同业融资视角下的商业银行杠杆顺周期性  

Pro-cyclical Leverage of Commercial Banks from the Perspective of Interbank Funding

作　　者：王倩[1] 赵铮 WANG Qian;ZHAO Zheng(School of Economics,Jilin University;PBC School of Finance,Tsinghua University)

机构地区：[1]吉林大学经济学院,吉林长春130012 [2]清华大学五道口金融学院,北京100083

出　　处：《金融研究》2018年第10期89-105,共17页Journal of Financial Research

基　　金：教育部人文社会科学重点研究基地重大项目(16JJD790018)资助

摘　　要：本文基于2003-2017年中国上市商业银行的面板数据,采用GMM和固定效应模型从融资角度分析了中国商业银行杠杆的顺周期性。实证结果表明,中国商业银行总体上杠杆倍数与经济波动显著正相关,但国有商业银行杠杆相对稳定,股份制和城市商业银行杠杆较高且有显著顺周期性;宽松货币环境下,银行发展状况差且流动性强的银行倾向"加杠杆",且杠杆越高,顺周期性越强。同业融资会增强杠杆的顺周期性,且股份制和城商行的卖出回购有显著的顺周期性。本文研究表明,稳杠杆的重点是股份制和城市商业银行,重心是控制新兴同业业务的顺周期性,需采取结构性货币政策与结构性逆周期杠杆监管。Based on panel data from China mainland financial index over the year of 2003 to 2017, this paper analyzes the commercial bank pro - cyclical leverage and its formation mechanism using GMM and the fixed effects models. The empirical results show that the leverage of commercial banks in China is significantly positive to economic fluctuation, but the leverage of state - owned commercial banks is stable, while joint - stock commercial banks and city commercial banks have more pro - cyclical leverage. Under easing monetary policy, the poor developed bank with high liquidity has incentive to add leverage. The higher the leverage, the more pro -cyclical it is. The numerator effect is more significant for the pro - cyclicality of leverage, but deposit is not pro -cyclical. Interbank financing increases the pro - cyclicality of leverage. Joint - stock commercial banks and city banks have pro - cyclical new interbank business ( selling repurchase). The results indicate that it is the joint - stock commercial banks and city banks that should reduce the pro - cyclicality of leverage ; the focus is to control the repurchase deals; structural contra - cyclical leverage supervision and structural monetary policy should be applied.

关 键 词：金融杠杆 经济波动 商业银行 顺周期性 

分 类 号：G18[文化科学] G21