存贷款市场竞争对银行风险承担的影响有差异吗?——基于中国利率市场化改革的讨论  

Does Loan and Deposit Market Competition Affect the Banks' Risk-taking Differently?——Based on China's Interest Rate Liberalization

作　　者：江曙霞[1] 刘忠璐[1] 

机构地区：[1]厦门大学经济学院,福建厦门361005

出　　处：《经济管理》2016年第6期1-15,共15页Business and Management Journal ( BMJ )

基　　金：国家自然科学基金项目"动态视角下的中国外汇储备全面风险管理"(71473208);教育部哲学社会科学重大课题攻关项目"我国外汇储备的科学管理及战略问题研究"(12JZD027)

摘　　要：中国利率市场化改革是从贷款利率到存款利率放开的渐进过程,该项改革也导致了银行业存贷款市场的竞争程度差异化明显。本文分别构建存款和贷款两个市场的勒纳指数,采用中国2002—2014年76家商业银行的非平衡面板数据,实证检验了存贷款市场竞争对银行风险承担行为的差异化影响。研究结果显示:(1)相较于存款市场竞争,贷款市场竞争对银行冒险行为激励作用的力度更大;(2)大型商业银行、股份制商业银行和城市商业银行贷款市场竞争越激烈,其风险承担越大;存款市场势力对股份制商业银行风险行为的约束作用比对其他类型银行更为有效;(3)与改革前比较,存贷款利率市场化改革降低了银行风险承担对存贷款市场竞争程度的敏感性,特别是贷款市场竞争。Does loan and deposit market competition affect the banks＇ risk-taking differently？ This problem is the focus of research and debate among scholars,policymakers and regulatory authorities,especially after the global financial crisis in 2008.While there is no common knowledge about this issue for the difference between economic system and regulatory practices.Interest rate liberalization reform in China is a progressive process stepping from loan interest rate to deposit interest rate.The People＇s Bank of China will no longer set interest rates on deposits floating ceiling for the commercial banks and rural cooperative financial institutions,which marks China＇s interest rate liberalization has basically completed.Owing to the characteristics of China＇s interest rate liberalization stepping from loan interest rate to deposit interest rate,loan and deposit market competition have different effects（Boyd De Nicolo＇,2005）,thus it is necessary to distinguish the difference between deposit and loan market competition.This paper separately build up Lerner index of deposit market and loan market,and find that interest rate liberalization leads to significant difference of competition among both deposit and loan market.As the development of interest rate liberalization,the mean of marginal costs of commercial banks＇ loans increases year by year,of which the large-sized banks increase the most.While the mean of marginal costs of commercial banks＇ deposits comes on the opposite side,of which the large-sized banks decrease the least.Besides,affected by both interest rate liberalization reform and financial crisis,the power of loans market face with the fluctuant decrease,while it increases with fluctuation in deposits market,of which large-sized and rural commercial banks both increase and decrease the most.This paper further empirically test the different effect of competition of deposit and loan market on banks＇ risktaking behavior based on unbalanced data of 76 commercial banks from 2002 to 2014.The re

关 键 词：利率市场化 存贷款市场竞争 银行风险承担 

分 类 号：C812[社会学—统计学]