市场化进程与商业银行风险——基于中国商业银行微观数据的实证研究

Marketization and Risk-taking of Commercial Bank:Evidence from Chinese Commercial Banks

本文基于中国2000—2010年123家商业银行的非平衡面板数据研究了中国市场化进程对商业银行风险的影响。本文发现，市场化程度的提高会增大商业银行风险。本文研究了市场化对商业银行风险构成因素的影响，发现市场化提高了银行资产收益率水平，降低了资产收益率的波动，但也使银行资本充足率下降。在对资本充足率的进一步研究中，本文发现资本充足率降低的原因是市场化过程中银行风险资产增加。本文还发现金融业市场化会降低资本充足率，同样是由于风险资产的增加，但对银行风险没有显著影响。此外，本文还发现存贷比和手续费收入占比的提高都会使银行风险加大，作用途径是降低资本充足率和增大业绩波动。而市场化过程中政府与市场的关系、产品市场的发育程度、市场中介和法律制度环境等外部因素对银行风险有非常显著地影响。因此，银行风险的管理和银行体系的改革是涉及经济体系多个层面的系统工程。

Using unbalance panel data of 123 banks from year 2000 to 2010, this paper analyzes the impact of marketization on commercial banks risk - taking in China. We find that marketization will lead to the increase of the commercial bank risk taking, and we also study the impact of five factors consisting the market index on bank risk - taking （Z score）. Finally, we study the impact of the market index on components of bank risk - taking, and find the marketization improves the banks＇ return on assets （ ROA）, and reduces the volatility of banks＇ performance and the banks＇ capital adequacy ratio. Furthermore, we find the reason is the increase of risk weighted assets. We also find the financial competition reduces the banks＇ capital adequacy ratio, and increases the proportion of risk weighted assets. The paper verifies that marketization can increase risk - taking behavior of commercial banks by competition and diversification in financial sector. In addition, the paper finds that marketization can affect risk - taking behavior of commercial banks by government regulation and law system in nonfinancial sector, which is important to the financial reform of China. At last, we also find loan -to - deposit ratio and fee income percent increase bank risk - taking, by lowering capital adequacy ratio and increas- ing the volatility of banks＇ performance.