延付高管薪酬降低了银行风险偏好吗——信贷资产配置行为视角的研究

Does CEO Deferred Compensation Moderate Bank Risk Taking——Evidence from the Loan Asset Allocation of Chinese Commercial Banks

美国金融危机后,延付银行高管薪酬成为我国监管部门降低金融风险的重要举措。本文旨在从银行信贷资产配置行为视角深入研究这一政策是否能有效降低银行风险偏好。为此,我们进行了如下检验:(1)利用非观测效应面板数据模型(固定效应估计和广义矩估计法)直接比较延付高管薪酬实施前后我国银行高风险贷款投放的变化;(2)为控制延付高管薪酬可能存在的内生性问题,利用2010年银监会发布的《商业银行稳健薪酬监管指引》这一政策冲击,通过"准自然实验"的PSM-DID法识别延付高管薪酬对银行高风险贷款投放影响的净效应。二者结果均显示:实施延付高管薪酬的确降低了银行风险偏好,体现为银行配置更低的贷款规模、企业贷款占比和信用贷款占比。进一步的,我们还构建了高管薪酬延付水平指标并检验其对银行风险偏好的影响。最后,本文基于银行稳健经营目标提出了高管薪酬改革的政策建议。

Deferred bank executive compensation has become Chinese regulators＇ important measures to reduce financial risk after the financial crisis. This paper focuses on evaluating the effect of CEO deferred compensation on bank risk taking based on the loan asset allocation of Chinese commercial banks. Taking the ＂Commercial Banks Robust Compensation Regulatory Guidelines＂ issued by CBRC in 2010 as an experiment shock, this paper uses the difference in difference-propensity score matching （PSM-DID） approach, the non-observed-effect panel data model （both fixed effect model and GMM） and finds a negative relation between CEO deferred compensation and bank risk taking, as reflected in the more risky asset allocation, such as the higher loan ratio, the higher corporate loan ratio and credit loan ratio. Furthermore, this paper also investigates how the level of CEO deferred compensation influence bank risk taking. This findings have several policy implications on the reform of banks＇ executive compensation.