债权激励降低了银行系统性风险吗?  

Do Debt-based Incentives Lower Bank Systemic Risks?

作　　者：黄秀路[1] 葛鹏飞[2,3] 

机构地区：[1]西安交通大学金禾经济研究中心,陕西西安710049 [2]西北大学中国西部经济发展研究中心,陕西西安710127 [3]西北大学经济管理学院,陕西西安710127

出　　处：《财经研究》2018年第1期47-60,共14页Journal of Finance and Economics

基　　金：教育部人文社会科学重点研究基地重大项目(16JJD790048);西北大学研究生自主创新项目(YZZ17010)

摘　　要：2008年国际金融危机后,中国银监会把债权激励作为银行业薪酬制度改革的重要方向。理论上讲,债权激励存在防范风险、稳定金融的作用;而现实中,债权激励是否降低了银行系统性风险,其影响机制如何?文章利用Co Va R方法,测度了中国上市银行的系统性风险,构建非观测效应面板模型分析了债权激励影响银行系统性风险的直接与间接效应。研究发现:(1)债权激励能够显著降低银行系统性风险,存在直接影响效应。(2)债权激励对银行系统性风险的间接影响效应有两种渠道:其一,通过缓解期限错配,弱化银行间借贷关联,抑制银行系统性风险;其二,提高非利息收入(尤其是手续费及佣金收入)占比,强化银行的收入稳定性,达到降低银行系统性风险的目的。而衍生金融工具对银行系统性风险的影响存在不确定性,原因在于监管部门和银行业对衍生金融工具的使用过于谨慎。文章的结论对于中国银行业薪酬激励方案改革、优化审慎监管方向、防范银行系统性风险具有重要的政策意义。The outbreak of the 2008 international financial crisis underlines banking system instability, and the improper CEO compensation incentive plans are generally regarded as a deep cause. Hence, US, UK, EU etc, all issued schemes to reform bank CEO compensation, among which the debt-based incentives, such as deferred compensation and bonus recovery, are the important measure. In February of 2010, China Banking Regulatory Commission （CBRC） also released ＂Guidelines for Robust Compensation Supervision of Com- mercial Banks＂, clearly requiring commercial banks to enact the alike debt-based incentives. This practice has linked risk costs and risk deduction directly with CEO compensation, and as a result, compensation mechan- ism can fully play the constraint role in risk prevention. Existing literature on effects of debt-based incentives centers around the risk taking at individual banking level, and proves that debt-based incentives are helpful to the achievement of benefit consistency between CEOs and creditors, and the alleviation of benefit conflicts between stake-holders and creditors, thus decreas- ing banks＇ downside risk, from perspectives of hedging decisions, payment policies, earnings management, credit allocation and so on. However, a key limitation lies in that these studies do not further explore the im- pact of CEO debt-based incentives on bank systemic risks. Then, whether or not debt-based incentives canlower bank systemic risks is still not known, and moreover, if so, what on earth are the influencing channels？ Answers to those problems are of great practical significance to the implementation of compensation reform scheme and the forestalling of systemic risks. By collecting a sample data of Chinese listed banks from 2008 to 2015, this paper firstly applies CoVaR approach to measure each bank＇s systemic risks, then builds up the unobserved effects panel model to analyze the direct effect of debt-based incentives on bank systemic risks, and finally constructs a pair of channel-effect sy

关 键 词：银行系统性风险 高管债权激励 期限错配 非利息收入 衍生金融工具 

分 类 号：F832.33[经济管理—金融学]