城市商业银行贷款集中度对资产质量影响的研究
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摘要
文章利用我国27个省市的46家城市商业银行2007-2016年度数据,从客户集中度和行业集中度两个维度考察其对资产质量的影响。分析了城市商业银行授信策略的时滞性,比较了东部、中部、西部及东北地区城市商业银行贷款集中现象的差异,探讨了引进境外战略投资者对城市商业银行资产质量的影响。研究结论如下:城市商业银行的贷款集中度对资产质量具有负面影响,其中客户集中度的影响比较显著,行业集中度仅在东部地区存在显著性影响;贷款集中度对银行资产质量的影响存在滞后效应和累积效应;不同地区的城市商业银行其贷款集中度对资产质量的影响程度不一致,西部地区城市商业银行的行业集中度对资产质量具有强烈的负面影响;引进境外战略投资者的城市商业银行风险偏好较激进,贷款集中度对银行资产质量的影响较大。基于上述结论,文章最后提出了一些参考性建议。
Based on the annual data of 46 municipal commercial banks in 27 provinces in China from 2007 to 2016,this paper studies the influences of the concentration of customer loans and industry loan on asset quality. This paper further investigates the lag of credit strategies of municipal commercial banks,compares the differences between municipal commercial banks' loans in the eastern,central,western and northeastern regions,and the effect of the introduction of foreign strategic investors on asset quality. Empirical results show that: loan concentration of municipal commercial banks has a negative impact on asset quality. The impact of customer loan concentration is larger than industry load concentration. Industry loan concentration is only significant in municipal commercial banks in the eastern region. The effect of loan concentration on the level of bank asset quality has lagged effect and cumulative effect. The impact if loan concentration on asset quality varies in regions. In under-developed western regions,compared with developed eastern regions,industry concentration has more impact on asset quality. Municipal commercial banks with foreign strategic investors prefer aggressive and high loan concentration. Based on the above empirical results,some suggestions are put forward for municipal commercial banks.
Based on the annual data of 46 municipal commercial banks in 27 provinces in China from 2007 to 2016,this paper studies the influences of the concentration of customer loans and industry loan on asset quality. This paper further investigates the lag of credit strategies of municipal commercial banks,compares the differences between municipal commercial banks' loans in the eastern,central,western and northeastern regions,and the effect of the introduction of foreign strategic investors on asset quality. Empirical results show that: loan concentration of municipal commercial banks has a negative impact on asset quality. The impact of customer loan concentration is larger than industry load concentration. Industry loan concentration is only significant in municipal commercial banks in the eastern region. The effect of loan concentration on the level of bank asset quality has lagged effect and cumulative effect. The impact if loan concentration on asset quality varies in regions. In under-developed western regions,compared with developed eastern regions,industry concentration has more impact on asset quality. Municipal commercial banks with foreign strategic investors prefer aggressive and high loan concentration. Based on the above empirical results,some suggestions are put forward for municipal commercial banks.
引文
[1]巴曙松,陈剑.贷款集中度风险:当前信贷风险管理与监管的关键因素[J].金融管理与研究,2010(8):18-21.
[2]彭星,李斌.利率市场化、价格竞争与城市商业银行风险[J].商业经济与管理,2015(5):68-78.
[3]KALOTYCHOU E,STALKOURS S K.An empirical investigation of the loan concentration risk in Latin America[J].Journal of Multinational Financial Management,2006,16(4):363-384.
[4]GORDY M B,LUTKEBOHMERT E.Granularity adjustment for Basel II[R].Discussion Paper,Deutsche Bundesbank,2006:1-23.
[5]DULLMANN K,MASSCHELEIN N.A tractable model to measure sector concentration risk in credit portfolios[J].Journal of Financial Services Research,2007,32(1):55-79.
[6]魏晓琴,李晓霞.我国商业银行货款集中度的测算以及效应分析[J].金融理论与实践,2011(4):22-26.
[7]BECK T,DEMIRGUC-KUNT A,LEVINE R.Bank concentration,competition and crisis:first results[J].Journal of Banking and Finance,2006,30(5):1581-1603.
[8]CHANG E J,GUERRA S M,LIMA E J A,et al.The stability-concentration relationship in the Brazilian banking system[J].Journal of International Financial Markets Institutions and Money,2008,18(4):388-397.
[9]黄秀秀,曹前进.贷款集中度对银行风险承担行为的影响——来自中国上市银行的经验证据[J].金融论坛,2014(11):9-14.
[10]BEHR A,KAMP A,MEMMEL C,et al.Diversification and the banks'risk-return-characteristics:evidence from loan portfolios of German banks[R].Discussion Paper,Deutsche Bunderbank,2007:16-25.
[11]BEBCZUK R,GALINDO A.Financial crisis and sectoral diversification of Argentine banks,1999-2004[J].Applied Financial Economics,2008,18(3):199-211.
[12]ROSSI S,SCHWAIGER M,WINKLER G.How loan portfolio diversification affects risk,efficiency and capitalization:a managerial behavior model for Austrian banks[J].Journal of Banking and Finance,2009,33(12):2218-2226.
