商业银行“三性”对其风险承担能力的影响——基于16家上市银行非平衡面板数据的实证检验  

Research on The Impact of “Three Characters” on Risk-taking Ability of Commercial Banks——Based on the Unbalanced Panel Data Analysis of 16 Listed Commercial Banks

作　　者：宋光辉[1] 钱崇秀 许林[2] 

机构地区：[1]华南理工大学工商管理学院,广东广州510640 [2]华南理工大学经济与贸易学院,广东广州510006

出　　处：《经济管理》2016年第9期135-148,共14页Business and Management Journal ( BMJ )

基　　金：广东省软科学研究计划项目"广东省科技型中小企业融资困境;融资模式创新与政策支持"(2014A070703005);广东省软科学研究计划项目"广东省科技型中小企业信贷风险及其补偿机制研究"(2016A070705005);中央高校基本科研业务费"分形市场下股价异常波动;惯性风险及监控研究"(2015KXKYJ01)

摘　　要：在我国经济增速下滑、利率市场化与民营银行等金融改革推行的宏观环境下,商业银行风险承担能力及其影响因素是值得研究的重要课题。本文采用Z-score破产风险模型刻画我国16家上市商业银行的风险承担能力,选择五项安全性指标、两项流动性指标、六项盈利性指标,考察商业银行"三性"对其风险承担能力的影响。通过构建60组非平衡面板数据回归模型进行实证检验,结果显示,我国16家上市商业银行的风险承担能力普遍较强,这与我国商业银行的国有资本控股或参股背景有很大关系,但不同商业银行承受风险的能力存在较大差别。总体来说,国有商业银行的风险承担能力最强,股份制商业银行次之,城市商业银行的风险承担能力最弱。另外,资本充足率、营业收入净利率、营业利润率等指标越高,商业银行风险承担能力越强;流动性比率、拨贷比、财务杠杆率越高,商业银行风险承担能力越弱。最后,本文根据研究结论针对性地提出了政策建议。Under the macro-environment of economic downturn and various financial reforms like Interest rate marketization, the risk taking ability of Commercial banks and its influencing factors are important issues worth stud- ying. Known as ＂Three Characters＂, safety, liquidity and profitability are three key principles in bank operation management. Safety has been concerned as the most basic and important task in bank. Liquidity has shown great im- portance in bank risk management,which was learned from the 2008 financial crisis. Meanwhile, bank is born with the natural target of pursuing profit, namely, profitability. Undoubtedly, bank＇ s ＂Three Characters＂ will influence its risk taking ability. The current literature is mainly focused on the relationship between bank safety, liquidity and profitability, which can be described as synthetic, reversal, or a phased manner. Research on the relationship be- tween ＂three characters＂ and bank risk taking ability has been Scarce. Based on the panel data of 16 listed banks over the year of 2003 to 2015 ,the risk taking ability was depicted with Z-score model in this paper. Five security indexes, two liquidity indexes, and six profitability indexes were cho- sen to build 60 groups of unbalanced panel regression models, which have 152 observed values in total. 60 panel da- ta regressive analysis were conducted, through which the influence of ＂Three Characters＂ has on risk taking ability were inspected. The empirical results showed that the risk taking ability of 16 listed banks were generally high, which is related to the state-owned background of the banks, while there exited huge difference among different banks. Part of the commercial banks （such as Shanghai pudong development bank, Industrial bank, bank of China, etc. ） showed stronger risk taking ability, while some not （like Ping An bank）. The risk taking ability difference between banks came from their different risk resistance ability, which is related to various financial service and product

关 键 词：风险承担能力 “三性”原则 商业银行 Z.score模型 

分 类 号：F831[经济管理—金融学]