商业银行同业资产特性与风险承担行为——基于中国银行业动态面板系统GMM的实证分析  

Inter-bank Asset's Characteristics and Risk Taking Behaviors of Commercial Banks——Empirical Research of System-GMM based on Dynamic Panel Data of Chinese Banking

作　　者：周再清[1] 甘易 胡月[1] 

机构地区：[1]湖南大学金融与统计学院

出　　处：《国际金融研究》2017年第7期66-75,共10页Studies of International Finance

基　　金：湖南社会科学基金项目(项目编号:16YBA077);湖南大学资政研究专项项目(项目编号:531107050852)资助

摘　　要：本文基于2008-2015年中国42家上市和非上市商业银行的非平衡面板数据,采用系统GMM两步法实证分析了商业银行同业资产规模及结构特性对风险承担行为的影响。研究结果表明,商业银行同业资产业务扩张对银行风险承担存在正向效应,即同业资产扩张提高了银行的风险承担。在同业资产业务结构中,传统同业资产业务(存放同业与拆出资金)扩张对银行风险承担存在负向效应,新兴同业资产业务(买入返售金融资产)扩张对银行风险承担存在正向效应,正向效应大于负向效应,因而总效应为正。具有不同财务特征的商业银行在同业资产业务对风险承担的影响上存在明显的异质性。资产规模较大和经营效率较低的银行,同业资产业务经营行为较为稳健,风险承担水平上升较慢,而流动性较高的银行,同业资产业务经营行为较为激进,风险承担水平上升较快。Based on the unbalanced panel data of 42 commercial banks in China from 2008 to 2015, this paper empiri- cally analyzes the influence of the commercial banks＂ inter-bank asset size and structure characteristics on the risk taking behavior by using the System GMM two-step method. The research results show as follows. Firstly, the inter-bank asset of Chinese commercial banks has a positive effect on banks＇ risk taking behaviors, that is, the expansion of inter-bank asset significantly increases the risk of banks. Secondly, traditional inter-bank asset business （Deposits in other banks and Funds lent） scale has a negative influence on banks＇ risk-taking behaviors while new inter-bank asset business （Buying back the sale of financial assets） scale has a positive influence on banks＇ risk-taking behaviors. Moreover, the positive effect is greater than the negative effect, so the total effect is positive. Finally, the impact of inter-bank asset on risk taking differs in commercial banks＇ different financial characteristics. Commercial banks with larger asset size and lower operating efficiency usually operate inter-bank assets business more steadily than those with higher liquidity, and that＇s why the former＇s level of risk taking behaviors rises more slowly.

关 键 词：同业资产 风险承担 系统GMM 

分 类 号：F832.33[经济管理—金融学]