利率市场化、价格竞争与商业银行风险承担——基于16家上市商业银行面板数据的动态GMM检验  

Interest Rate Marketization, Price Competition and Commercial Bank Risk Bearing:Dynamic GMM Test Based on 16 Listed Commercial Banks’ Panel Data

作　　者：张伟[1] 李灵慧 ZHANG Wei;LI Linghui(School of Economics,Beijing Technology and Business University,Beijing 100048,China;Graduate School of Chinese Academy of Social Sciences,Beijing 102488,China)

机构地区：[1]北京工商大学经济学院,北京100048 [2]中国社会科学院研究生院,北京102488

出　　处：《山东财经大学学报》2019年第4期50-60,共11页Journal of Shandong University of Finance and Economics

基　　金：国家社会科学基金项目“中国跨境投资企业的外汇风险敞口测度、对冲动因与效果评价研究”(15BGL020)

摘　　要：基于2007—2016年16家上市商业银行的面板数据,针对收入波动性、破产风险、信用风险、经营风险和资本化水平五个指标,采用系统GMM估计法检验存贷利差收窄和价格竞争对银行风险承担的影响。研究结果表明,利差收窄降低了银行收入波动性和破产风险,并促使银行提高拨备覆盖率,提升了信用风险抵御能力,但加大了经营风险,降低了资本化水平。利率市场化引起的价格竞争加剧了银行收入波动性和信用风险,降低了资本化水平,但同时也降低了经营风险。GDP增长率与银行破产风险和资本化水平显著正相关,与银行经营风险显著负相关,M2增长率与收入波动性、破产风险和信用风险显著正相关,与银行经营风险和资本化水平显著负相关。Based on the panel data from 16 listed commercial banks from 2007 to 2016 and aimed at the five indicators, i.e., income volatility, bankruptcy risk, credit risk, operational risk and capitalization level, this paper tests the impact of narrowing deposit-loan spreads and price competition on bank risk bearing by adopting a systematic GMM estimation method. The results show that the narrowing of interest margin reduces bank income volatility and bankruptcy risk, and promotes the banks to increase their reserve coverage and enhance their ability to resist credit risk while increasing the operational risk and reducing the level of capitalization. The price competition caused by interest rate marketization intensifies bank income fluctuation and credit risk, and reduces the level of capitalization while reducing the operational risk. In the economic boom period and the loose monetary policy environment, the risk of bank operation becomes smaller while the risk of income fluctuation and bankruptcy becomes larger. In the economic boom period, the credit risk of banks gets smaller and the level of capitalization gets higher, but the opposite is true in the loose monetary policy environment.

关 键 词：利率市场化 价格竞争 风险承担 商业银行 

分 类 号：F830.2[经济管理—金融学]