利率市场化与商业银行系统性风险——基于银行业竞争的视角  

Interest Rate Liberalization and Systemic Risk of Commercial Banks:From the Perspective of Banking Competition

作　　者：符林[1] 尹航[1] 田国强 Fu Lin;Yin Hang;Tian Guoqiang(Dalian City Center Sub-branch of the People’s Bank of China,Dalian 116001,Liaoning,China;School of Finance,Dongbei University of Finance and Economics,Dalian 116025,Liaoning,China)

机构地区：[1]中国人民银行大连市中心支行,辽宁大连116001 [2]东北财经大学金融学院,辽宁大连116025

出　　处：《征信》2020年第11期74-82,共9页Credit Reference

基　　金：国家自然科学基金重点项目(71831002);2019年辽宁省社科基金规划项目(L19BJY047);大连市金融学会2020年重大研究项目。

摘　　要：利用垄断竞争期限平滑模型和动态面板模型检验利率市场化对商业银行经营行为特别是系统性风险变动的影响。结论表明,利率市场化改革背景下商业银行在贷款市场和投资市场的竞争加剧会显著增加系统性风险。一方面,利率市场化导致的利差收窄造成了商业银行贷款市场的竞争加剧,在挤压了商业银行盈利空间的同时,也驱使其降低信贷审核标准,形成违约风险与系统性风险积累。另一方面,存贷利差收窄也促使商业银行拓展非息收入业务,但商业银行的多元化投资存在典型的盲目性和负外部性,在过度竞争的激励下,多元化投资虽然不会放大个体风险,但却会导致银行系统性风险水平的上升,从而衍生个体理性决策下的整体非理性行为。此外,更好的经济增长能够通过增量进行商业银行风险释放,而通胀的上升则会形成较强的价格冲击,导致商业银行风险的持续积累。因此,商业银行应将提升客户黏性的着力点从价格向服务转移,调整零和博弈的价格竞争策略;监管部门要进一步完善不当竞争监督、机构整合重组和系统性风险监测机制。This paper examines the impact of interest rate marketization on the operation behavior of commercial banks,especially the systemic risk changes,by using the monopoly competition term smoothing model and dynamic panel model.The conclusion shows that the intensified competition between commercial banks in the loan market and investment market will significantly increase the systemic risk under the background of interest rate liberalization reform.On the one hand,the narrowing of interest margin caused by interest rate liberalization has intensified the competition in the loan market of commercial banks,which not only squeezes the profit space of commercial banks,but also drives them to reduce the credit audit standards,forming the accumulation of default risk and systematic risk.On the other hand,the narrowing of deposit and loan spreads also urges commercial banks to expand non-interest income business,but the diversified investment of commercial banks has typical blindness and negative externality.Under the incentive of excessive competition,diversified investment will not amplify individual risk,but it will lead to the rise of systemic risk level of banks,thus deriving the overall irrationality under individual rational decision-making.In addition,better economic growth can release the risk of commercial banks through increments,while the rise of inflation will form a strong price shock,leading to the continuous accumulation of commercial bank risks.Therefore,commercial banks should shift the focus of improving customer stickiness from price to service and adjust the price competition strategy of zero-sum game.The regulatory authorities should further improve the mechanism of improper competition supervision,institutional integration and restructuring and systemic risk monitoring.

关 键 词：利率市场化 商业银行 过度竞争 系统性风险 

分 类 号：F832.5[经济管理—金融学]