金融创新提升了银行脆弱性吗？--基于中美两国的比较分析  

Does Financial Innovation Aggravate Bank Fragility? Based on the Empirical Study between Chinese and American Banking Industry

作　　者：李梦花[1] 聂思玥[2] 

机构地区：[1]南开大学 [2]山西大学经济与管理学院

出　　处：《中央财经大学学报》2015年第8期27-36,共10页Journal of Central University of Finance & Economics

基　　金：国家社会科学基金重大项目“我国发展实体经济战略、政策和制度研究--基于实体经济与虚拟经济数量关系的视角”(13&ZD018);中央高校基本科研专项“基于广义流动性视角的中国通货膨胀问题研究”(NKZXB1430);中航广义虚拟经济研究专项

摘　　要：笔者从金融创新不同发展阶段的视角,采用面板VAR模型实证比较分析了我国和美国的银行脆弱性水平、金融创新、资产规模三者之间相互影响及动态关系。结果表明,我国和美国金融创新对银行脆弱性的影响均显著,但在我国是正向关系,而在美国为负向关系,表明我国2005年以来的金融创新有助于改善银行体系脆弱性水平,但美国过度的金融创新推高了银行的脆弱性水平,因此,金融创新与银行脆弱性之间已经不是简单的二元论断,而是动态变化的。方差分解表明,金融创新和资产规模的冲击对银行脆弱性水平的贡献度,我国要高于美国市场;因果关系检验表明,银行脆弱性水平与金融创新均互为因果关系,资产规模也是影响银行脆弱性水平的重要原因,但反之不成立。这启示我们:调控银行脆弱性水平时,需要区分金融创新是处于促进还是抑制银行脆弱性的发展阶段,同时,应考虑金融机构的资产规模。This article comparatively analyzes the dynamic relations among bank fragility level, financial innovation and assets of our country and the United States （US）, from the perspective of different developmental financial innovation stages, using the empirical panel VAR model. Results show that both our country and the US financial innovation have significant effects on the fragility of Banks, the correcation is positive in our country while negative in the united states, which suggests that financial innovation in China helps to improve the level of the banking system fragility since 2005, while the excessive financial innovation pushed up the bank fragility level in the US. Therefore, the financial innovation and bank fragility is not simple binary argument, but a dynamic change. Variance decomposition shows that the level of impact of financial innovation and the assets on Banks＇ fragility contribution of our country is higher than the United States market ; Causality test shows that the bank fragility and financial innovation have a bilateral causal relationship, and asset size is also a main reason that affect the level of bank fragility, but not vice versa. This enlightens us ： we need to distinguish financial innovation development stage while regulating the bank fragility level, at the same time, we should consider the asset size of financial institutions.

关 键 词：银行脆弱性 金融创新 资产规模 面板VAR 

分 类 号：F830.3[经济管理—金融学]