银行业转型背景下的货币政策与金融监管协调
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摘要
通过引入两阶段、超效率SBM模型分析框架,分别测度了银行传统经营模式和创新型经营模式下的经营超效率并进行比较,同时基于Tobit多元回归模型分析不同经营模式下银行效率的影响因素,重点是货币政策与金融监管的双重约束对其经营效率的影响机制。研究发现,实行宽松的货币政策和严格的金融监管对银行提升传统经营模式下的效率具有积极影响;但在创新型经营模式下,该积极影响及其敏感性有所减弱。因此,面对新型商业银行经营模式,有必要改进监管指标,配合货币政策防范系统性金融风险。
By introducing a two-stage model using a slacks-based measure of super efficiency,this study examines and compares the super efficiency of individual banks that exhibit either traditional or innovative business models. Next,this study adopts a Tobit regression model to analyze the influence of business models on their efficiency,with an additional focus on the dual effect of monetary policy and financial regulation. The results show that implementing loose monetary policy and strict financial regulations has a positive effect by enhancing the efficiency of banks with traditional business models. However,when banks use innovative business models,the positive effect and its sensitivity tends to weaken. Therefore,when developing new business models for commercial banks,it is necessary to improve the regulatory indicator system and implement suitable monetary policies to prevent systemic financial risk.
By introducing a two-stage model using a slacks-based measure of super efficiency,this study examines and compares the super efficiency of individual banks that exhibit either traditional or innovative business models. Next,this study adopts a Tobit regression model to analyze the influence of business models on their efficiency,with an additional focus on the dual effect of monetary policy and financial regulation. The results show that implementing loose monetary policy and strict financial regulations has a positive effect by enhancing the efficiency of banks with traditional business models. However,when banks use innovative business models,the positive effect and its sensitivity tends to weaken. Therefore,when developing new business models for commercial banks,it is necessary to improve the regulatory indicator system and implement suitable monetary policies to prevent systemic financial risk.
引文
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[2]Meltzer A H.,1995.Monetary,Credit and(Other)Transmission Processes:A Monetarist Perspective.Journal of Economic Perspectives,Vol.9,No.4:49-72.
[3]蒋瑛琨,刘艳武,赵振全.货币渠道与信贷渠道传导机制有效性的实证分析——兼论货币政策中介目标的选择[J].金融研究,2005(5).
[4]吴培新.我国宏观调控中的货币供应量和信贷规模[J].经济学动态,2008(8).
[5]Bernanke B S,Blinder A S.,1992.The Federal Funds Rate and the Channels of Monetary Transmission.American Economic Review,Vol.82,No.4:901-921.
[6]盛松成.一个全面反映金融与经济关系的总量指标——写在社会融资规模指标建立三周年之际[J].中国金融,2013(22).
[7]Berger,A.N.,and Patti,E.B.D.,2006.Capital Structure and Firm Performance:A New Approach to Testing Agency Theory and an Application to the Banking Industry.Journal of Banking&Finance,Vol.30,No.4:1065-1102.
[8]Pasiouras F,Tanna S,Zopounidis C.,2009.The Impact of Banking Regulations on Banks'Cost and Profit Efficiency:Cross-country Evidence.International Review of Financial Analysis,Vol.18,No.5:294-302.
[9]Barth J R,Jr G C,Levine R.,2004.Bank Regulation and Supervision:What Works Best?Journal of Financial Intermediation,Vol.13,No.2:205-248.
[10]Vanhoose D.,2007.Theories of Bank Behavior under Capital Regulation.Journal of Banking&Finance,Vol.31,No.12:3680-3697.
[11]黄国平.监管资本、经济资本及监管套利——妥协与对抗中演进的巴塞尔协议[J].经济学季刊,2014(13).
[12]Dietrich A,Hess K,Wanzenried G.,2014.The Good and Bad News About the New Liquidity Rules of BaselⅢin Western European Countries.Journal of Banking&Finance,Vol.44,No.6:13-25.
[13]隋洋,白雨石.中资银行应对流动性监管最新要求的策略研究[J].国际金融研究,2015(1).
[14]巴曙松,王月香.金融去杠杆的缘起与走向[N].上海证券报,2017-04-19(012).
[15]易会满.重构银行资产负债表[J].中国金融,2017(1).
[16]Boucinha,M.,Ribeiro,N.,and Weyman-Jones,T.,2013.An Assessment of Portuguese Banks’Efficiency and Productivity towards Euro Area Participation.Journal of Productivity Analysis,Vol.39,No.2:177-190.
[17]Thilo Pausch.,2013.Risk Sensitivity of Banks,Interbank Markets and the Effects of Liquidity Regulation.Ssrn Electronic Journal,Vol.12,No.1:685.
[18]李成,杨礼,高智贤.利率市场化对商业银行风险承担的影响研究——基于非平衡面板数据的实证分析[J].金融经济学研究,2015(5).
[19]Ariff,M.,and Can,L.,2008.Cost and Profit Efficiency of Chinese Banks:A Non-parametric Analysis.China Economic Review,Vol.19,No.2:260-273.
[20]赵永乐,王均坦.商业银行效率、影响因素及其能力模型的解释结果[J].金融研究,2008(3).
[21]傅强,魏琪,林荫华.审慎性监管与银行效率:来自中国银行业的经验证据[J].管理工程学报,2016(2).
