经营同质化背景下表外业务对银行系统性风险的影响  

The Impact of Off-balance Sheet Activities on Banks’Systemic Risk under the Background of Homogeneity

作　　者：张晓明[1,2] 任紫薇 ZHANG Xiao-ming;REN Zi-wei(School of Economics and Management,Beijing Jiaotong University,Beijing 100044,China;Beijing Laboratory of National Economic Security Early-warning Engineering,Beijing Jiaotong University,Beijing 100044,China;VIP Corporate Banking Department,Agriculture Bank of China,Beijing 100031,China)

机构地区：[1]北京交通大学经济管理学院,北京100044 [2]北京交通大学国家经济安全预警工程北京实验室,北京100044 [3]中国农业银行股份有限公司大客户部,北京100031

出　　处：《经济问题》2025年第3期92-100,共9页On Economic Problems

摘　　要：在利率市场化改革和金融脱媒等因素的影响下,我国商业银行表外业务规模不断扩张,可能催生新的系统性风险。选取我国16家上市商业银行2010—2023年的统计数据,基于当前银行业经营同质化的背景,实证检验了表外业务对银行系统性风险的影响。研究采用动态面板系统广义矩估计方法,分别利用GARCH-CoVaR模型和欧氏距离模型测度银行系统性风险和经营同质化指数。结果表明,商业银行表外业务会提高银行系统性风险,经营同质化现象会对该影响产生调节效应,与表外业务共同作用于银行系统性风险,不同所有制商业银行表外业务对银行系统性风险的溢出效应不同,不同类型表外业务的影响效果也存在差异。因此,应改善商业银行表外业务的规模和内部结构,实行差异化竞争策略,从而有效规避银行系统性风险。Under the influence of interest rate liberalization reform and financial disintermediation and other factors,the scale of commercial banks’off-balance sheet activities continues to expand,which may induce new systemic risks.This paper selects the statistical data of 16 listed commercial banks in China from 2010 to 2023,empirically tests the impact of off-balance sheet activities on the bank’s systemic risk based on the background of the homogeneity of the banking industry in China.This paper adopts the dynamic panel SYS-GMM methods.The measure of the bank’s systemic risk and homogeneity index is based on the GARCH-CoVaR model and the euclidean distance model.The results indicate that the expansion of the scale of off-balance sheet activities in commercial banks will increase systemic risk.Homogeneity exerts a moderating effect on this impact,interacting with off-balance sheet activities to affect systemic risk.There are differences in the degree of influence of different types of off-balance sheet activities on the systemic risk contribution of banks with various ownership structures.Therefore,banks should optimize the scale and structure of commercial banks’off-balance sheet activities,and implement differentiated competition strategy,so as to effectively avoid systemic risks.

关 键 词：系统性风险 表外业务 经营同质化 

分 类 号：F830[经济管理—金融学]