资产价格波动对商业银行风险的影响--基于银行收入结构视角的研究  

The Impacts of Asset Price Fluctuation on the Risks of Commercial Banks——A Study Based on the Perspective of Bank's Income Structure

作　　者：张庆君[1] 张荔[2] 

机构地区：[1]渤海大学,锦州121013 [2]辽宁大学经济学院

出　　处：《金融论坛》2011年第5期25-30,共6页Finance Forum

基　　金：辽宁省教育厅项目(2009JD37)的资助

摘　　要：本文以中国14家商业银行2000～2009年的数据为样本,在测度中国银行业体系风险性指数的基础上,考察资产价格波动对银行收入结构及银行体系风险的影响。研究结果表明:中国银行业纷纷通过上市融资的方式来改善自己的资本资产结构,收益和资产状况得到了较大改善,银行体系稳定性明显增强;资产价格波动与非利息收入结构有明显的正相关关系,而跟利息收入结构有显著的负相关关系,非利息收入更容易受到资产价格波动的影响;资产价格波动与银行体系风险指数之间存在显著的相关性关系,而且弹性系数明显高于资产价格与收入结构之间的弹性系数。This paper takes 14 Chinese commercial banks＇ data from 2000 to 2009 as samples and, on the basis of measuring the risk index of Chinese banking system, studies the impacts of asset price fluctuation on banks＇ income structure and the risks of banking system. The results show that： China＇ s banks have improved their structure of capitals and assets through financing in stock market, their income and assets have been greatly improved, and the stability of the banking system has been signifi- cantly enhanced; asset price fluctuation has a positive correlation with the structure of non-interest income and a significant negative correlation with the structure of interest income; non-interest income is more vulnerable to asset price fluctuation; asset price fluctuation has a significant correlation with the risk index of banking system, and the elasticity between asset price fluctuation and the risk index is slgnificantly higher than that between asset price and income structure.

关 键 词：资产价格波动 银行收入结构 银行体系风险 

分 类 号：F832.2[经济管理—金融学]