存款利率市场化下商业银行经营结构与存款利率的关系研究
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摘要
中国存款利率市场化开启时期正是银行经营快速转型阶段,研究银行经营结构对存款利率的影响具有重要现实意义。基于2011—2017年中国105家银行数据,本文验证了银行经营结构与存款利率之间的关系。研究表明:(1)两类非利息收入影响存款利率的方向不同。手续费及佣金收入降低了存款利率,而其他经营收入提高了存款利率。(2)存款负债占比越高,存款利率越高,且这一作用在城商行和农商行中更明显。(3)非利息收入和存款负债存在交互作用。手续费及佣金收入、存款负债减弱了彼此调节存款利率的作用,其他经营收入、存款负债增强了彼此调节存款利率的作用。(4)影子银行规模越大、存款利率越高,但这一作用随着手续费及佣金收入的扩大而减弱。随着利率"双轨制"的逐步取消与金融业的进一步开放,银行需尽快完善存款定价机制,防范利率风险。
The opening period of China's deposit interest rate liberalization witness the rapid transformation of banks' operation structure.It is of great practical significance to study the effect of banks' operation structure on deposit rate.By using data from 105 banks in China from 2011 to 2017, this paper verifies the relationship between bank operation structure and deposit interest rate.First, two types of non-interest income have opposite effects on deposit interest rate.Fee and commission income reduce deposit interest rate, while other operating income increase deposit interest rate.Second, the higher the ratio of bank deposits to liabilities, the higher the interest rate on deposits, and this effect is more evident in city commercial banks and rural commercial banks.Third, non-interest income and deposit liability have interaction.Fee and commission income and deposit liabilities mutually mitigate the effect of adjusting deposit interest rate, while other operating income and deposit liabilities aggravate the effect of adjusting deposit interest rate.Finally, the bigger the shadow banking, the higher the deposit interest rate, but this effect is weakened by the expansion of fee and commission income.With the gradual cancellation of dual-track interest rate system and further opening of financial industry, banks need to improve the deposit pricing mechanism as soon as possible and guard against interest rate risk.
The opening period of China's deposit interest rate liberalization witness the rapid transformation of banks' operation structure.It is of great practical significance to study the effect of banks' operation structure on deposit rate.By using data from 105 banks in China from 2011 to 2017, this paper verifies the relationship between bank operation structure and deposit interest rate.First, two types of non-interest income have opposite effects on deposit interest rate.Fee and commission income reduce deposit interest rate, while other operating income increase deposit interest rate.Second, the higher the ratio of bank deposits to liabilities, the higher the interest rate on deposits, and this effect is more evident in city commercial banks and rural commercial banks.Third, non-interest income and deposit liability have interaction.Fee and commission income and deposit liabilities mutually mitigate the effect of adjusting deposit interest rate, while other operating income and deposit liabilities aggravate the effect of adjusting deposit interest rate.Finally, the bigger the shadow banking, the higher the deposit interest rate, but this effect is weakened by the expansion of fee and commission income.With the gradual cancellation of dual-track interest rate system and further opening of financial industry, banks need to improve the deposit pricing mechanism as soon as possible and guard against interest rate risk.
