隔夜拆借利率与商业银行风险承担实证研究

An Empirical Study of Overnight Interest Rates and Commercial Banks Risks

利用87家中国国内商业银行2004-2012年的年度面板数据,采用GMM动态面板估计方法实证检验银行间隔夜利率对中国商业银行风险承担的影响。实证结果显示:隔夜利率波动幅度越大、越频繁,商业银行的风险承担越明显;隔夜利率对于商业银行风险承担的影响依赖于银行的资本充足率,其对资本充足、盈利能力强的大型银行影响较小;高杠杆并且追求高收益的银行风险承担明显。

Using GMM dynamic panel estimation method, this paper does an empirical test about interbank overnight lending rates impact on Chinese commercial banks, which is based on the annual panel data of 87 Chinese commercial banks from 2004 to 2012. The empirical results show that： the more severely＇and frequently IBOLR fluctuates, the more obvious commercial bank＇s risk exposure is; IBOR influence on commercial banks＇ risk exposure depends on the bank＇s cap- ital adequacy ratio, but it has less impact on the large banks that have strong profitability and adequate capital; the bank which has high leverage and pursuits of higher returns has a more obvious risk exposure.