摘要
深入考察商业银行发展同业业务对银行风险承担水平的影响,以同业净资产/总资产综合衡量同业资产负债业务扩张净效应,基于面板工具变量,运用2SLS回归估计方法,进行实证检验,结果发现:同业净资产占比增加显著提高了商业银行风险承担水平;商业银行风险承担水平随着银行杠杆水平、股权集中度、不良贷款率的提高而增加,但随着资本充足率、资产规模和存贷款占比的提高而降低。“高风险高收益假说”没得到实证检验;上市商业银行发展同业业务的风险承担影响机制:同业业务期限错配和高杠杆运作方式,增加了商业银行总资产收益率波动率,从而降低商业银行单位风险收益和单位风险的资本要求,提高了商业银行的破产风险概率,最终增加了银行风险承担水平。
Considering the endogeneity of interbank expansion,we conduct an empirical analysis based on panel instrumental variable method and discover that:(1) risk taking of bank increases while net interbank asset to total asset ratio growing up;(2) on the one hand,risk taking of bank was promoted by leverage,ownership concentration and non-performance asset ratio,on the other hand,it was demoted by capital adequacy ratio,asset size,ratio of deposit to total liability and loan to total asset.Hypothesis of high risk yields high return was not examined empirically;(3) volatility of total asset return has increased with the development of interbank business,but has no impact on the total asset return and capital demand,namely it has decreased return per risk and capital demand per risk,which resulted in higher probability of bankruptcy of commercial banks.
作者
朱顺泉
赖少钺
ZHU Shun-quan;LAI Shao-yue(School of Finance,Guangdong University of Finance and Economics,Guangzhou 510320,China)
出处
《统计与信息论坛》
CSSCI
北大核心
2019年第6期36-44,共9页
Journal of Statistics and Information
基金
广东省普通高校社会科学重点科研项目《基于大数据与人工智能的量化金融投资策略研究》
