银行利率决定与内部资金转移定价--来自中国利率市场化改革的经验  

The Determinants of Bank Interest Rates and Funds Transfer Pricing:Evidence from Interest Rate Liberalization in China

作　　者：刘明康 黄嘉 陆军[1] 晓鸥 LIU Mingkang;HUANG Jia;LU Jun(Lingnan College,Sun Yat-Sen University)

机构地区：[1]中山大学岭南学院,510275 [2]不详

出　　处：《经济研究》2018年第6期4-20,共17页Economic Research Journal

基　　金：本文得到国家自然科学基金面上项目“存款利率市场化与中国宏观金融风险研究”(项目编号:71273287)的资助。

摘　　要：利率市场化改革的非同步性和经济体系中的摩擦因素,使得传统净利差分析难以准确地刻画改革进程中我国商业银行的利率决定行为。本文立足于继续深化利率市场化改革的现实背景,构建了一个内部资金转移定价框架下的银行利率决定模型,并基于1996—2015年中国商业银行的微观数据,研究利率市场化对银行利率决定的影响。研究发现:(1)存款利率和贷款利率是内生决定的。控制了期限结构之后,这种内生关系依然成立。(2)基准利率、市场溢价和政策溢价是影响利率决定的重要的外部因素,它们的期限结构效应具有非对称性。(3)利率市场化改革能够提升贷款利率在存款定价中的作用,提高外部因素影响的有效性,以及降低其期限结构的非对称性。基于银行异质性的分析,我们发现中国银行体系的二元结构与影子银行业务的特殊性降低了外部因素在银行利率决定中的作用,并在一定程度上降低了利率市场化改革的成效。基于此,本文就培育银行的自主定价能力、加强宏观审慎监管和继续深化利率市场化改革提出了建议。The current deregulation of interest rates in China need not be the end of interest rate liberalization.The fundamental goal of interest rate liberalization is to establish an effective market-based interest rate formation and regulation mechanism.One of the key issues the current financial reform is focused on is how to improve the ability of commercial banks to set their own prices.The literature considers bank interest rate pricing from the perspective of the net interest rate margin(e.g.,Ho&Saunders,1981).However,interest rate liberalization in China has its own characteristics.First,the reforms of the deposit and loan interest rates are unsynchronized.Second,frictions that reduce the efficiency of the market and policy interest rates will affect banks pricing,such as an imperfectly competitive interbank market and the shadow banking that results in money creation.Therefore,any analysis of banks pricing and the influence of the interest rate liberalization reform that adopts the perspective of the net interest rate margin may not fully reflect the status quo in China.Such an analysis would fail to properly reveal the asynchrony caused by the inconsistent paces of different interest rate reforms and ignore the asymmetric impacts of the reforms on the external factors affecting bank interest rate pricing.Using the Ho-Saunders model,we assume that a bank consists of four major branches(Alessandri&Nelson,2015)and develop a model of interest rate determination considering the characteristics of China s reforms.Deposit rates and lending rates are linked through internal funding prices under the funds transfer pricing(FTP)mechanism,and the pricing factors can be decomposed into market power,operating cost,risk premium,interest rate liberalization,market premium,policy premium and the benchmark interest rate.In contrast to Entrop et al.(2015),we find that the last three factors are important external factors and that the degree of interest rate liberalization plays a key role in banks pricing.We verify our theoretica

关 键 词：银行利率 内部资金转移定价 利率市场化 动态面板联立方程组 

分 类 号：F830.42[经济管理—金融学] F832.5