摘要
本文通过构建随机前沿理论模型、固定效应稳健性回归检验及动态因子脉冲响应分析说明:利率市场化在一定程度上能引起银行财务困境,但是其影响并没有达到人们预期程度,并且小于其他公司特征变量及关键宏观因子的影响程度;同时在一定程度上利率市场化可以通过增加银行财务困境直接或间接地引致银行违约风险的增加,进而激化银行非系统风险,但是其影响远小于银行规模、经济增长和信贷总量波动的影响。
Our empirical studies reveal： to some extent, interest rate marketization can cause bank financial distress in sample pe- riod, But its influence does not meet the expected degree, and less than the influence of other firm-level characteristic variable and key macro factors. At the same time, interest rate marketization which increases bank financial distress directly or indirect- ly causes the default risk and intensifies internal idiosyncratic risk in a certain extent, but its influence is far less than the flue- tuation which bank scale, economic growth and the influence of credit amount bring about.
出处
《投资研究》
北大核心
2013年第12期102-118,共17页
Review of Investment Studies
基金
西南财经大学中央高校基本科研业务费专项资金(JBK1207038)资助
关键词
利率
非系统风险
商业银行
随机前沿
Interest rate
Non-Systematic risk
Commercial bank
Stahastic frontier
