批发融资会增强商业银行的杠杆顺周期性吗?——基于140家商业银行的实证研究
|
摘要
对2006～2016年中国140家商业银行面板数据的实证研究发现,商业银行杠杆变动具有明显的顺周期行为,但是批发融资会在一定程度上缓解商业银行的杠杆顺周期性,甚至使杠杆率呈现逆周期效应。批发融资对杠杆顺周期性的缓释作用在资产规模较小、批发融资占比较高以及杠杆率水平较低时较为显著。但2014年出台的《关于规范金融机构同业业务的通知》在控制批发融资的同时,还在一定程度上限制了商业银行的逆周期缓释策略,增强了商业银行的杠杆顺周期行为。
An empirical study based on panel data of 140 commercial banks in China from 2006 to 2016shows that the leverage change of commercial banks has obvious pro-cyclical behavior,but wholesale funding can alleviate the leverage procyclicality of commercial banks to some extent,and even make leverage ratio present countercyclical effect.The slow release effect of wholesale funding on leverage procyclicality is significant when the scale of assets is small,the proportion of wholesale funding is relatively high and the level of leverage is low.The study also found that the anti-cyclical slow release strategy was effectively controlled by the 2014 policy of controlling interbank business,while the leverage of commercial banks increased in a procyclical manner.
An empirical study based on panel data of 140 commercial banks in China from 2006 to 2016shows that the leverage change of commercial banks has obvious pro-cyclical behavior,but wholesale funding can alleviate the leverage procyclicality of commercial banks to some extent,and even make leverage ratio present countercyclical effect.The slow release effect of wholesale funding on leverage procyclicality is significant when the scale of assets is small,the proportion of wholesale funding is relatively high and the level of leverage is low.The study also found that the anti-cyclical slow release strategy was effectively controlled by the 2014 policy of controlling interbank business,while the leverage of commercial banks increased in a procyclical manner.
引文
[1] Tobias Adrian,Hyun Song Shin.Liquidity and leverage[J].Journal of Financial Intermediation,2010,19(3):418-437.
[2]Michaёl Dewally,Yingying Shao.Leverage,wholesale funding and national risk attitude[J].Journal of International Financial Markets,Institutions and Money,2013,23:179-195.
[3] H Evren Damar,Césaire A Meh,Yaz Terajima.Leverage,balance-sheet size and wholesale funding[J].Journal of Financial Intermediation,2013,22(4):639-662.
[4] Michael J.Gombola,Amy Yueh-Fang Ho,et al.The effect of leverage and liquidity on earnings and capital management:evidence from U.S.commercial banks[J].International Review of Economics&Finance,2016,43:35-58.
[5] Brei M,Gambacorta L.The leverage ratio over the cycle[R].Bis Working Papers,2014.
[6] Brunnermeier M K.Deciphering the 2007-2008liquidity and credit crunch[J].Journal of Economic Perspectives,2009,23(1):77-100.
[7] Diamond D W,R G Rajan.The credit crisis:conjectures about causes and remedies[J].American Economic Review,1999,99(2):606-110.
[8] Agur I.Wholesale bank funding,capital requirements and credit rationing[J].Journal of Financial Stability,2013,9(1):38-45.
[9] Ratnovski L,Huang Rocco.Why are canadian banks more resilient?[R].IMF Working Paper,2009.
[10]王飞,李雅楠,刘文栋.杠杆顺周期性及其对银行资产负债表的影响——基于我国161家银行的实证分析[J].上海金融,2013(10):33-40+117.
[11]吴国平.中国商业银行杠杆的顺周期性分析[J].金融论坛,2015(6):29-36.
[12]刘青云.我国商业银行杠杆顺周期效应研究[J].财经问题研究,2015(5):69-74.
[13]陈梦雯,郭宇冈,Philippe Dorbaire.《巴塞尔协议Ⅲ》中的杠杆指标对银行风险的影响及其在中国的适用性分析[J].江西社会科学,2011(9):251-256.
[14]靳玉英,贾松波.杠杆监管的引入对商业银行资产结构的影响研究[J].国际金融研究,2016(6):52-60.
[15]张翼,徐璐.杠杆率监管及其对我国银行业的影响研究[J].财经问题研究,2012(6):62-67.
[16]袁鲲,饶素凡.银行资本、风险承担与杠杆约束——基于中国上市银行的实证研究(2003-2012年)[J].国际金融研究,2014(8):52-60.
[17]郭强,邓黎桥,殷无弦.批发融资市场与信贷供给:基于同业业务的实证检验[J].金融评论,2014(5):94-105.
[18]辛兵海,张晓云.批发融资对银行信贷的影响:基于周期敏感性视角[J].金融与经济,2016,11:58-61.
[2]Michaёl Dewally,Yingying Shao.Leverage,wholesale funding and national risk attitude[J].Journal of International Financial Markets,Institutions and Money,2013,23:179-195.
[3] H Evren Damar,Césaire A Meh,Yaz Terajima.Leverage,balance-sheet size and wholesale funding[J].Journal of Financial Intermediation,2013,22(4):639-662.
[4] Michael J.Gombola,Amy Yueh-Fang Ho,et al.The effect of leverage and liquidity on earnings and capital management:evidence from U.S.commercial banks[J].International Review of Economics&Finance,2016,43:35-58.
[5] Brei M,Gambacorta L.The leverage ratio over the cycle[R].Bis Working Papers,2014.
[6] Brunnermeier M K.Deciphering the 2007-2008liquidity and credit crunch[J].Journal of Economic Perspectives,2009,23(1):77-100.
[7] Diamond D W,R G Rajan.The credit crisis:conjectures about causes and remedies[J].American Economic Review,1999,99(2):606-110.
[8] Agur I.Wholesale bank funding,capital requirements and credit rationing[J].Journal of Financial Stability,2013,9(1):38-45.
[9] Ratnovski L,Huang Rocco.Why are canadian banks more resilient?[R].IMF Working Paper,2009.
[10]王飞,李雅楠,刘文栋.杠杆顺周期性及其对银行资产负债表的影响——基于我国161家银行的实证分析[J].上海金融,2013(10):33-40+117.
[11]吴国平.中国商业银行杠杆的顺周期性分析[J].金融论坛,2015(6):29-36.
[12]刘青云.我国商业银行杠杆顺周期效应研究[J].财经问题研究,2015(5):69-74.
[13]陈梦雯,郭宇冈,Philippe Dorbaire.《巴塞尔协议Ⅲ》中的杠杆指标对银行风险的影响及其在中国的适用性分析[J].江西社会科学,2011(9):251-256.
[14]靳玉英,贾松波.杠杆监管的引入对商业银行资产结构的影响研究[J].国际金融研究,2016(6):52-60.
[15]张翼,徐璐.杠杆率监管及其对我国银行业的影响研究[J].财经问题研究,2012(6):62-67.
[16]袁鲲,饶素凡.银行资本、风险承担与杠杆约束——基于中国上市银行的实证研究(2003-2012年)[J].国际金融研究,2014(8):52-60.
[17]郭强,邓黎桥,殷无弦.批发融资市场与信贷供给:基于同业业务的实证检验[J].金融评论,2014(5):94-105.
[18]辛兵海,张晓云.批发融资对银行信贷的影响:基于周期敏感性视角[J].金融与经济,2016,11:58-61.