引文
陈彬,2016:《利率完全市场化背景下银行存款定价影响因素研究——基于92家样本银行的数据分析》,《新金融》第4期。
郭晔、赵静,2017:《存款竞争、影子银行与银行系统风险——基于中国上市银行微观数据的实证研究》,《金融研究》第6期。
何东、王红林,2011:《利率双轨制与中国货币政策实施》,《金融研究》第12期。
李宏瑾,2015:《利率市场化对商业银行的挑战及应对》,《国际金融研究》第2期。
刘莉亚、李明辉、孙莎、杨金强,2014:《中国银行业净息差与非利息收入的关系研究》,《经济研究》第7期。
刘明康、黄嘉、陆军,2018:《银行利率决定与内部资金转移定价——来自中国利率市场化改革的经验》,《经济研究》第6期。
马骏、纪敏等,2016:《新货币政策框架下的利率传导机制》,北京:中国金融出版社。
马骏、施康、王红林、王立升,2016:《利率传导机制的动态研究》,《金融研究》第1期。
涂晓枫、李政,2016:《银行的影子:风险分担还是风险传染》,《当代经济科学》第2期。
万晓莉、郑棣、郑建华、严予若,2016:《中国影子银行监管套利演变路径及动因研究》,《经济学家》第8期。
王瑞雪、张桥云,2016:《商业银行盈利模式分化——基于我国上市银行的实证分析》,《经济学家》第2期。
吴晓灵,2013:《金融市场化改革中的商业银行资产负债管理》,《金融研究》第12期。
阎庆民、李建华,2014:《中国影子银行监管研究》,北京:中国人民大学出版社。
杨飞,2016:《存款利率上限、金融脱媒与货币政策传导》,《财经研究》第1期。
于建忠、刘海飞、宋素荣,2016:《中国影子银行的行为模型》,《金融研究》第2期。
张桥云、王宁,2013:《我国商业银行存款利率浮动幅度影响因素实证研究——基于全国124家银行的数据》,《国际金融研究》第5期。
张羽、李黎,2010:《非利息收入有利于降低银行风险吗?——基于中国银行业的数据》,《南开经济研究》第4期。
郑荣年、牛慕鸿,2007:《中国银行业非利息业务与银行特征关系研究》,《金融研究》第9期。
周开国、李琳,2011:《中国商业银行收入结构多元化对银行风险的影响》,《国际金融研究》第5期。
祝继高、胡诗阳、陆正飞,2016:《商业银行从事影子银行业务的影响因素与经济后果——基于影子银行体系资金融出方的实证研究》,《金融研究》第1期。
Berger,A.N.,and T.H.Hannan,1989,“The Price-concentration Relationship in Banking”,The Review of Economics and Statistics,71(2):291-299.
Boyd,J.H.,and M.Gerlter,1994,“Are Banks Dead?Or Are the Reports are Greatly Exaggerated?”,Proceedings,18(4):85-117.
Brewer,E.,and W.E.Jackson,2006,“A Note on the ‘Risk-adjusted’ Price-concentration Relationship in Banking”,Journal of Banking and Finance,30(3):1041-1054.
Calomiris,C.W.,and C.M.Kahn,1991,“The Role of Demandable Debt in Structuring Optimal Banking Arrangements”,Amercian Economic Review,81(3):497-513.
Demirgü?-Kunt,A.,and E.Detragiache,1998,“Financial Liberalization and Financial Fragility”,Word Bank Policy Research Working Paper No.1917.
Demirgü?-Kunt,A.,and H.Huizinga,2010,“Bank Activity and Funding Strategies:The Impact on Risk and Returns”,Journal of Financial Economics,98(3):626-650.
DeYoung,R.,and G.Torna,2013,“Nontraditional Banking Activities and Bank Failures During the Financial Crisis”,Journal of Financial Intermediation,22(3):397-421.
DeYoung,R.,and K.P.Roland,2001,“Product Mix and Earnings Volatility at Commercial Banks:Evidence from A Degree of Total Leverage Model”,Journal of Financial Intermediation,10(1):54-84.
Diebold,F.X.,and S.Sharpe,1990,“Post-deregulation Bank-deposit-rate Pricing:The Multivariate Dynamics”,Journal of Business and Economic Statistics,8(3):281-291.
Gerlach,J.R.,N.Mora,and P.Uysal,2018,“Bank Funding Costs in a Rising Interest Rate Environment”,Journal of Banking and Finance,87(9):164-186.
Hachem,K.C.,and Z.M.Song,2016,“Liquidity Regulation and Unintended Financial Transformation in China”,NBER Working Paper No.21880.
Heitfield,E.A.,and R.A.Prager,2004,“The Geographic Scope of Retail Deposit Markets”,Journal of Financial Services Research,25(1):37-55.
Keeley,M.C.,1990,“Deposit Insurance,Risk,and Market Power in Banking”,American Economic Review,80(5):1183-1200.
Laeven,L.,and R.Levine,2007,“Is There a Diversification Discount in Financial Conglomerates?”,Journal of Financial Economics,85(2):331-367.
Lepetit,L.,E.Nys,P.Rous,and P.A.Tarazi,2008,“Bank Income Structure and Risk:An Emperical Analysis of European Banks”,Journal of Banking and Finance,32(8):1452-1467.
Lu,Y.,H.Guo,E.H.Kao,and H.G.Fung,2015,“Shadow Banking and Firm Financing in China”,International Review of Economics and Finance,36(2):50-53.
