货币政策不确定性会影响银行资本配置效率吗?--基于中国A股上市银行的证据  

Does Monetary Policy Uncertainty Affect Bank Capital Allocation Efficiency? Evidence from China’s A-Share Listed Banks

作　　者：顾海峰[1] 朱紫荆 Gu Haifeng;Zhu Zijing

机构地区：[1]东华大学旭日工商管理学院,上海200051

出　　处：《证券市场导报》2022年第1期31-41,共11页Securities Market Herald

基　　金：教育部人文社会科学研究规划基金项目“跨境资本流动对商业银行信贷风险的影响机理及政策研究”(项目批准号:20YJA790014)。

摘　　要：本文选取2010―2019年中国19家A股上市银行年度数据,对货币政策不确定性对银行资本配置效率的影响及其作用机制进行了实证分析。研究表明:(1)货币政策不确定性对银行资本配置效率具有抑制作用。相对于国有银行与城商行,货币政策不确定性对股份制银行资本配置效率的抑制力度更大。(2)利差收入在货币政策不确定性与银行资本配置效率的关系中承担着中介作用,货币政策不确定性通过影响利差收入来影响银行资本配置效率,“货币政策不确定性-利差收入-银行资本配置效率”的传导渠道有效。(3)债务杠杆对两者关系具有正向调节作用,债务杠杆提高会加剧货币政策不确定性对银行资本配置效率的抑制作用。(4)银行竞争对两者关系具有负向调节作用,银行竞争提高会减弱货币政策不确定性对银行资本配置效率的抑制作用,这归因于银行竞争引发的信贷配给治理效应对冲了存贷利差缩减效应。本文结论为提升中国银行业资本配置效率及防控银行业系统性风险提供了重要的理论指导与决策参考。This paper conducts an empirical analysis on the effect of monetary policy uncertainty on capital allocation efficiency and its mechanism with the annual data of 19 listed banks in China from 2010 to 2019.The result shows that:(1)Monetary policy uncertainty restrains bank capital allocation efficiency.Compared with state-owned banks and city commercial banks,monetary policy uncertainty exerts the greatest inhibiting effects on the capital allocation efficiency of joint-stock banks.(2)Spread income plays a mediating role in the relationship between monetary policy uncertainty and capital allocation efficiency.Monetary policy uncertainty influences bank capital allocation efficiency by affecting income structure,and transmission channel of“monetary policy uncertainty-income structure-bank capital allocation efficiency”is effective.(3)Debt leverage plays a positive role in regulating the relationship.The increase of debt leverage will aggravate the inhibiting effects of monetary policy uncertainty on capital allocation efficiency.(4)Bank competition has a negative regulating effect on the relationship.The enhancement of bank competition will weaken the inhibiting effects of monetary policy uncertainty on capital allocation efficiency,which can be attributed to the fact that governance effect of credit rationing can hedge the reduction effect of deposit-to-loan spreads.The conclusion of this paper provides important theoretical guidance and decision-making reference for improving the efficiency of capital allocation in China’s banking industry and preventing and controlling the systemic risks of banking.

关 键 词：货币政策不确定性 银行资本配置效率 利差收入 债务杠杆 银行竞争 

分 类 号：F830.5[经济管理—金融学]