杠杆率监管对我国上市商业银行信用风险的影响——基于动态面板模型的系统GMM估计
|
摘要
基于2007-2016年16家上市商业银行数据,采用动态面板模型的两阶段系统GMM估计方法,检验了我国16家上市商业银行杠杆率对其信用风险的影响。实证结果表明,杠杆率监管有效降低了上市商业银行信用风险的发生,且信用风险的发生具有持续性;商业银行自身特征变量对于信用风险的影响存在差异,16家上市商业银行的成本收入比和拨备覆盖率与其杠杆率负相关,资产规模的增长提升了其信用风险;货币供给的扩张促使上市商业银行信用风险的提升,固定资产投资与16家上市商业银行的信用风险显著正相关,而经济的快速增长是抑制商业银行信用风险扩大的有效途径。
Based on the data of 16 listed commercial banks from 2007 to 2016,this paper adopts the two-stage system GMM estimation of the dynamic panel model to examine the impact of leverage ratios of 16 listed commercial banks in China on their credit risk. The empirical results show that the leverage regulation effectively reduces the occurrence of credit risk in listed commercial banks,and the occurrence of credit risk is continuous. The impact of commercial banks' own characteristic variables on credit risk is different. The ratio of cost to income and provision coverage of 16 listed commercial banks is negatively related to its leverage ratio. The increase in the scale of assets enhances its credit risk; The expansion of the money supply prompted the credit risk of listed commercial banks to increase. The fixed asset investment was significantly positively correlated with the credit risks of 16 listed commercial banks. The rapid economic growth was an effective way to curb the expansion of credit risk of commercial banks.
Based on the data of 16 listed commercial banks from 2007 to 2016,this paper adopts the two-stage system GMM estimation of the dynamic panel model to examine the impact of leverage ratios of 16 listed commercial banks in China on their credit risk. The empirical results show that the leverage regulation effectively reduces the occurrence of credit risk in listed commercial banks,and the occurrence of credit risk is continuous. The impact of commercial banks' own characteristic variables on credit risk is different. The ratio of cost to income and provision coverage of 16 listed commercial banks is negatively related to its leverage ratio. The increase in the scale of assets enhances its credit risk; The expansion of the money supply prompted the credit risk of listed commercial banks to increase. The fixed asset investment was significantly positively correlated with the credit risks of 16 listed commercial banks. The rapid economic growth was an effective way to curb the expansion of credit risk of commercial banks.
引文
[1]巴曙松,朱元倩.巴塞尔资本协议III研究[M].北京:中国金融出版社,2011:78-88.
[2]KOEHN M,SANTOMERO A M. Regulation of bank capital and portfolio risk[J]. Journal of Finance,1980,35(5):1235-1244.
[3]KIEMA I,JOKIVUOLLE E. Leverage ratio requirement and credit allocation under BaselⅢ[R]. Department of Economics Discussion Paper,2010:1-28.
[4]ROBERT J. A leverage ratio rule for capital adequacy[J].Journal of Banking&Finance,2013,37(3):973-976.
[5]FRENKEL M,RUDOLF M. The implications of introducing an additional regulatory constraint on banks'business activities in the form of a leverage ratio[R]. German Banking Association,2010:1-64.
[6]ALLAHRAKHA M,CETINA J,MUNYAN B. Do higher capital standards always reduce bank risk? The impact of the basel leverage ratio on the U. S. Triparty Repo Market[J]. Journal of Financial Intermediation,2018(34):3-16.
[7]袁庆禄.杠杆率监管新规对国内商业银行的影响分析[J].上海金融,2014(1):62-65.
[8]崔婕,沈沛龙.资本充足率与杠杆率双重监管指标体系的构建——基于微观审慎监管框架的研究[J].金融论坛,2013(11):11-20.
[9]靳玉英,贾松波.杠杆率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.
[10]DERMINE J. Basel III leverage ratio requirement and the probability of bank runs[J]. Journal of Banking&Finance,2015(53):266-277.
[11]BARTH A,SECKINGER C. Capital regulation with heterogeneous Banks-unintended consequences of a too strict leverage ratio[J]. Journal of Banking&Finance,2018(88):455-465.
[12]SOROKINA N Y,JR J H T,PATEL A. Why Do Banks Choose to Finance with Equity?[J]. Journal of Financial Stability,2017(30):36-52.
[13]陈梦雯,郭宇冈,PHILIPPE D.《巴塞尔协议Ⅲ》中的杠杆率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]董景文.杠杆率新规对上市商业银行信贷约束的有效性研究[J].南方金融,2014(9):24-27.
[15]赵静,王海杰,卢方元.银行治理视角下资本监管对银行风险承担的影响研究[J].南京社会科学,2017(8):27-35.
[16]汪莉.隐性存保、“顺周期”杠杆与银行风险承担[J].经济研究,2017(10):67-81.
