中国上市银行同业业务扩张与银行风险--基于2007-2013年季度数据的实证分析

Expansion of Interbank Business and the Risk in Chinese Listed Bank:the Empirical Analysis Based on Quarterly data for 2007-2013

针对近年商业银行同业业务迅速发展的现实背景,本文对上市银行同业业务与银行风险的关系进行分析。本文首先利用统计分析,对上市银行同业资产规模与贷款资产规模进行比较,结果显示同业资产近年来的发展是以贷款资源为成本的,并且中小上市银行同业资产发展相对激进。买入返售金融资产的蓬勃兴起,说明同业业务不再仅仅行使银行间调节头寸流动性的职能。根据统计分析结果,本文推理同业业务兴起的原因是出于盈利和规避监管的需要,从而增加了银行风险。接下来本文通过构造违约概率模型,得出同业业务波动容易造成银行间市场的传染性风险,最后本文运用计量分析,得出同业资产的上升加剧了银行的经营风险,其中股份制银行影响更明显。

In recent years, the growth rate of the interbank business is very high. This paper analyzed the relationship of the inter bank business and bank＇ s risk. Firstly, the scale of the interbank business and the scale of the loan are compared. The increase of the interbank assets is at the cost of the decrease of the loan. The increase rate of the interbank assets is higher in small listed banks. The arising of the financial assets purchased under resale agreements signals that the interbank business is no longer just the liquidity tool, and it is used to make profit and avoid the supervision, which increased the bank risk. By constructing a default probability model, this paper concluded the fluctuations in interbank business increase the contagious risk in banks. At last, this paper found that the rise of interbank assets intensifies the risk of banks, especially for the joint-stock banks.