利率管制与隐含利率的估算——兼论利率市场化对银行业利差之影响

The Interest Rate Regulation and the Estimation of Implicit Interest Rate:Evaluating the Impact of Interest Rate Marketization on Interest Spread

在现有的存款利率管制政策下,我国商业银行"高息揽存"的现象屡禁不止。本文采用Bankscope 2002—2011年中国63家商业银行的面板数据,在同时考虑空间相关和参数异质性的前提下估算了中国银行业的隐含利率水平。结果显示,2002—2011年间,每单位存款隐含利率的均值在1.21%—1.25%,隐含利息支出占法定利息支出的比重为82.88%—85.62%。如果忽略银行之间的空间相关,隐含利率将被低估为0.53%。在现有激励机制、机构效率之下,法定利率每提高1个百分点,隐含利率会下降约0.44个百分点。本文的研究为加快存款利率市场化提供了实证支持。

The deposit interest rate ceiling forces Chinese commercial banks to compete for funds with higher actual interest rate than the official deposit interest rate. Based on the panel data of 63 commercial banks in 2002-2011 from Bankscope, we estimate the implicit interest rate for commercial banks in China, allowing for heterogeneity in coefficients and spatial correlation across banks. Our estimation shows that the mean implicit interest rate is 1.21%-1.25%, about 82.88%-85.62% of the explicit interest rate. It will be underestimated as 0.53% if the spatial correlation is ignored. Our estimation implies that given the current incentive scheme and efficiency of financial institutions, implicit interest will decrease by 0.44 percentage point when official deposit interest rate increases by 1 percentage point. This paper provides empirical support for deposit interest rate liberalization.