商业银行混业战略与系统性风险的实证分析

An Empirical Analysis of the Commercial Banking Integration Strategy Impact on Systematic Risk

运用两因子模型下的滚动回归方法,从商业银行自身的微观层面出发,对商业银行混业经营战略对系统性风险的影响进行了分析研究。实证结果表明银行非利息收入比重的增加会增加市场系统的风险;非利息收入中的手续费和佣金收入对于市场系统性风险表现出显著的负相关关系,而交易收入则表现出了与市场系统性风险显著的正相关关系;利率风险的模型中没有得到明显的结果。

This dissertation mainly studied the impact of Commercial Banking Integration strategy on systematic risk.Rolling regression based on the 2 factors model was used to explore this impact from the micro level of commercial banking.The conclusion is that Banking Integration strategy has increased the market systematic risk from the total perspective.While commission and fee activities have negative correlation with systematic risk and trading activities have positive correlation with systematic risk.No significant result is got from the interest systematic risk.