[13]TABAK B M,FAZIO D M,CAJUEIRO D O.The effects of loan portfolio concentration on Brazilian banks return and risk[J].Journal of Banking and Finance,2011,35(11):3065-3076.
[14]任秋潇,王一鸣.信贷集中度会影响商业银行的资产质量水平么?——来自中国A股16家上市银行的证据[J].国际金融研究,2016(7):62-73.
[15]魏国雄.集中度风险管理、问题与防范[J].银行家,2010(6):10-14.
[16]BERGER A N,HASAN I,ZHOU M.The effects of focus versus diversification on bank performance:evidence from Chinese banks[J].Journal of Banking and Finance,2010,34(7):1417-1435.
[17]ACHARYA V,HASAN I,SAUNDERS A.Should banks be diversified?Evidence from individual bank loan portfolios[J].Journal of Business,2006,79(3):1355-1412.
[18]HAYDEN E,PORATH D,WESTEMHAGEN N V.Does diversification improve the performance of German banks?Evidence from individual bank loan portfolios[J].Journal of Financial Services Research,2007,32(3):123-140.
[19]BAELE L,JONGHE O D,VENNER R V.Does the stock market value bank diversification?[J].Journal of Banking and Finance,2007,31(7):1999-2023.
[20]赵尚梅,杜华东,车亚斌.城市商业银行股权结构与绩效关系及作用机制研究[J].财贸经济,2012(7):39-48.
[21]王擎,潘李剑.股权结构、金融生态与城市商业银行绩效[J].投资研究,2012(4):65-77.
[22]王秀丽,鲍明明,张龙天.金融发展、信贷行为与信贷效率——基于我国城市商业银行的实证研究[J].金融研究,2014(7):94-108.
[23]王锦丹,刘桂荣.基于外资参股中国银行业情况下银行经营效率的实证研究[J].经济研究导刊,2010(14):77-79.
[24]刘家松.外资参股后的银行业控制权与金融安全研究[J].宏观经济研究,2012(7):17-24.
[25]刘家松.外资参股银行业与金融安全的新兴市场国家比较研究[J].宏观经济研究,2013(9):39-45.
[26]张乐,韩立岩.混合所有制对中国上市银行不良贷款率的影响研究[J].国际金融研究,2016(7):50-62.
[27]施高峰.信贷集中对我国上市商业银行经营绩效的影响[D].南京:南京财经大学金融学院,2013:23-30.
[28]GAMBACORTA L,MISTRULLI P E.Does bank capital affect lending behavior[J].Journal of Financial Intermediation,2004,13(4):436-457.
(1)地方政府融资平台是指各级地方政府成立的以融资为主要目的的公司,一般由政府主导或政府绝对控制,地方财政直接或间接承担偿债责任或提供担保,所筹资金主要用于基础设施建设或准公共项目。
(2)《商业银行法》规定,对同一借款人的贷款余额占商业银行资本余额的比例不得超过10%;《商业银行风险监管核心指标》规定,对最大10家客户贷款余额占商业银行资本净额的比例不得超过50%;《商业银行集团客户授信业务风险管理指引》规定,对单一集团客户授信总额不得超过商业银行资本余额15%。
(1)46家城市商业银行分别为:北京银行、上海银行、江苏银行、南京银行、宁波银行、盛京银行、徽商银行、天津银行、杭州银行、厦门国际银行、哈尔滨银行、广州银行、锦州银行、吉林银行、包商银行、成都银行、重庆银行、昆仑银行、长沙银行、郑州银行、大连银行、贵阳银行、苏州银行、河北银行、龙江银行、江西银行、华融湘江银行、西安银行、兰州银行、东莞银行、青岛银行、汉口银行、九江银行、洛阳银行、广东南粤银行、厦门银行、长安银行、晋商银行、温州银行、湖北银行、富滇银行、齐鲁银行、威海市商业银行、桂林银行、福建海峡银行、浙江稠州银行。
[2]彭星,李斌.利率市场化、价格竞争与城市商业银行风险[J].商业经济与管理,2015(5):68-78.
[3]KALOTYCHOU E,STALKOURS S K.An empirical investigation of the loan concentration risk in Latin America[J].Journal of Multinational Financial Management,2006,16(4):363-384.
[4]GORDY M B,LUTKEBOHMERT E.Granularity adjustment for Basel II[R].Discussion Paper,Deutsche Bundesbank,2006:1-23.
[5]DULLMANN K,MASSCHELEIN N.A tractable model to measure sector concentration risk in credit portfolios[J].Journal of Financial Services Research,2007,32(1):55-79.
[6]魏晓琴,李晓霞.我国商业银行货款集中度的测算以及效应分析[J].金融理论与实践,2011(4):22-26.
[7]BECK T,DEMIRGUC-KUNT A,LEVINE R.Bank concentration,competition and crisis:first results[J].Journal of Banking and Finance,2006,30(5):1581-1603.
