存贷比与商业银行盈利能力的倒U型关系研究——引入不良贷款率的中介效应模型  

A study of the inverted U-shaped relationship between loan-to-deposit ratio and commercial bank profitability——The mediation effect model with non-performing loan ratio

作　　者：王晰 王雪标 白智奇 Wang Xi;Wang Xuebiao;Bai Zhiqi(School of Economics,Dongbei University of Finance and Economics,Dalian 116025,Liaoning,China;School of Mathematics,Dongbei University of Finance and Economics,Dalian 116025,Liaoning,China;Capital Market Institute,Shanghai Stock Exchange,Shanghai 200120,China)

机构地区：[1]东北财经大学经济学院,辽宁大连116025 [2]东北财经大学数学学院,辽宁大连116025 [3]上海证券交易所资本市场研究所,上海200120

出　　处：《科研管理》2020年第7期230-238,共9页Science Research Management

基　　金：国家自然科学基金面上项目:“我国通胀预期和风险溢价与宏观因子作用机制的计量研究”(71273044,2013.01-2016.12)。

摘　　要：本文以我国商业银行2007-2017年的季度数据为样本,构建存贷比监管政策变更的准自然实验,实证检验了存贷比与商业银行盈利能力的作用机理,并考察了不良贷款率对二者关系的影响。研究表明,存贷比与商业银行盈利能力呈"倒U型"关系,拐点出现在存贷比上限的取消后,存贷比政策的取消凸显了二者之间的非线性关系;而不良贷款率在存贷比与商业银行盈利能力的"倒U型"关系中起到了中介传导作用。This paper aims to study three questions.What is the relationship between the loan-to-deposit ratio(LDR)and the profitability of commercial banks?Will this relationship change due to the cancellation of the supervision of the deposit-loan ratio ceiling?Furthermore,What is the mechanism of the relationship between the risk of non-performing loans rising due to the abolition of the upper limit of the LDR and the profitability of commercial banks?In order to study these issues,this paper uses the data of 127 commercial banks in China for the past 10 years as the sample,and from the perspective of the change of the LDR regulatory policy,constructs a quasi-natural experiment of the change of the LDR regulatory policy.The theory explains the internal mechanism of the LDR index and profitability of commercial banks,and then,empirically tested their correlation.The research shows:there is a nonlinear relationship between the LDR and the profitability of China′s commercial banks,which is"inverted U-shaped".The inflection point occurs after the abolition of the regulation of the LDR policy,and the"inverted U-shaped"relationship between the two becomes more prominent.At the same time,the non-performing loan ratio has a mediating effect on this"inverted U-shaped"relationship.First of all,when the LDR as a rigid regulatory indicator,limiting the business activities of commercial banks,because of the 75%deposit-loan ratio limit,commercial banks have to prudent lending,strictly examine the customer repayment ability to control the loan risk,so that the LDR of commercial banks can less than 75%,at this time,the LDR has a linear relation with the profitability of commercial banks in China,namely the LDR is higher,the stronger the profitability.Later,when the LDR regulation change to liquidity regulation index,commercial banks will expanded loan volume to satisfy the demands of their higher profit,break through the critical value of the relationship between the loan-to-deposit ratio and the inverted U-shaped profitability,relax

关 键 词：存贷比 商业银行盈利能力 不良贷款率 中介效应 

分 类 号：F832.0[经济管理—金融学] F830.42