政府担保异质性、竞争性扭曲与我国商业银行风险激励

Government Guarantee Heterogeneity,Competition Distortion and Bank Risk-Taking Incentives

存款保险制度推出之前,我国商业银行长期处于政府"隐性"担保之下,且这一隐性担保效应存在一定的异质性特征:政府的"保护伞"更可能降落在那些得益于"大而不倒"理念的大银行或是拥有政府股东、与政府联系密切的银行上。过去仅仅关注于政府因素对银行信贷行为和银行绩效影响的研究,已无法较好地解释这种异质性政府担保可能形成的商业银行尤其是中小银行和私人控股银行的风险承担激励。基于这一问题,本文首先在Hakenes和Schnabel(2010)模型基础上,从我国利率未完全市场化的背景出发,刻画了异质性政府担保对银行投资与风险决策的影响。研究表明:存在竞争效应时,银行受担保可能性越低,其最优风险收益水平越高,即承担的风险也越高。在理论分析基础上,本文分别从银行规模和股权结构层面构建了反映政府"隐性"担保的竞争性扭曲程度指标,并以2005-2012年159家商业银行样本为基础进行实证检验。文章结论肯定了存款保险制度的推出对改善我国商业银行竞争结构、防范中小银行和私人控股银行风险承担的积极意义。

Chinese banking system has long been under the implicit guarantee of government before the implementation of deposit insurance system and this implicit guarantee shows the characteristic of heterogeneity： ＂Parachutes＂ of government are more likely to fall to those big banks who are ＂too big to fail＂ or government-owned banks. Existing studies which only examine the impact of government on bank lending behavior and performance cannot explain the impact of heterogeneity of government guarantee on banking risk-taking incentives of commercial banks especially small and medium-sized banks and private- owned banks. To this end, the paper, based on the model of Hakenes and Schnabel（2010）and incomplete interest rate liberalization in China, explores the impact of heterogeneity of government guarantee on banks＇ investment and risk-taking decision. Theoretical results show that, the lower the probability, the higher the risk taking when competition effect exists. Based on our theoretical analysis, we construct two competition indexes which reflect the distortion of competition structure caused by government guarantee, respectively from the perspective of size and ownership structure. Then we use the data of 159 Chinese banks between 2005 and 2012 to perform an empirical test. Results of the paper show that the implementation of deposit insurance system is of great importance in improving the competition structure of Chinese banking system and restraining risk-taking incentives of small and medium-sized banks and private-owned banks.