Matutes,C.,and X.Vives,1996,“Competition for Deposits,Fragility,and Insurance”,Journal of Financial Intermediation,5(2):184-216.
Park,K.,and G.Pennacchi,2009,“Harming Depositors and Helping Borrowers:The Disparate Impact of Bank Consolidation?”,Review of Financial Studies,22 (1):1-40.
Radecki,L.J.,1998,“The Expanding Geographic Reach of Retail Banking Markets”,FRBNY Economic Policy Review 4(June):15-34.
Rogers,K.,and J.F.Sinkey,1999,“An Analysis of Non-traditional Activities at US Commercial Banks”,Review of Financial Economics,8(1):25-39.
Rosen,R.J.,2002,“What Goes up Must Come down?Asymmetries and Persistence in Bank Deposit Rates”,Journal of Financial Services Research,2007,21(3):173-193.
Song,F.,and A.V.Thakor,2007,“Relationship Banking,Fragility,and the Asset-liability Matching Problem”,Review of Financial Studies,20(6):2129-2177.
Valverde,S.,and F.Fernández,2007,“The Determinants of Bank Margins in European Banking”,Journal of Banking and Finance,31(7):2043-2063.
Van Leuvensteijn,M.,C.K.Sorensebn,and J.A.Bikker,2013,“Impact of Bank Competition on the Interest Pass-through in The Euro Area”,Applied Economic,45(11):1359-1380.
Von Borstel,J.,S.Eickmeier,and L.Krippner,2016,“The Interest Rate Pass-Through in the Euro Area During the Sovereign Debt Crisis”,Journal of International Money and Finance,68(11):386-402.
Weth,M.A.,2002,“The Pass-through from Market Interest Rates to Bank Lending Rates in Germany”,Economic Research Center of the Deutsche Bundesbank Discussion Paper No.11.
① 2004年10月29日,央行宣布取消人民币存款利率浮动下限,但并未出现商业银行下调挂牌存款利率的情形。因此,本文认为中国实质存款利率市场化始于2012年6月8日浮动上限管制的放松。
② Monti-Klein模型、Salop模型和Ho & Saunders模型是研究银行存贷款定价的基准模型,后续模型多在这三类模型基础上发展演变而来。
① Demirguc-Kunt & Huizinga(2010)的样本包括了101个国家1 334家银行,2007年非利息净收入的均值为0.38。
② 为与本期变量区分,一期滞后变量前均使用L.加以区分。
① 限于篇幅,所有稳健性检验结果未提供,需要者可向笔者索取。
② 这5种存款产品分别是活期存款、3个月定期存款、2年期定期存款和3年期定期存款。
(1)常见非存款负债包括银行债券、大额存单(CDs)、银行间同业拆借等。
(2)这12种存款利率产品是活期存款,整存整取3个月,整存整取6个月,整存整取1年期,整存整取2年期,整存整取3年期,整存整取5年期,零存整取、整存零取、存本取息1年期,零存整取、整存零取、存本取息3年期,零存整取、整存零取、存本取息5年期,通知存款1天和通知存款7天。2014年11月22日,中国人民银行调整存款基准利率时不再公布整存整取5年期和零存整取、整存零取、存本取息5年期的基准利率,部分商业银行也不再设定这两种产品,故后6次基准利率调整以及第二阶段银行存款利率调整时笔者只收集了10种存款产品的挂牌利率。
(3)此处1年期存款利率即整存整取1年期存款利率。
(4)n=0表示上年最后一次存款利率调整,但在本年初仍继续执行。
(5)使用存款利息支出/存款总额作为被解释变量时,解释变量系数均不显著。这主要与样本观测值个数较少有关(仅有239个),且减少的观测值均为规模较小的城商行、农商行,样本代表性下降,进而减弱解释变量的显著性,进一步研究中笔者不再使用该被解释变量。同理,列(9)中解释变量系数也不显著。
郭晔、赵静,2017:《存款竞争、影子银行与银行系统风险——基于中国上市银行微观数据的实证研究》,《金融研究》第6期。
何东、王红林,2011:《利率双轨制与中国货币政策实施》,《金融研究》第12期。
李宏瑾,2015:《利率市场化对商业银行的挑战及应对》,《国际金融研究》第2期。
刘莉亚、李明辉、孙莎、杨金强,2014:《中国银行业净息差与非利息收入的关系研究》,《经济研究》第7期。
刘明康、黄嘉、陆军,2018:《银行利率决定与内部资金转移定价——来自中国利率市场化改革的经验》,《经济研究》第6期。
马骏、纪敏等,2016:《新货币政策框架下的利率传导机制》,北京:中国金融出版社。
