存款竞争、影子银行与银行系统风险——基于中国上市银行微观数据的实证研究

Deposit Competition,Shadow Banking and Bank Systemic Risk:Evidence from the Listed Banks in China

在银行通过表内存贷款业务应对竞争受到限制的背景下,本文运用2008-2015年上市银行的微观数据,在对银行存款竞争度和银行系统风险进行估计的基础上,采用系统GMM和固定效应二阶段最小二乘法,考察了银行存款竞争对银行系统风险的影响及其作用渠道。结果表明:存款竞争显著地增加了我国影子银行规模,而且银行面临的存贷比和资本充足率监管约束越大,银行通过影子银行应对竞争的行为越激进;影子银行显著增强了存款竞争与银行系统风险的关系,存款竞争主要通过影子银行渠道增加银行系统风险。

It is difficult for banks to cope with competition by extending loans in the balance sheet along with the intensity of bank supervision. This paper empirically examines the relationship between deposit competition, shadow banking and bank systemic risk, based on the estimation of the Lerner Index and ACoVaR, employing an unbalanced panel data of 16 listed banks in China during 2008 - 2015. The result shows that the fierce bank deposit competition is the vital reason of rapid development of the shadow banking, and banks will become more aggressive in shadow banking if their loan - to - deposit ratio（LDR） is higher or capital adequacy ratio（CAR） is lower. Moreover, shadow banking exacerbates the impact on systemic risk of deposit competition. Bank deposit competition increases bank systemic risk mainly through shadow banking.