非利息收入对商业银行系统性风险贡献度的影响——基于中国上市银行的经验证据

The Influence of Non-interest Income on the Systemic Risk of Commercial Banks——Some Evidence from China Listed Banks

本文基于2008-2015年中国上市银行季度数据,实证分析非利息收入对单个银行系统性风险贡献度的影响。研究表明:(1)非利息收入对系统性风险贡献度呈显著负向影响,且依赖于银行规模:大规模银行非利息收入增加会降低系统性风险贡献;小规模银行则提高风险贡献度。(2)资本充足率的提高会降低系统性风险贡献度对非利息收入的敏感性,而手续费及佣金收入的影响作用取决于资本结构:资本充足率高时呈正向关系,低时呈负向关系。(3)逆周期监管实施与否是非对称效应形成的重要原因。因此,应对异质银行实行差别监管,落实逆周期监管,降低商业银行系统性风险贡献。

Based on quarterly data of Chinese listed commercial banks from 2008 to 2015, this paper analyzes the influence of non-interest income on the contribution to systemic risk of commercial banks.The results of the paper show that,（1） the relationship between non-interest income and contribution to systemic risk is significantly and negatively correlated, which depends on bank size： the increase of noninterest income in large-size banks would reduce contribution; the increase of non-interest income in small-size banks would result an increasing effect.（2） the increase of capital adequacy ratio would reduce the sensitivity of the contribution to systemic risk to non-interest income and the influence of fee income depends on capital structure： when capital adequacy ratio is high, it is positive; when low, it is negative.（3）whether countercyclical regulation is implemented can explain this kind of non-symmetric effect. Therefore,differential banks should be under differential supervision and countercyclical regulation is supposed to be implemented, which are to reduce commercial bank＇s contribution to systemic risk.