马骏、施康、王红林、王立升,2016:《利率传导机制的动态研究》,《金融研究》第1期。
涂晓枫、李政,2016:《银行的影子:风险分担还是风险传染》,《当代经济科学》第2期。
万晓莉、郑棣、郑建华、严予若,2016:《中国影子银行监管套利演变路径及动因研究》,《经济学家》第8期。
王瑞雪、张桥云,2016:《商业银行盈利模式分化——基于我国上市银行的实证分析》,《经济学家》第2期。
吴晓灵,2013:《金融市场化改革中的商业银行资产负债管理》,《金融研究》第12期。
阎庆民、李建华,2014:《中国影子银行监管研究》,北京:中国人民大学出版社。
杨飞,2016:《存款利率上限、金融脱媒与货币政策传导》,《财经研究》第1期。
于建忠、刘海飞、宋素荣,2016:《中国影子银行的行为模型》,《金融研究》第2期。
张桥云、王宁,2013:《我国商业银行存款利率浮动幅度影响因素实证研究——基于全国124家银行的数据》,《国际金融研究》第5期。
张羽、李黎,2010:《非利息收入有利于降低银行风险吗?——基于中国银行业的数据》,《南开经济研究》第4期。
郑荣年、牛慕鸿,2007:《中国银行业非利息业务与银行特征关系研究》,《金融研究》第9期。
周开国、李琳,2011:《中国商业银行收入结构多元化对银行风险的影响》,《国际金融研究》第5期。
祝继高、胡诗阳、陆正飞,2016:《商业银行从事影子银行业务的影响因素与经济后果——基于影子银行体系资金融出方的实证研究》,《金融研究》第1期。
Berger,A.N.,and T.H.Hannan,1989,“The Price-concentration Relationship in Banking”,The Review of Economics and Statistics,71(2):291-299.
Boyd,J.H.,and M.Gerlter,1994,“Are Banks Dead?Or Are the Reports are Greatly Exaggerated?”,Proceedings,18(4):85-117.
Brewer,E.,and W.E.Jackson,2006,“A Note on the ‘Risk-adjusted’ Price-concentration Relationship in Banking”,Journal of Banking and Finance,30(3):1041-1054.
Calomiris,C.W.,and C.M.Kahn,1991,“The Role of Demandable Debt in Structuring Optimal Banking Arrangements”,Amercian Economic Review,81(3):497-513.
Demirgü?-Kunt,A.,and E.Detragiache,1998,“Financial Liberalization and Financial Fragility”,Word Bank Policy Research Working Paper No.1917.
Demirgü?-Kunt,A.,and H.Huizinga,2010,“Bank Activity and Funding Strategies:The Impact on Risk and Returns”,Journal of Financial Economics,98(3):626-650.
DeYoung,R.,and G.Torna,2013,“Nontraditional Banking Activities and Bank Failures During the Financial Crisis”,Journal of Financial Intermediation,22(3):397-421.
DeYoung,R.,and K.P.Roland,2001,“Product Mix and Earnings Volatility at Commercial Banks:Evidence from A Degree of Total Leverage Model”,Journal of Financial Intermediation,10(1):54-84.
Diebold,F.X.,and S.Sharpe,1990,“Post-deregulation Bank-deposit-rate Pricing:The Multivariate Dynamics”,Journal of Business and Economic Statistics,8(3):281-291.
Gerlach,J.R.,N.Mora,and P.Uysal,2018,“Bank Funding Costs in a Rising Interest Rate Environment”,Journal of Banking and Finance,87(9):164-186.
Hachem,K.C.,and Z.M.Song,2016,“Liquidity Regulation and Unintended Financial Transformation in China”,NBER Working Paper No.21880.
Heitfield,E.A.,and R.A.Prager,2004,“The Geographic Scope of Retail Deposit Markets”,Journal of Financial Services Research,25(1):37-55.
Keeley,M.C.,1990,“Deposit Insurance,Risk,and Market Power in Banking”,American Economic Review,80(5):1183-1200.
Laeven,L.,and R.Levine,2007,“Is There a Diversification Discount in Financial Conglomerates?”,Journal of Financial Economics,85(2):331-367.
