商业银行资产负债结构变化的风险收益分析——基于50家城商行动态面板数据GMM方法  

Risk and Return Analysis of Changes in Asset Liability Structure of Banks——Based on 50 Chinese City Commercial Banks' Dynamic Panel GMM Method

作　　者：陈一洪 

机构地区：[1]泉州银行董事会办公室,泉州362000

出　　处：《北京社会科学》2017年第1期119-128,共10页Social Sciences of Beijing

摘　　要：基于2009-2015年中国50家城市商业银行的动态面板数据,运用GMM法研究资产及负债结构调整对城商行风险及盈利能力的影响。研究表明,资产负债结构变化显著影响城商行的风险及收益。一方面,受非存款负债稳定性较低、成本较高的影响,非存款负债融资占比的增加显著加大了样本城商行的破产风险、降低资产收益率水平;另一方面,由于同业及投融资类业务潜在的流动性风险、基础资产信用风险以及较低的资产收益率水平,增加非信贷资产占比同样会显著增加样本城商行的破产风险、降低其盈利能力;此外,城商行规模越大,越能够有效改善资产负债结构变化对其风险收益造成的不利影响。Based on panel data from 2009 to 2015,this paper uses the dynamic GMM regression method to research how the changes in asset liability structure impact bankruptcy risk and profitability of city commercial banks in China. The results show that： The higher the level of non deposit liabilities,the higher the bankruptcy risk and the lower the profitability,because of lower stability and higher cost of non deposit liabilities; the higher the level of non credit assets,the higher the bankruptcy risk and the lower the profitability,because of potential liquidity risk,credit risk of basic asset and lower ROA of interbank,investment and financing business; a bigger size of a city commercial bank can effectively reduce the adverse impact of asset liability changes on its risk and profitability.

关 键 词：非存款负债 非信贷资产 资产收益率 破产风险 城商行 

分 类 号：F832.2[经济管理—金融学]