基于风险视角的贷款行业集中度对银行收益的影响

An Empirical Analysis of the Effects of Loan Industry Concentration on Bank Returns based on Risk Perspective

银行在业务发展过程中可能更加注重单项业务收益与违约风险的匹配,而忽视了贷款业务过度集中的负面影响。本文利用国内银行季度数据研究贷款行业集中度对银行收益的影响并探讨银行风险在该影响机制中的作用,结果发现,贷款行业集中度对银行收益的边际影响是风险的二次函数。银行风险很低时,增加信贷占比较低行业的贷款投放会提高银行收益波动率,降低平均收益;银行风险很高时,由于代理监督机制激励不相容以及银行破产的社会成本极高,银行会将信贷资源集中于收益较高且稳定的行业来提升收益。只有风险处于中等水平时,分散配置才会有效发挥代理监督机制的作用,提高收益。样本期大多数银行风险处于中等水平,集中度增加会显著降低收益,但对国有银行的冲击较小。研究结论对优化银行贷款结构具有重要理论指导意义。

In the process of business development, banks may pay more attention to the matching of individual business income and default risk, while ignoring the negative impact of excessive concentration of loan business. Based on the quarterly data of Chinese major commercial banks, this paper studies the effect of loan industry concentration on bank re- turns and discusses the role of bank risk in the influence mechanism. The results showed that the marginal effect of loan industry concentration on bank returns is the quadratic function of risk. When the bank＇s risk is very low, a credit increase in industry whose loan proportion is small will increase bank returns volatility and reduce average returns; when the risk is very high, the bank will concentrate credit resources in industry which yield is higher and stable to increase return because the delegated monitoring mechanism is not compatible and the social cost of bank insolvency is very high; when the risk is moderate, the delegated monitoring mechanism will play an efficient role and then loan diversification results in increasing return. During the sample period, vast majority of bank risk value in our database is in the moderate level, an increase in industry concentration will have a significant negative impact on return, but the negative impact is less for state-owned banks. Research conclusions have important theoretical significance for optimizing banking credit structure.