竞争是否缓解了商业银行风险承担?——基于利率市场化视角下的GMM检验  

Does Competition Mitigate the Risk-taking of Commercial Banks?——GMM Test Based on Interest Rate Marketization

作　　者：张春海[1] ZHANG Chunhai(The People's Bank of China,Qingdao Central Branch)

机构地区：[1]中国人民银行青岛市中心支行

出　　处：《当代金融研究》2019年第6期84-94,共11页Journal of Contemporary Financial Research

基　　金：中国人民银行2018年重点研究课题

摘　　要：本文选取2005-2018年34家沪深上市银行的年度面板数据,通过GMM面板回归和DID双重差分模型实证分析了利率市场化视角下价格竞争和市场竞争对银行风险承担水平的影响。实证分析结果显示,利率市场化下的利差收窄提升了商业银行风险抵御能力,破产风险和概率有所下降;价格竞争和市场竞争使得商业银行"以量补价"的信贷投放冲动较强,加剧了信用风险;在利率市场化进程下,商业银行面临的价格竞争和市场竞争使得自身风险承担水平受到了更大冲击。This paper selects the annual panel data of 34 listed banks from 2005 to 2018,and empirically analyzes the impact of price competition and market competition on the risk-taking level of banks from the perspective of interest rate marketization through GMM panel regression and DID double difference model.The results of empirical analysis show that the narrowing of interest margin improves the risk resistance ability of commercial banks,and the risk and probability of bankruptcy decrease;the price competition and market competition make the impulse of credit supply of commercial banks,which aggravates the credit risk;in the process of interest rate marketization,the price competition and market competition faced by commercial banks make their level of risk bearing further impacted.

关 键 词：利率市场化 价格竞争 市场竞争 风险承担 

分 类 号：F830.33[经济管理—金融学]