LPR改革、息差收窄与银行利润——基于事件分析法与面板门槛模型  

LPR Reform,Interest Margin Narrowing and Bank Profit——Based on Event Analysis and Panel Threshold Model

作　　者：郭红玉[1] 皓星 GUO Hong-yu;HAO Xing

机构地区：[1]对外经济贸易大学金融学院,北京100029

出　　处：《金融论坛》2023年第2期14-24,共11页Finance Forum

基　　金：国家社科基金项目“稳增长背景下我国利率传导机制改革和效果研究”(20BJY245)资助;对外经济贸易大学中央高校基本科研业务费专项资金资助“疫情冲击背景下疏通货币政策传导机制发挥金融稳增长作用研究”(20YQ14);对外经济贸易大学研究生科研创新基金资助“中国货币政策价格之谜现象研究”(202222)。

摘　　要：本文在LPR改革背景下基于事件分析法与面板门槛模型研究息差收窄对银行利润的影响。研究发现:(1)LPR改革在短期内给市场带来悲观情绪使银行业收益走低,但从长期来看,银行业仍获得正向累积超额收益,息差收窄并未影响银行业基本面;(2)息差变化对银行利润具有非线性影响,存在最优息差变化区间。当息差收窄幅度小于此区间时,银行利润显著增加;息差收窄超过区间下限后,银行利润也没有显著下降;(3)息差收窄未必会降低银行利润,这有利于继续稳步推进中国的利率市场化进程。Based on the background of LPR reform,event analysis and panel threshold model,this paper researches the impact of interest margin narrowing on bank profit.The results show that:(1)LPR reform brings pessimism to the market in the short term,which leads to the decrease in the earnings of banking industry,but in the long term,the banking industry still obtains positive cumulative excess earnings,and the narrowing of interest margin does not affect the fundamentals of banking industry;(2)the change in interest margin has a nonlinear effect on bank profit,and there is an optimal range of interest margin change;when the interest margin narrows within the scope less than the range,the bank's profit increases significantly;after the interest margin narrowed beyond the lower limit of the range,the bank's profit does not decline significantly;(3)the narrowing of interest rate spread may not reduce bank profit,which is conducive to continue to steadily promote China's interest rate marketization process.

关 键 词：LPR改革 事件分析法 累积超额收益 需求价格弹性 门槛效应 

分 类 号：F832[经济管理—金融学]