利率市场化对中国商业银行利差的影响  

Effect of Interest Rate Liberalization on the Cost of Carry for Chinese Commercial Banks

作　　者：曹志鹏 安亚静 Cao Zhipeng;An Yajing(School of Economics and Management,Shaanxi University of Science and Technology, Xi'an,Shaanxi 710021,China)

机构地区：[1]陕西科技大学经济与管理学院,陕西西安710021

出　　处：《金融经济学研究》2018年第6期36-45,共10页Financial Economics Research

基　　金：国家社会科学基金项目(16XJY020)

摘　　要：选取2010～2016年中国51家不同类型商业银行的非平衡面板数据,运用做市商模型,通过欧拉数指数函数和模糊综合评价法构建利率市场化指标,实证研究了利率市场化对中国商业银行利差的影响。实证结果表明,随着利率市场化程度提高,中国商业银行利差呈现缩窄趋势;利率市场化对不同类型商业银行的影响存在差异性,其对股份制银行和城市商业银行利差影响显著,而对国有银行和农村商业银行利差影响不显著;交易规模、运营成本,中间收入占比对中国商业银行利差的影响也较为显著,这些因素对不同规模商业银行利差影响存在异质性。以利差来维持盈利水平的经营模式难以为继,商业银行务必要加大金融创新力度,调整业务结构,提高非利息比例,寻求新的盈利空间。This study has chosen unbalanced panel data from 51 Chinese commercial banks of different types from 2010-2016 as its sample,and uses the market maker model,Euler’s number exponential function,and the fuzzy comprehensive evaluation method to empirically study the effect of interest rate liberalization on the cost of carry for Chinese commercial banks.The empirical results show that as the degree of interest rate liberalization increases,the cost of carry for Chinese commercial banks exhibits a narrowing trend. Interest rate liberalization has varying effects on different types of commercial banks.It has a significant effect on the costs of carry for joint-stock banks and urban commercial banks,but does not significantly affect state-owned banks and rural commercial banks.The scale of transactions,operating costs,and proportion of intermediate income have relatively significant effects on the costs of carry for Chinese commercial banks;these factors affect the costs of carry of commercial banks of different sizes differently.The business model of maintaining profitability through the cost of carry is unsustainable;commercial banks must expand their financial innovation capability and adjust their business structures in order to increase their non-interest ratio and seek new profit margins.

关 键 词：商业银行 利率市场化 银行利差 做市商模型 

分 类 号：F832.33[经济管理—金融学]