银行利差与表外业务的内生性研究——基于中国上市商业银行2008-2013年的实证分析

Endogeneity between Net Interest Margin and Intermediary Business——Based on 16 Chinese Listed Commercial Banks during 2008-2013

本文运用中国16家上市商业银行2008-2013年的数据,通过联立方程组模型以及内生转换模型探讨去除商业银行存贷业务与表外业务的内生性影响。结果发现,净息差与表外业务的关系与传统理论吻合,为负相关。联立方程组模型并不能挖掘出导致样本发生选择性偏误的内生因素,而内生转换模型通过将表外业务的发达程度分为高、低两个体制,Ho-Saunders的净息差定价方程在高体制中更显著,并要求更小的风险回报,说明商业银行通过表外业务的扩展,不仅平滑了利润,而且对冲净息差定价中的非系统性风险。但是不同性质的商业银行在运营抉择时所产生的样本自选择性偏误对净息差定价方程的影响不一。

Based on the panel data of 16 Chinese listed commercial banks from 2008 to 2013, this paper empirically tests the endogeneity between net interest margin （NIM） and off-balance sheet activities by using simultaneous equation models and endogenous switching model. The results are as followed： by eliminating the endogeneity, the NIM is properly priced. Moreover, simultaneous equation model can not dig out the factors which cause sample-selection bias, while the endogenous switching model shows that in the high diversity regime, NIM is more significantly regressed and less sensitive to risk factors, which means off-balance sheet activities speed up the banks＇ diversification, thus reducing the idiosyncratic risk of the NIM＇ s pricing model. But the sample-selection bias caused by the decision made by commercial banks, affect the NIM pricing equation differently.