Lepetit,L.,E.Nys,P.Rous,and P.A.Tarazi,2008,“Bank Income Structure and Risk:An Emperical Analysis of European Banks”,Journal of Banking and Finance,32(8):1452-1467.
Lu,Y.,H.Guo,E.H.Kao,and H.G.Fung,2015,“Shadow Banking and Firm Financing in China”,International Review of Economics and Finance,36(2):50-53.
Matutes,C.,and X.Vives,1996,“Competition for Deposits,Fragility,and Insurance”,Journal of Financial Intermediation,5(2):184-216.
Park,K.,and G.Pennacchi,2009,“Harming Depositors and Helping Borrowers:The Disparate Impact of Bank Consolidation?”,Review of Financial Studies,22 (1):1-40.
Radecki,L.J.,1998,“The Expanding Geographic Reach of Retail Banking Markets”,FRBNY Economic Policy Review 4(June):15-34.
Rogers,K.,and J.F.Sinkey,1999,“An Analysis of Non-traditional Activities at US Commercial Banks”,Review of Financial Economics,8(1):25-39.
Rosen,R.J.,2002,“What Goes up Must Come down?Asymmetries and Persistence in Bank Deposit Rates”,Journal of Financial Services Research,2007,21(3):173-193.
Song,F.,and A.V.Thakor,2007,“Relationship Banking,Fragility,and the Asset-liability Matching Problem”,Review of Financial Studies,20(6):2129-2177.
Valverde,S.,and F.Fernández,2007,“The Determinants of Bank Margins in European Banking”,Journal of Banking and Finance,31(7):2043-2063.
Van Leuvensteijn,M.,C.K.Sorensebn,and J.A.Bikker,2013,“Impact of Bank Competition on the Interest Pass-through in The Euro Area”,Applied Economic,45(11):1359-1380.
Von Borstel,J.,S.Eickmeier,and L.Krippner,2016,“The Interest Rate Pass-Through in the Euro Area During the Sovereign Debt Crisis”,Journal of International Money and Finance,68(11):386-402.
Weth,M.A.,2002,“The Pass-through from Market Interest Rates to Bank Lending Rates in Germany”,Economic Research Center of the Deutsche Bundesbank Discussion Paper No.11.
① 2004年10月29日,央行宣布取消人民币存款利率浮动下限,但并未出现商业银行下调挂牌存款利率的情形。因此,本文认为中国实质存款利率市场化始于2012年6月8日浮动上限管制的放松。
② Monti-Klein模型、Salop模型和Ho & Saunders模型是研究银行存贷款定价的基准模型,后续模型多在这三类模型基础上发展演变而来。
① Demirguc-Kunt & Huizinga(2010)的样本包括了101个国家1 334家银行,2007年非利息净收入的均值为0.38。
② 为与本期变量区分,一期滞后变量前均使用L.加以区分。
① 限于篇幅,所有稳健性检验结果未提供,需要者可向笔者索取。
② 这5种存款产品分别是活期存款、3个月定期存款、2年期定期存款和3年期定期存款。
(1)常见非存款负债包括银行债券、大额存单(CDs)、银行间同业拆借等。
(2)这12种存款利率产品是活期存款,整存整取3个月,整存整取6个月,整存整取1年期,整存整取2年期,整存整取3年期,整存整取5年期,零存整取、整存零取、存本取息1年期,零存整取、整存零取、存本取息3年期,零存整取、整存零取、存本取息5年期,通知存款1天和通知存款7天。2014年11月22日,中国人民银行调整存款基准利率时不再公布整存整取5年期和零存整取、整存零取、存本取息5年期的基准利率,部分商业银行也不再设定这两种产品,故后6次基准利率调整以及第二阶段银行存款利率调整时笔者只收集了10种存款产品的挂牌利率。
(3)此处1年期存款利率即整存整取1年期存款利率。
(4)n=0表示上年最后一次存款利率调整,但在本年初仍继续执行。
(5)使用存款利息支出/存款总额作为被解释变量时,解释变量系数均不显著。这主要与样本观测值个数较少有关(仅有239个),且减少的观测值均为规模较小的城商行、农商行,样本代表性下降,进而减弱解释变量的显著性,进一步研究中笔者不再使用该被解释变量。同理,列(9)中解释变量系数也不显著。