预期信用损失与同业业务:基于商业银行风险承担的实证检验  

Expected Credit Loss and Interbank Business:The Empirical Test Based on the Risk Assumption of Commercial Banks

作　　者：赖金露 Jinlu Lai(Hubei Water Resources Technical College,Wuhan 430064,Hubei)

机构地区：[1]湖北水利水电职业技术学院,湖北省武汉市430064

出　　处：《经济管理学刊（中英文版）》2024年第2期110-120,共11页Economic Management Journal

摘　　要：自2013年新的资本监管办法实行以来,商业银行同业业务迅猛发展,商业银行通过同业业务实施监管套利的问题十分突出,导致商业银行系统资金大量空转,“脱实向虚”现象十分显著。另一方面,2018年我国商业银行持有的金融资产减值开始采用预期信用损失模型。与原有的已发生模型相比较,新的减值办法计提范围更加广泛、考虑减值的时间跨度更长,因此计提减值的规模也更大。以此为背景,本文从商业银行风险承担角度,对预期信用损失模型的采用如何影响同业业务的问题进行了研究。首先,本文对同业业务与银行风险承担之间的关系,以及预期信用损失模型实施后产生的影响进行了理论分析,并提出研究假设。随后,本文以2013年至2020年我国A股及H股上市商业银行为样本,采用系统广义矩GMM的估计方法对研究假设进行了检验。结果发现:同业负债与商业银行风险承担呈现负向效应,预期信用损失模型的实施将在一定程度上缓冲该效应,而基于当前数据的同业资产与商业银行风险承担之间不存在显著关系,预期信用损失与同业资产之间的交互作用也不显著,有待进一步研究。本文的研究补充和丰富了资产减值损失、同业业务等领域的研究文献,对我国“脱实向虚”现象的进一步治理提供了参考。Since the implementation of the new capital supervision measures in 2013,the interbank business of commercial banks has developed rapidly.The problem of regulatory arbitrage by commercial banks through inter-bank business is very prominent,which results in a large amount of idle funds in the commercial banking system,and the phenomenon of"economy shifting from substantial to fictitious"is very significant.Additionally,the expected credit loss model has been adopted for the impairment of financial assets in China since 2018.Compared with the original incurred model,the new impairment method has a wider scope and a longer time span to consider impairment,so the scale of impairment provision becomes larger.Based on this background,this paper studies how the adoption of ECL model affects the interbank business from the perspective of commercial banks'risk commitment.Firstly,this paper makes a theoretical analysis of the relationship between interbank business and bank risk taking and the impact of the implementation of ECL model,and then puts forward research assumptions.Subsequently,this paper uses the estimation method of System GMM to test the research hypothesis with the sample of China's A-share and H-share listed commercial banks from 2013 to 2020.The results show that interbank liabilities and commercial banks'risk commitment have a negative effect,and the implementation of ECL model will buffer this effect.However,there is no significant relationship between interbank assets and commercial banks'risk commitment based on the current data,and the interaction between ECL and peer assets is not significant,which needs further research.The research in this paper supplements and enriches the research literature in the fields of asset impairment loss and inter-bank business,and provides a reference for the further governance of the phenomenon of"economy shifting from substantial to fictitious"in China.

关 键 词：同业业务 预期信用损失 风险承担 商业银行 

分 类 号：F83[经济管理—金融学]