商业银行融资成本对净利差的影响研究——基于PVAR模型的实证分析

Research on the Impact of Commercial Banks' Financing Costs on Net Interest Rate——An Empirical Study Based on PVAR Model

影响商业银行利差的因素也是影响商业银行利率定价的因素。理论层面将竞争因素引入Monti-Klein模型中,分析银行融资成本对存款和贷款利率的影响,研究认为银行的最优存贷利率不仅仅取决于边际成本,还取决于竞争对手的融资成本。实证层面通过构建Panel-VAR模型研究银行融资成本和垄断势力对净利差的影响,结果表明:银行的显性融资成本对净利差存在显著的负向影响,而隐性融资成本对银行的净利差存在着正向影响,大型银行追求最优利差过程中处于相对劣势地位。因此,应拓展非利息收入业务,完善利率定价机制,培育风险管理人才,以实现商业银行的可持续发展。

Factors affecting commercial banks interest spread are also factors affecting commercial banks5 pricing of interest rate. At the theoretical level, the competition factor is introduced into the Monti-Klein model to analyze the impact of the banks5 financing cost on the deposit and the loan interest rate. The study concludes that banks5 optimal deposit and loan interest rate depends not only on the marginal cost but also on the financing cost of the competitors. The empirical results show that the cost of the bank^ explicit financing has a significant negative impact on the net profit margin, and the implied financing cost has positive impact on the net interest spread of the bank. Large banks are in a disadvantageous position while pursuing optimal interest spread. Therefore, it is necessary for commercial banks to expand non interest income, improve interest rate pricing mechanism, foster risk management personnel so as to achieve sustained development.