基于SFAVAR的银行业风险承担波动的影响因素研究

The Influence Factor Research of Bank Risk-Taking Volatility Based on SFAVAR Model

选择涵盖实体经济、货币政策、市场预期与金融市场等银行外部因素和银行风险承担、流动性、资产规模等银行内部因素的170个经济变量,构建SFAVAR模型来探究这些因素对中国银行业风险承担的跨期动态影响。研究表明,银行业内部因素是中国银行业风险承担在短期波动的主要原因,外部因素则是其在中长期波动的主要推动力;长期来看,实体经济是引起银行风险承担波动的首要因素,银行资产规模和市场预期次之,流动性能有效抵御银行系统性风险;货币政策对银行风险承担波动有一定的解释力,且利率上升对国有银行风险承担的影响最大。

By constructing the SFAVAR model with the factors extracted from a broad dataset, which includes 170 indicators covering the bank＇ s external factor, such as the real economy, monetary policy, market expectation and financial market, and bank＇ s internal factor, such as bank risk - taking, liquidity, asset size, we explore the dynamic implications of these factors on bank risk-taking. Research shows that： First, internal factor is the main reason why bank risk-taking fluctuates in short term, but in long term, external factor is the driving force;second, in the long run, the real economy is the primary factor to cause the fluctuation of bank risk-taking, followed by bank asset size and market expectation, bank liquidity can effectively resist bank＇ s systematic risk, but financial market＇ s effect is negli- gible ; third, monetary policy has certain explanatory power for bank risk - taking fluctuation, and interest rate hike has the largest impact on risk -taking of state -owned commercial banks,followed by the joint-stock banks and the city commercial banks in turn.