净稳定资金比率监管会影响商业银行的风险承担和绩效吗——基于中国银行业的经验证据  

Does Net Stable Funding Ratio Monitoring Affect Performance and Risk-taking of Commercial Banks?

作　　者：潘敏[1,2] 汪怡[2] 陶宇鸥 PAN Min WANG Yi TAO YuOu(Wuhan University, Wuhan 43007)

机构地区：[1]武汉大学经济发展研究中心,湖北武汉430072 [2]武汉大学经济与管理学院,湖北武汉430072

出　　处：《财贸研究》2016年第6期19-28,共10页Finance and Trade Research

基　　金：国家社科基金重点项目"完善国有控股商业银行公司治理机制研究"(10AZD019)的资助

摘　　要：基于巴塞尔协议III流动性监管框架最终修订稿中银行净稳定资金比率(NSFR)的测算方法,以2003—2014年中国78家银行的非平衡面板数据为研究样本,运用动态面板模型,实证检验实施NSFR监管要求对中国商业银行风险承担和绩效的可能影响,以及这种影响在跨区域经营商业银行和区域性经营商业银行之间是否存在差异。研究表明:整体上,以巴塞尔协议最终稿为标准测算的中国商业银行NSFR与银行风险承担水平呈显著负相关关系,与银行绩效呈倒U型关系。中国商业银行存在一个实现银行绩效最大化的NSFR水平,样本期间,商业银行的NSFR均值低于实现银行绩效最大的最优值。NSFR的实施对区域性商业银行风险和绩效的影响较为显著,而对跨区域经营商业银行的影响不显著。因而,从整体上看,虽然当前强化商业银行流动性风险监管有利于降低银行风险承担水平,改善银行绩效,但应区别不同类别商业银行采取差异性的流动性监管措施。Based on the final revised version of Net Stable Funding Ratio（ NSFR） issued by BCBS in October 2014,this paper firstly estimates NSFR by using an unbalanced panel data of China＇ s banking industry from 2003 to 2014,then analyzes how Net Stable Funding Ratio will influence bank performance and bank risk- taking,and whether differences between national commercial banks and regional commercial banks exist in those influences. Empirical results show that average commercial banks＇ NSFR in China has significant negative correlation relationship with risk- taking of banks and has an inverted U- shape relationship with bank performance. Commercial bank has a NSFR to maximize bank＇ s performance,and the average NSFR is low er than the optimal level of bank＇s performance. However,introducing NSFR has significant influences on regional commercial bank rather than on cross regional commercial banks. Therefore,enhancing liquidity risk regulation will contribute to discouraging bank risk- taking and stimulate bank performance,but different supervisory measures should be taken according to different types of commercial banks.

关 键 词：净稳定资金比率 风险承担 银行绩效 

分 类 号：F832.4[经济管理—金融学] F224