研究资产抛售外部性存在时,稳健银行与脆弱银行的最佳流动资产配置,综合讨论地区脆弱性与金融监管对银行资产配置决策的影响,并基于2007—2019年我国312家商业银行的非平衡面板数据进行实证检验。理论研究表明:(1)分散经济下,银行稳健性对机构流动性资产配置影响并不明确,同质化均衡、常规均衡和逆向选择均衡均有可能发生;(2)中央计划者情形下,逆向选择均衡消失,金融监管将增加银行流动性资产配置,且正向调节机构脆弱性对流动性资产配置的影响;(3)两种情况下,以脆弱银行占比度量的地区脆弱性均对机构流动性资产配置有负向影响。实证结果表明:(1)我国银行稳健程度对现金资产及流动性资产储备存在U型关系,该现象在城商行和农商行表现更明显,银行脆弱性还会削弱其流动性创造能力;(2)地区脆弱性对银行现金占比具有显著负向效应;(3)提高罚没收入或增加金融监管支出等监管强化措施将弱化机构脆弱性对银行流动性资产配置的负面影响;(4)银行稳健性对系统性风险存在非线性影响,银行流动性资产配置增加将降低其隐含违约率及对系统性风险的贡献。While China's financial reform and development has made great achievements,its financial industry has been constantly tested by the impact of complex environments.Problems such as gradual exposure of commercial bank risks and concentration of regional risks need to be solved urgently.In the face of profound changes in the domestic and international economic and financial environment,strengthening the supervision and governance of fragile banking institutions and improving the local financial ecological environment are crucial to promoting high-quality economic and financial development.Therefore,we study the role of bank soundness in its liquidity reserve from the perspective of financial regulation,and analyze the comprehensive impact of regional financial soundness.We introduce banking institutions'soundness into the research framework of banks'asset allocation to study the optimal liquidity reserves of fragile banks and robust banks when the externality of asset fire-sale exists,and comprehensively discuss the impact of regional financial soundness and financial regulation on bank asset allocation decisions.The propositions and corollaries of the theoretical model are empirically tested with the unbalanced panel data of 312 commercial banks in China from 2007 to 2019.We provide empirical evidence on how bank soundness,regional financial soundness and financial regulation affect bank liquidity reserve decision-making behavior.We further discuss the influence of bank fragility and liquidity allocation decisions on the contribution of systemic financial risk,and the influence of bank soundness on bank liquidity reserve under different ownerships and different stages.The theoretical research shows that firstly,in decentralized economy,the impact direction of bank soundness on banking institutions'liquidity reserves is not clear.Homogenous equilibrium,conventional equilibrium and adverse selection equilibrium may occur.Secondly,under the central planning,there are only two kinds of equilibrium,namely,homogenization

关 键 词：抛售外部性 银行稳健性 金融监管 流动性资产配置管理 流动性风险 

分 类 号：F832.33[经济管理—金融学]