输入性金融风险背景下宏观审慎管理对商业银行风险承担水平的影响  

The Impact of Macro-prudential Management on the Risk-taking Level of Commercial Banks Under the Background of Input Financial Risks

作　　者：蔡鑫[1] 谢贤君 袁智慧 CAI Xin;XIE Xian-jun;YUAN Zhi-hui

机构地区：[1]首都师范大学政法学院 [2]北京大学政府管理学院 [3]北京市习近平新时代中国特色社会主义思想研究中心 [4]贵州大学经济学院

出　　处：《农村金融研究》2025年第3期50-65,共16页Rural Finance Research

基　　金：中国博士后科学基金面上项目“产业现代化背景下中国政府创新政策激励企业数字化转型的机理与策略研究”(编号:2023M730110)的研究成果。

摘　　要：论文深入解构了输入性金融风险视域下宏观审慎管理对商业银行风险承担水平影响的理论机制,认为在外部不利冲击下,跨境融资宏观审慎调节参数向上调整可改善信贷资金期限结构、减少信贷集中度;在外部有利冲击下,跨境融资宏观审慎调节参数向下调整也可改善信贷资金期限结构、减少信贷集中度,从而降低商业银行风险承担水平。以全口径外债规模和增长率作为跨境融资宏观审慎调节参数调整的代理指标,并运用2014—2022年季度层面中国商业银行微观平衡面板数据实证检验宏观审慎管理对商业银行风险承担水平的影响。结果表明:第一,全口径外债规模和增长率变动能够显著抑制商业银行风险承担水平,即调整跨境融资宏观审慎调节参数显著抑制商业银行风险承担水平。第二,调整跨境融资宏观审慎调节参数不仅显著改善银行信贷资金期限结构,也显著降低银行信贷集中度,进而降低商业银行风险承担水平。第三,在城市商业银行和股份制商业银行以及银行流动性风险较高的银行中,调整跨境融资宏观审慎调节参数对商业银行风险承担水平的抑制效应更为明显。This article deeply deconstructs the theoretical mechanism of the impact of macroprudential management on the risk-taking level of commercial banks from the perspective of input financial risks.It is believed that in the face of external adverse shocks,adjusting the macroprudential adjustment parameters of cross-border financing upwards can improve the maturity structure of credit funds and reduce credit concentration;When facing favorable external shocks,a downward adjustment of macro prudential adjustment parameters for cross-border financing can also improve the maturity structure of credit funds,reduce credit concentration,and thus lower the risk-taking level of commercial banks.Further use the scale and growth rate of external debt as indicators for adjusting macro prudential adjustment parameters for cross-border financing,and empirically test the impact of macro prudential management on the risk-taking level of commercial banks using quarterly panel data on micro balance of Chinese commercial banks from 2014 to 2022.The results show that:1.The changes in the scale and growth rate of external debt across the board can significantly suppress the risk-taking level of commercial banks,that is,adjusting the macro prudential adjustment parameters of cross-border financing can significantly suppress the risktaking level of commercial banks.2.Adjusting the macro prudential adjustment parameters for cross-border financing not only significantly improves the maturity structure of bank credit funds,but also significantly reduces the concentration of bank credit,thereby reducing the risk bearing level of commercial banks.3.Among city commercial banks,joint-stock commercial banks and banks with high liquidity risk,adjusting the macro prudential adjustment parameters of cross-border financing has a more prominent inhibitory effect on the level of risk taking of commercial banks.

关 键 词：外部输入性金融风险 全口径跨境融资宏观审慎调节参数 商业银行风险承担水平 全口径外债 

分 类 号：F832.3[经济管理—金融学]