利率市场化与银行风险承担--基于结构冲击的视角

Interest Rate Liberalization and Bank Risk-taking:from the Perspective of Structural Shocks

经济新常态下,利率市场化的加速推进和风险的持续暴露是我国银行业所处环境的两大显著特征。本文采用中国16家上市银行2010年第一季度至2015年第一季度的面板数据,应用随机效应模型,分析了利率市场化对银行风险承担的影响,并从宏观的经济结构、中观的社会融资结构和微观银行资产负债表结构三个层面,对其影响机制进行了分析。研究结果表明:利率市场化会增加银行的风险承担,但随着利率市场化的加速推进,其负向冲击会逐渐减小;货币政策和银行监管政策的协调作用缓解了利率市场化对银行风险承担的负向冲击。从影响机制来看,利率市场化对经济增长结构性减速和社会融资结构表外化的冲击会增加银行的风险承担,而利率市场化对银行资产负债表结构的冲击会减少银行的风险承担。三种结构冲击效应的叠加,显著增加了银行的风险承担。

In the new economic normality, the acceleration of Interest rate liberalization and the risk exposure are the two significant characteristics of the banking industry in China. This paper, based on the economic and financial quarterly data from 2010-2015, explores the relationship between the interest rate liberalization and banks＇ risk taking with the method of random effects for panel data, and analyzes the influence mechanism from the perspective of three kinds of structure shocks. The empirical result shows that the bank risk-taking is significantly affected by the interest rate liberalization, but with the acceleration of the interest rate liberalization, the negative impacts are gradually shrinking. The interaction between interest rate liberalization and economy structure will increase the bank risk-taking, so does the interaction with financial structure, but the interaction between interest rate liberalization with the bank balance sheet structure will reduce bank risk taking. The superposition of the three kinds of structural shocks significantly increased bank risk taking.