贷款承诺、治理特征与银行风险  

Loan Commitment,Governance Mechanism and Bank Risk

作　　者：王倩[1] 张翠燕[1] 

机构地区：[1]山东财经大学金融学院

出　　处：《山东大学学报（哲学社会科学版）》2016年第5期14-23,共10页Journal of Shandong University(Philosophy and Social Sciences)

基　　金：国家社会科学基金重大招标项目"系统性金融风险防范与监管协调机制研究"(12&ZD069);国家自然科学基金项目"治理风险导向的商业银行公司治理研究"(71272119);泰山学者专项工程

摘　　要：运用我国59家商业银行披露的贷款承诺和活期存款数据,通过构建流动性承诺指数,考察了贷款承诺对银行风险的影响。结果表明:流动性承诺指数增加了银行的风险,使银行的整体风险上升。在此基础上,进一步考察了银行治理对风险的影响。在加入治理变量后,结果显示,治理因素和流动性承诺指数都与银行风险敏感性负相关。与以往研究不同的是,我们构建了流动性承诺指数将表外资产与表内负债结合起来综合测量银行流动性,同时考察了治理变量,丰富了关于表内外流动性对银行风险影响的研究。We study the impact of the loan commitments on banks＇ risk by using the loan commitments and demand deposits data from Chinese 59 commercial Banks to build the promised liquidity index. The result shows that the promised liquidity index increases the risk of banks. We also examine the effect of bank governance factors on the bank＇s risk. After joining governance variables, the result shows that governance factors and promised liquidity index is negatively related to the bank＇s risk sensitivity. Unlike previous studies, we build promised liquidity index which combined off-balance sheet assets and liabilities in the table to measure Banks＇ liquidity comprehensively. In the meantime, we investigate governance variables to enrich the literature on the influence of on-and-off banks＇ balances sheets liquidity to the bank＇s risk.

关 键 词：活期存款 流动性承诺指数 银行治理 银行风险 

分 类 号：F832.4[经济管理—金融学] F271