金融强监管对银行个体风险影响的实证研究  

An Empirical Study of the Impact of Financial Supervision on Bank Idiosyncratic Risk

作　　者：刘惠好[1] 焦文妞 LIU Huihao;JIAO Wenniu

机构地区：[1]中南财经政法大学金融学院

出　　处：《金融监管研究》2019年第10期39-52,共14页Financial Regulation Research

基　　金：国家社科基金项目“健全我国多层次资本市场转板制度研究（14BJY182）”的资助

摘　　要：本文基于我国168家商业银行2011-2018年的动态面板数据,首先运用系统广义矩估计(SYS-GMM)方法,研究了全面加强金融监管后,银行个体风险的变动情况;然后,通过双重差分(DID)模型,分析了金融强监管对不同类型银行个体风险影响的差异及差异产生的可能原因。研究结果表明,整体上看,金融强监管显著降低了银行的个体风险。此外,以大型商业银行作为参照后发现,强监管环境下,农村商业银行较股份制商业银行和城市商业银行,缩减同业业务规模更加积极,个体风险的下降程度也最大。2017年全面加强金融监管后,在降低银行个体风险、引导资金"脱虚向实"方面效果明显。本文认为,监管政策的制定要注重协调性与渐近性,综合考量各类银行之间的现实差异,以进一步提升金融监管的针对性和有效性。This paper uses the system generalized method of moment estimation(SYS-GMM) to study the effect of intensive financial supervision on bank idiosyncratic risk using the dynamic panel data of 168 commercial banks in China over the period of 2011 to 2018. We further use the Differences-in-Differences(DID) model to explore the differential impacts of intensive financial supervision on the idiosyncratic risk of different sorts of banks. The results show that intensive financial supervision significantly reduces the idiosyncratic risk of banks. There are differences in the impacts of intensive financial supervision on individual bank risk in different sorts of banks. The influence of intensive financial supervision on the individual risks of rural commercial banks is greater than that of large commercial banks, joint-equity commercial banks and city commercial banks. One of the reasons is that rural commercial banks are more aggressive in reducing the scale of their interbank business. Since China began to comprehensively strengthen financial supervision in 2017, it has achieved notable effect in reducing bank idiosyncratic risk and guiding the capital reallocation process from the virtual economy to the real economy. This paper thus suggests that the formulation of regulatory policies should focus on coordination and asymptotic property, and comprehensively consider the actual differences between various types of banks to enhance the pertinence and effectiveness of financial supervision.

关 键 词：金融强监管 银行个体风险 银行异质性 同业业务 

分 类 号：F832[经济管理—金融学]