利率市场化导致商业银行利差缩窄吗?——来自中国银行业的经验证据  

Does Interest Rate Liberalization Narrow Interest Margins of Commercial Bank? Empirical Evidence Based on Chinese Banking Industry

作　　者：彭建刚[1] 王舒军[1] 关天宇[1] 

机构地区：[1]湖南大学金融与统计学院/金融管理研究中心,湖南长沙410079

出　　处：《金融研究》2016年第7期48-63,共16页Journal of Financial Research

基　　金：国家自然科学基金项目"我国银行业宏观审慎管理与微观审慎管理协调创新研究"(71373071)的阶段性成果

摘　　要：本文立足中国利率市场化的现实背景,对H-S(做市商模型)利差决定模型进行调整,构建利率市场化指数作为衡量利率市场化程度的代理变量,并利用45家商业银行2003-2014年的面板数据探讨利率市场化对商业银行利差的影响。实证结果表明,利率市场化对商业银行的利差产生了影响,但利率市场化与利差之间的关系并非线性,而是呈倒U型关系。整体而言,随着利率市场化程度的加深,商业银行的利差呈现先扩大后缩小的变化趋势。The paper readjusts the H - S interest margins decision model based on the special background of interest rate liberalization in China. Constructing the interest rate liberalization index as a proxy variable to measure the process of interest rate, the article carries out empirical analysis by using panel data of 45 commercial banks from 2003 to 2014 to discuss the influence of interest rate liberalization on the interest margins of commercial banks. The result shows that the interest rate liberalization does have an impact on interest margins of commercial banks, but the relationship between them is nonlinear. It presents an inverted U -shaped relationship. Generally speaking, with the deepening of interest rate liberalization, the interest margins of commercial banks increase at first and then decrease.

关 键 词：利率市场化 商业银行 利差 

分 类 号：F832.33[经济管理—金融学] F832.5