商业银行数字化转型对风险溢出的影响研究——基于溢出指数测度和门槛回归的实证分析  

Research on the Impact of Commercial Banks’Digital Transformation on the Risk Spillover——Empirical Evidence Based on Spillover Index Measurement and Threshold Regression

作　　者：申睿[1] 吴金旺[1,2] Shen Rui;Wu Jinwang(School of Financial Management,Zhejiang Financial College,Hangzhou 310000,China;School of Statistics and Mathematics,Zhejiang Gongshang University,Hangzhou 310000,China)

机构地区：[1]浙江金融职业学院金融管理学院,浙江杭州310000 [2]浙江工商大学统计与数学学院,浙江杭州310000

出　　处：《金融理论探索》2025年第2期54-66,共13页Exploration of Financial Theory

基　　金：教育部人文社会科学研究青年基金项目“数字金融服务实体经济高质量发展研究:宏观影响与微观机制”(23YJC790206);浙江省哲学社会科学规划项目“共同富裕的理论内涵、统计测度及实现路径研究”(22NDJC192YB);浙江省教育厅一般科研项目“金融科技对商业银行数字化转型风险溢出效应与机制研究”(Y202248900);浙江省省属高校基本科研业务费项目资金资助“商业银行数字化转型有助于抑制风险溢出吗?——基于门槛回归的实证”(2024YB04)。

摘　　要：在建设金融强国背景下,金融创新和金融改革不断深化,银行间关联程度不断提升,考察银行间风险溢出效应成为“守住不发生系统性金融风险底线”的关键环节。银行数字化转型提高了金融服务实体经济的质效,但也给金融风险防范带来了更多不确定因素。本文基于2013—2022年上市商业银行微观数据,利用DY溢出指数测度商业银行动态风险溢出,爬取百度搜索新闻文本数据构建商业银行数字化转型程度指标,研究商业银行数字化转型对风险溢出的非线性影响。研究发现,商业银行风险溢出水平较高,数字化转型程度对商业银行风险溢出存在显著的单门槛影响效应:在数字化转型初期会提高风险溢出,但在后期能抑制风险溢出。异质性分析发现,资产规模较大的银行数字化转型对风险溢出抑制作用更强,但资产规模较小的银行门槛值更低。政府应高度关注风险溢出水平较高的银行,针对银行数字化不同阶段采取差异化监管措施,推动规模较小银行加强数字化变革尽快跨越门槛。Under the background of the Building a Financial Powerhouse Strategy,financial innovation and reform continue to deepen,and the degree of interbank linkage continues to increase.Examining the spillover effects of interbank risks has become a key link in“Guarding against systemic financial risks”.The digital transformation of banks has improved the quality and efficiency of financial services to the real economy,but it has also brought more uncertain factors to financial risk prevention.Based on the micro data of listed commercial banks from 2013 to 2022,this article uses the DY spillover index to measure the dynamic risk spillover of commercial banks,crawls news text data from Baidu search engine to construct an indicator of the degree of digital transformation of commercial banks,and studies the nonlinear impact of digital transformation of commercial banks on risk spillover.Research has found that commercial banks have a high level of risk spillover,and the degree of digital transformation has a significant single threshold effect on risk spillover:In the early stages of digital transformation,risk spillover is increased,but in the later stages,it can be suppressed.Heterogeneity analysis found that digital transformation of banks with larger asset sizes has a stronger risk suppression effect,but banks with smaller asset sizes have lower threshold values.The government should pay close attention to banks with high levels of risk spillover,adopt differentiated regulatory measures for different stages of bank digitization,and promote smaller banks to strengthen digital transformation and cross the threshold as soon as possible.

关 键 词：商业银行 数字化转型 风险溢出 DY溢出指数模型 金融科技 

分 类 号：F832.33[经济管理—金融学]