宏观审慎监管对商业银行监管套利行为的影响研究  

Impact of Macroprudential Regulation on Regulatory Arbitrage Through Interbank Business

作　　者：侯垚鑫 HOU Yao-xin(School of Investment and Construction Management,Dongbei University of Finance and Economics,Dalian 116025,China)

机构地区：[1]东北财经大学投资工程管理学院,辽宁大连116025

出　　处：《东北财经大学学报》2024年第2期62-74,共13页Journal of Dongbei University of Finance and Economics

基　　金：辽宁省教育厅基本科研项目“深化辽宁金融供给侧结构性改革,推动‘科技-产业-金融’良性循环”(JYTMS20230639)。

摘　　要：防范金融风险是金融工作的永恒主题。商业银行同业业务通过隐匿信贷资产规避微观审慎监管,而宏观审慎监管在理论上能够防止金融机构的监管套利行为。宏观审慎监管对商业银行通过同业业务进行监管套利行为产生影响。本文通过搜集商业银行财务数据构建商业银行同业业务规模指标及宏观审慎监管和微观审慎监管压力指标,以商业银行同业业务规模变动刻画其监管套利行为。首先,分析了微观审慎监管压力对商业银行监管套利行为的影响;其次,在模型中加入宏观审慎监管压力指标,分析了宏观审慎监管压力对商业银行监管套利行为的影响。实证结果表明:宏观审慎监管在一定程度上能够有效防止商业银行通过同业业务规避监管,但针对同业业务的资金拆出方和资金拆入方的政策效果具有差异性。The Central Financial Work Conference held in October 2023 stressed comprehensively strengthening financial supervision and preventing and resolving risks to effectively improve the effectiveness of financial supervision and bring all financial activities under supervision in accordance with the law in the current and future periods.Financial institutions gain arbitrage space by avoiding regulation in the game with financial regulation,and the interbank business of commercial banks in China,by concealing credit assets,has become an important means for banks to avoid microprudential regulation and achieve regulatory arbitrage since the 2008 financial crisis.The macroprudential regulatory policy,which aims to prevent systemic financial risks,can effectively prevent regulatory arbitrage of financial institutions in theory.Improving the macroprudential policy framework has become an important issue in financial regulatory practice and reform worldwide.This paper studies the impact of the implementation of China’s macroprudential regulatory policies on regulatory arbitrage through the interbank business of commercial banks.The empirical study analyzes the impact of microprudential regulatory pressure on the changes in the interbank business of commercial banks.Then,the macroprudential regulatory pressure indicator is added to the model to analyze the impact of macroprudential regulatory pressure on commercial banks’regulatory arbitrage.The empirical conclusion shows that macroprudential regulation can effectively prevent commercial banks from evading financial regulation through interbank business to a certain extent,but the policy effects differ between the net asset party and the net liability party of interbank business.This paper mainly expands on the previous research in the following aspects.It collects micro financial data from commercial banks to construct interbank business indicators.By analyzing the business models of commercial banks hiding and nesting credit assets through interbank business,as well a

关 键 词：宏观审慎监管 商业银行 同业业务 监管套利 

分 类 号：F832[经济管理—金融学]