[17]刘信群,刘江涛.杠杆率、流动性与经营绩效——中国上市商业银行2004-2011年面板数据分析[J].国际金融研究,2013(3):88-95.
[18]DELIS M D,KOURETAS G P. Interest rates and bank risk-taking[J]. Journal of Banking&Finance,2011,35(4):840-855.
[19]江曙霞,刘忠璐.资本质量会影响银行贷款行为吗?[J].金融研究,2016(12):63-77.
[20]周再清,甘易,胡月.商业银行同业资产特性与风险承担行为——基于中国银行业动态面板系统GMM的实证分析[J].国际金融研究,2017(7):66-75.
[21]霍源源,李江,冯宗宪.不同股权结构商业银行信用风险分析——基于宏观经济因素视角[J].财贸研究,2016(4):85-94.
(1)16家上市商业银行分别是工行、农行、中行、建行、交行、华夏、民生、光大、中信、招商、平安、浦发、兴业、北京、南京、宁波银行,按照监管部门对我国商业银行的分类,其中前5家银行是大型国有商业银行,北京、南京和宁波银行是城市商业银行,其余8家银行为股份制商业银行,本文为了分析方便,将后11家商业银行统称为股份制及城市商业银行。
[2]KOEHN M,SANTOMERO A M. Regulation of bank capital and portfolio risk[J]. Journal of Finance,1980,35(5):1235-1244.
[3]KIEMA I,JOKIVUOLLE E. Leverage ratio requirement and credit allocation under BaselⅢ[R]. Department of Economics Discussion Paper,2010:1-28.
[4]ROBERT J. A leverage ratio rule for capital adequacy[J].Journal of Banking&Finance,2013,37(3):973-976.
[5]FRENKEL M,RUDOLF M. The implications of introducing an additional regulatory constraint on banks'business activities in the form of a leverage ratio[R]. German Banking Association,2010:1-64.
[6]ALLAHRAKHA M,CETINA J,MUNYAN B. Do higher capital standards always reduce bank risk? The impact of the basel leverage ratio on the U. S. Triparty Repo Market[J]. Journal of Financial Intermediation,2018(34):3-16.
[7]袁庆禄.杠杆率监管新规对国内商业银行的影响分析[J].上海金融,2014(1):62-65.
[8]崔婕,沈沛龙.资本充足率与杠杆率双重监管指标体系的构建——基于微观审慎监管框架的研究[J].金融论坛,2013(11):11-20.
[9]靳玉英,贾松波.杠杆率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.
[10]DERMINE J. Basel III leverage ratio requirement and the probability of bank runs[J]. Journal of Banking&Finance,2015(53):266-277.
[11]BARTH A,SECKINGER C. Capital regulation with heterogeneous Banks-unintended consequences of a too strict leverage ratio[J]. Journal of Banking&Finance,2018(88):455-465.
[12]SOROKINA N Y,JR J H T,PATEL A. Why Do Banks Choose to Finance with Equity?[J]. Journal of Financial Stability,2017(30):36-52.
[13]陈梦雯,郭宇冈,PHILIPPE D.《巴塞尔协议Ⅲ》中的杠杆率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]董景文.杠杆率新规对上市商业银行信贷约束的有效性研究[J].南方金融,2014(9):24-27.
[15]赵静,王海杰,卢方元.银行治理视角下资本监管对银行风险承担的影响研究[J].南京社会科学,2017(8):27-35.
[16]汪莉.隐性存保、“顺周期”杠杆与银行风险承担[J].经济研究,2017(10):67-81.
[17]刘信群,刘江涛.杠杆率、流动性与经营绩效——中国上市商业银行2004-2011年面板数据分析[J].国际金融研究,2013(3):88-95.
[18]DELIS M D,KOURETAS G P. Interest rates and bank risk-taking[J]. Journal of Banking&Finance,2011,35(4):840-855.
[19]江曙霞,刘忠璐.资本质量会影响银行贷款行为吗?[J].金融研究,2016(12):63-77.
[20]周再清,甘易,胡月.商业银行同业资产特性与风险承担行为——基于中国银行业动态面板系统GMM的实证分析[J].国际金融研究,2017(7):66-75.
[21]霍源源,李江,冯宗宪.不同股权结构商业银行信用风险分析——基于宏观经济因素视角[J].财贸研究,2016(4):85-94.
(1)16家上市商业银行分别是工行、农行、中行、建行、交行、华夏、民生、光大、中信、招商、平安、浦发、兴业、北京、南京、宁波银行,按照监管部门对我国商业银行的分类,其中前5家银行是大型国有商业银行,北京、南京和宁波银行是城市商业银行,其余8家银行为股份制商业银行,本文为了分析方便,将后11家商业银行统称为股份制及城市商业银行。