存款利率市场化会加剧城市商业银行风险吗——基于中国24家城市商业银行数据的动态GMM检验  

Will the Interest Rate Liberalization of Deposit Increase the Risk Level of Chinese City Commercial Banks?:A GMM Study Based on Data of 24 Chinese City Commercial Banks

作　　者：彭星[1] 李斌[1] 黄治国[1] 

机构地区：[1]湖南大学经济与贸易学院

出　　处：《财经科学》2014年第12期1-10,共10页Finance & Economics

基　　金：国家软科学重大项目"科技促进经济发展方式转变的评价方法和体系研究"(2011GXS1B001);教育部新世纪优秀人才支持计划项目(NCET-12-0174)

摘　　要：本文基于2008—2013年中国24家城市商业银行的相关数据,在将银行风险划分为收入波动性、破产风险、资本化水平及不良贷款风险四个方面的基础上,运用动态面板系统GMM估计法实证检验存款利率市场化及价格竞争对城市商业银行风险的影响。研究结果表明:存贷净利差逐步收窄可缓解城市商业银行收入的波动性,但其引发的价格竞争加剧会加大其波动性;存款利率市场化及其价格竞争效应会加大城市商业银行破产风险,不利于其资本化水平的提高,并会加大不良贷款风险。By using data of 24 Chinese city commercial banks from 2008 - 2013this paper adopts the GMM method to empirically study the effect of interest rate liberalization of deposit and price competition on the risk of city commercial banks by dividing the bank risk into the income volatilitythe bankruptcy riskthe capitalization level and the bad credit riskThe results indicate that the narrowed net interest margin can alleviate the income volatility of city commercial banksbut the income volatility will be enlarged by fierce banking competitionInterest rate liberalization of deposit and price competition will increases the bankruptcy and bad credit risk of city com- mercial banksand are not conducive to improve capitalization level.

关 键 词：存款利率市场化 价格竞争 银行风险 

分 类 号：F832.33[经济管理—金融学] F832.5