利率市场化进程中银行业竞争与风险的动态相关性研究  

Study of the Relationship between Industry Competition and Bank Risk-taking Considering the Interest Rate Marketization

作　　者：黄晓薇[1] 郭敏[1] 李莹华[1] 

机构地区：[1]对外经济贸易大学

出　　处：《数量经济技术经济研究》2016年第1期75-91,共17页Journal of Quantitative & Technological Economics

基　　金：北京市社会科学基金青年项目(15JGC143);北京市社会科学基金研究基地重点项目(14JDJGA020);对外经济贸易大学的校级特色项目(TS3-03);中央高校基本科研业务费专项资金(CXTD4-03);中国企业"走出去"协同创新中心科研项目(201502YY003A)的资助

摘　　要：本文在我国利率市场化逐步深化的背景下系统地考察了银行业竞争与风险之间的动态关系,通过构建连续的利率市场化指数,并运用门槛面板模型实证研究发现,行业竞争与银行风险承担的相关性状态依赖于利率市场化水平,即当利率市场化程度低于临界值时,行业竞争与银行风险承担水平负相关,"风险转移效应"显著大于"特许权价值效应";当利率市场化程度超过临界值时,银行风险承担的"风险转移效应"显著被削弱,这种现象非国有商业银行比国有商业银行表现得更为突出。因此,伴随利率市场化改革逐步深化,为了有效抑制银行风险承担的动机,监管当局应适度把握行业竞争水平并且引导规范有效的竞争模式。In this paper, the dynamic relationship between competition and bank＇s risk- taking is systematically investigated in the context of the interest rate liberalization in Chi- na. By building interest rate marketization index and the model of a threshold panel, we find that the level of the interest rate marketization could be the critical factor influencing the re- lationship between banking competition and risk taking behavior. With low level of interest rate marketization, the increase in banking competition can reduce bank＇s risk-taking. When the level of interest rate marketization exceeds the critical value, there is slight possibility to reduce risk -taking through promoting competition, which is more significant for non-state owned commercial banks relative to state-owned ones. The policy implication of the article lies in that. regulatory authorities should try to control the banking competition to make it in a moderate level and help to realize standardized and effective competition so as to effectively curb bank risk-taking motives with the advancement of interest rate marketization.

关 键 词：利率市场化 行业竞争 银行风险承担 状态依赖 

分 类 号：F832[经济管理—金融学]