非利息收入与中国商业银行风险承担水平——基于动态面板SYS-GMM回归模型的实证分析  

Non-interest Income Activities and Risk-taking Level of Commercial Banks in China:Empirical Analysis based on Dynamic Panel SYS-GMM Regression Model

作　　者：赵丹丹 ZHAO Dan-dan(Post-doctoral Research Station,School of Economics,Peking University,Beijing 100871,China;Post-doctoral Research Workstation,Postal Savings Bank of China,Beijing 100808,China)

机构地区：[1]北京大学经济学院博士后科研流动站,北京100871 [2]中国邮政储蓄银行博士后科研工作站,北京100808

出　　处：《技术经济与管理研究》2021年第3期68-72,共5页Journal of Technical Economics & Management

基　　金：中国博士后科学基金资助项目(2020M670589)。

摘　　要：文章基于中国34家上市商业银行2010-2019年的非平衡面板数据,采用动态面板SYS-GMM回归模型,实证研究了商业银行非利息收入业务与风险承担水平之间的关系。实证结果认为,商业银行非利息收入的增加会显著提高银行业整体风险水平。根据样本银行的类型进行分组回归发现,国有大型商业银行由于拥有雄厚的资金实力和丰富的风险管理经验,其拓展非利息收入业务会显著降低风险承担水平;股份制商业银行或城市商业银行增加非利息收入提升了银行业风险水平,但只有城市商业银行通过显著性检验;农村商业银行开展非利息收入提高了银行业风险水平,但不显著,说明农村商业银行发展非利息收入业务较为审慎。鉴于此,文章从合理发展非利息收入业务、优化非利息收入结构以及加强非利息收入业务的监管三方面提出相关建议。Based on the unbalanced panel data of 34 listed commercial banks in China from 2010 to 2019,the dynamic panel SYS-GMM regression model is used to study the relationship between non-interest income and the risk-taking level of commercial banks.The research result shows that the increase in non-interest income will significantly increase the overall risk level of commercial banks.It is found by group regression of sample banksthat large state-owned commercial banks have strong financial strength and risk manage-ment experience,and their expansion of non-interest income activities will significantly reduce their risk-taking level;Joint-stock com-mercial banks and urbancommercial banks increase non-interest income activities will increase the risk-taking level,but only urban co-mmercial banks have passed the significance test;The development of non-interest income by rural commercial banks has increased therisk-taking level,but it is not significant,indicating that rural commercial banks are more cautious in developing non-interest income activities.In view of this,the paper proposes relevant suggestions from three aspects of rational development of non-interest income activities,optimization of non-interest income structure and strengthening of supervision of non-interest income activities.

关 键 词：非利息收入业务 商业银行 风险承担水平 动态面板SYS-GMM回归 

分 类 号：F832[经济管理—金融学]