[22]胡海峰,武鹏.银行业效率究竟由什么因素决定?——基于世界跨国经济数据的实证检验[J].北京社会科学,2016(1).
[23]Seiford,L.M.,and Zhu,J.,1999.Profitability and Marketability of the Top 55 U.S.Commercial Banks.Management Science,Vol.45,No.9:1270-1288.
[24]Staub,R.B.,Souza,G.D.S.E.,and Tabak,B.M.,2010.Evolution of Bank Efficiency in Brazil:a DEA Approach.European Journal of Operational Research,Vol.202,No.1:204-213.
(1)这种划分方式是基于商业银行的资产负债视角。
(1)根据Charnes经验法则,样本数Y与投入产出指标个数间应满足关系:YMax{2(M+N),M*N}。本文商业银行经营效率评价的第一、第二阶段均符合该经验法则。
(1)囿于篇幅,模型约束条件此处省略。
(1)囿于篇幅,稳健性检验结果此处省略。
[2]Meltzer A H.,1995.Monetary,Credit and(Other)Transmission Processes:A Monetarist Perspective.Journal of Economic Perspectives,Vol.9,No.4:49-72.
[3]蒋瑛琨,刘艳武,赵振全.货币渠道与信贷渠道传导机制有效性的实证分析——兼论货币政策中介目标的选择[J].金融研究,2005(5).
[4]吴培新.我国宏观调控中的货币供应量和信贷规模[J].经济学动态,2008(8).
[5]Bernanke B S,Blinder A S.,1992.The Federal Funds Rate and the Channels of Monetary Transmission.American Economic Review,Vol.82,No.4:901-921.
[6]盛松成.一个全面反映金融与经济关系的总量指标——写在社会融资规模指标建立三周年之际[J].中国金融,2013(22).
[7]Berger,A.N.,and Patti,E.B.D.,2006.Capital Structure and Firm Performance:A New Approach to Testing Agency Theory and an Application to the Banking Industry.Journal of Banking&Finance,Vol.30,No.4:1065-1102.
[8]Pasiouras F,Tanna S,Zopounidis C.,2009.The Impact of Banking Regulations on Banks'Cost and Profit Efficiency:Cross-country Evidence.International Review of Financial Analysis,Vol.18,No.5:294-302.
[9]Barth J R,Jr G C,Levine R.,2004.Bank Regulation and Supervision:What Works Best?Journal of Financial Intermediation,Vol.13,No.2:205-248.
[10]Vanhoose D.,2007.Theories of Bank Behavior under Capital Regulation.Journal of Banking&Finance,Vol.31,No.12:3680-3697.
[11]黄国平.监管资本、经济资本及监管套利——妥协与对抗中演进的巴塞尔协议[J].经济学季刊,2014(13).
[12]Dietrich A,Hess K,Wanzenried G.,2014.The Good and Bad News About the New Liquidity Rules of BaselⅢin Western European Countries.Journal of Banking&Finance,Vol.44,No.6:13-25.
[13]隋洋,白雨石.中资银行应对流动性监管最新要求的策略研究[J].国际金融研究,2015(1).
[14]巴曙松,王月香.金融去杠杆的缘起与走向[N].上海证券报,2017-04-19(012).
[15]易会满.重构银行资产负债表[J].中国金融,2017(1).
[16]Boucinha,M.,Ribeiro,N.,and Weyman-Jones,T.,2013.An Assessment of Portuguese Banks’Efficiency and Productivity towards Euro Area Participation.Journal of Productivity Analysis,Vol.39,No.2:177-190.
[17]Thilo Pausch.,2013.Risk Sensitivity of Banks,Interbank Markets and the Effects of Liquidity Regulation.Ssrn Electronic Journal,Vol.12,No.1:685.
[18]李成,杨礼,高智贤.利率市场化对商业银行风险承担的影响研究——基于非平衡面板数据的实证分析[J].金融经济学研究,2015(5).
[19]Ariff,M.,and Can,L.,2008.Cost and Profit Efficiency of Chinese Banks:A Non-parametric Analysis.China Economic Review,Vol.19,No.2:260-273.
[20]赵永乐,王均坦.商业银行效率、影响因素及其能力模型的解释结果[J].金融研究,2008(3).
[21]傅强,魏琪,林荫华.审慎性监管与银行效率:来自中国银行业的经验证据[J].管理工程学报,2016(2).
[22]胡海峰,武鹏.银行业效率究竟由什么因素决定?——基于世界跨国经济数据的实证检验[J].北京社会科学,2016(1).
[23]Seiford,L.M.,and Zhu,J.,1999.Profitability and Marketability of the Top 55 U.S.Commercial Banks.Management Science,Vol.45,No.9:1270-1288.
[24]Staub,R.B.,Souza,G.D.S.E.,and Tabak,B.M.,2010.Evolution of Bank Efficiency in Brazil:a DEA Approach.European Journal of Operational Research,Vol.202,No.1:204-213.
(1)这种划分方式是基于商业银行的资产负债视角。
(1)根据Charnes经验法则,样本数Y与投入产出指标个数间应满足关系:YMax{2(M+N),M*N}。本文商业银行经营效率评价的第一、第二阶段均符合该经验法则。
(1)囿于篇幅,模型约束条件此处省略。
(1)囿于篇幅,稳健性检验结果此处省略。