次级债对我国商业银行风险承担行为的影响研究  

Effects of Subordinated Debt on Commercial Bank Risk- taking Behavior

作　　者：冯玉梅[1] 宋水勇 王刚[1] 

机构地区：[1]山东财经大学金融学院,山东济南250014

出　　处：《山东财经大学学报》2015年第4期24-35,共12页Journal of Shandong University of Finance and Economics

基　　金：山东省自然科学基金项目"证券信息结构的市场效应研究"(ZR2012GM012);山东金融产业优化与区域发展管理协同创新中心项目"山东省上市公司投融资效率评价及提升研究";"山东省金融产业发展的风险测度"(14AWTJ01-17);山东省软科学一般项目"金融信贷结构对山东区域经济发展的影响研究"(2014RKB01802)

摘　　要：采用中国16家上市商业银行2004-2013年的截面数据,从次级债发行利差、发行规模、发行期限三个方面实证分析了次级债对我国商业银行风险承担行为的影响,并比较了次级债发行对国有银行与非国有银行风险承担行为的不同影响。结果表明,次级债发行利差对银行风险承担影响显著但符号与预期相反;次级债发行规模与银行风险承担行为正相关;次级债发行期限与银行风险承担行为负相关;发行次级债对非国有银行风险承担行为的影响更加显著,而对国有银行风险承担行为的影响不显著。By adopting cross - section data of 16 China listed banks from 2004 to 2013, this paper analyzes empirically the effects of subordinated debt on commercial bank risk -taking behaviors in terms of interest spread, issue scale and issue period of subordinated debt, and compares the different effects of issued subordinated debt on the risk - taking behaviors of state - owned banks and non state - owned ones. The results show that subordinated debt spread significantly affects the bank risk - taking behavior with a sign contrary to the expectations, the subordinated debt scale and bank risk - taking behavior are positively correlated while the subordinated debt period is negatively correlated with bank risk -taking behavior, and that subordinated debt issue has more significant effects on state -owned bank risk - taking behavior while its effects on non state -owned bank risk -taking behavior are not so significant.

关 键 词：商业银行 次级债利差 次级债规模 次级债期限 风险承担行为 

分 类 号：F742[经济管理—国际贸易]