[8]CHANG E J,GUERRA S M,LIMA E J A,et al.The stability-concentration relationship in the Brazilian banking system[J].Journal of International Financial Markets Institutions and Money,2008,18(4):388-397.
[9]黄秀秀,曹前进.贷款集中度对银行风险承担行为的影响——来自中国上市银行的经验证据[J].金融论坛,2014(11):9-14.
[10]BEHR A,KAMP A,MEMMEL C,et al.Diversification and the banks'risk-return-characteristics:evidence from loan portfolios of German banks[R].Discussion Paper,Deutsche Bunderbank,2007:16-25.
[11]BEBCZUK R,GALINDO A.Financial crisis and sectoral diversification of Argentine banks,1999-2004[J].Applied Financial Economics,2008,18(3):199-211.
[12]ROSSI S,SCHWAIGER M,WINKLER G.How loan portfolio diversification affects risk,efficiency and capitalization:a managerial behavior model for Austrian banks[J].Journal of Banking and Finance,2009,33(12):2218-2226.
[13]TABAK B M,FAZIO D M,CAJUEIRO D O.The effects of loan portfolio concentration on Brazilian banks return and risk[J].Journal of Banking and Finance,2011,35(11):3065-3076.
[14]任秋潇,王一鸣.信贷集中度会影响商业银行的资产质量水平么?——来自中国A股16家上市银行的证据[J].国际金融研究,2016(7):62-73.
[15]魏国雄.集中度风险管理、问题与防范[J].银行家,2010(6):10-14.
[16]BERGER A N,HASAN I,ZHOU M.The effects of focus versus diversification on bank performance:evidence from Chinese banks[J].Journal of Banking and Finance,2010,34(7):1417-1435.
[17]ACHARYA V,HASAN I,SAUNDERS A.Should banks be diversified?Evidence from individual bank loan portfolios[J].Journal of Business,2006,79(3):1355-1412.
[18]HAYDEN E,PORATH D,WESTEMHAGEN N V.Does diversification improve the performance of German banks?Evidence from individual bank loan portfolios[J].Journal of Financial Services Research,2007,32(3):123-140.
[19]BAELE L,JONGHE O D,VENNER R V.Does the stock market value bank diversification?[J].Journal of Banking and Finance,2007,31(7):1999-2023.
[20]赵尚梅,杜华东,车亚斌.城市商业银行股权结构与绩效关系及作用机制研究[J].财贸经济,2012(7):39-48.
[21]王擎,潘李剑.股权结构、金融生态与城市商业银行绩效[J].投资研究,2012(4):65-77.
[22]王秀丽,鲍明明,张龙天.金融发展、信贷行为与信贷效率——基于我国城市商业银行的实证研究[J].金融研究,2014(7):94-108.
[23]王锦丹,刘桂荣.基于外资参股中国银行业情况下银行经营效率的实证研究[J].经济研究导刊,2010(14):77-79.
[24]刘家松.外资参股后的银行业控制权与金融安全研究[J].宏观经济研究,2012(7):17-24.
[25]刘家松.外资参股银行业与金融安全的新兴市场国家比较研究[J].宏观经济研究,2013(9):39-45.
[26]张乐,韩立岩.混合所有制对中国上市银行不良贷款率的影响研究[J].国际金融研究,2016(7):50-62.
[27]施高峰.信贷集中对我国上市商业银行经营绩效的影响[D].南京:南京财经大学金融学院,2013:23-30.
[28]GAMBACORTA L,MISTRULLI P E.Does bank capital affect lending behavior[J].Journal of Financial Intermediation,2004,13(4):436-457.
(1)地方政府融资平台是指各级地方政府成立的以融资为主要目的的公司,一般由政府主导或政府绝对控制,地方财政直接或间接承担偿债责任或提供担保,所筹资金主要用于基础设施建设或准公共项目。
(2)《商业银行法》规定,对同一借款人的贷款余额占商业银行资本余额的比例不得超过10%;《商业银行风险监管核心指标》规定,对最大10家客户贷款余额占商业银行资本净额的比例不得超过50%;《商业银行集团客户授信业务风险管理指引》规定,对单一集团客户授信总额不得超过商业银行资本余额15%。
(1)46家城市商业银行分别为:北京银行、上海银行、江苏银行、南京银行、宁波银行、盛京银行、徽商银行、天津银行、杭州银行、厦门国际银行、哈尔滨银行、广州银行、锦州银行、吉林银行、包商银行、成都银行、重庆银行、昆仑银行、长沙银行、郑州银行、大连银行、贵阳银行、苏州银行、河北银行、龙江银行、江西银行、华融湘江银行、西安银行、兰州银行、东莞银行、青岛银行、汉口银行、九江银行、洛阳银行、广东南粤银行、厦门银行、长安银行、晋商银行、温州银行、湖北银行、富滇银行、齐鲁银行、威海市商业银行、桂林银行、福建海峡银行、浙江稠州银行。