价格型货币政策工具对商业银行盈利的影响——基于中国32家商业银行的实证检验

The Influence of Price Instrument of Monetary Policy on Bank Profitability——Based on an empirical research of 32 commercial banks in China

利用中国32家商业银行2004—2014年财务数据,检验价格型货币政策工具对商业银行盈利的影响,结果显示:货币政策短期基准利率工具、收益率曲线斜率与银行的盈利——资产收益率之间存在明显的正向关系。此外,从盈利结构来看,无论是国债收益率曲线还是银行间回购利率对净利息收入的正向影响均大于对损失准备金和非利息收入的影响。门限面板模型估计显示:我国价格型货币政策工具对银行盈利存在显著的非对称特征,特别是处于较低利率水平且收益率曲线斜率平缓情况下,这种效果更加明显。

This paper investigates how interest tools of monetary policy affects bank profitability. We use data of 32 Chinese commercial banks for the period 2004--2014. Overall, we find a positive relationship between the level of short-term rates and the slope of the bond yield curve and bank profitability. This suggests that the positive impact of the interest rate structure on net interest income dominates the negative one on loan loss provisions and on non-interest income. From the results of a threshold panel model,we also find that the effect is stronger when the interest rate level is lower and the slope less steep, i.e., that non-linearities are present, while the structure of bank profitability has changed when interest rate at a high level. All this suggests that, over time, unusually low interest rates and an unusually flat term structure erode bank profitability.