金融创新、信贷环境与银行风险承担——来自2006—2016年中国银行业的证据

Financial Innovation,Loan Environment and Bank Risk Acceptance——Evidence from 2006—2016 Chinese Bank Industry

本文将金融创新引入银行存贷收益模型,从理论上分析了金融创新对银行风险承担的影响机理,在此基础上,选取2006—2016年中国银行业年度数据,实证分析了金融创新与信贷环境对银行风险承担的影响。研究表明:第一,金融创新对银行风险承担具有显著的负向影响,该影响不存在时滞效应。第二,提高宏观经济增长水平会增大银行风险承担水平,银行存在顺周期放贷倾向。银行业景气度的提高会降低银行风险承担水平,信贷逆周期宏观审慎调控效果显著。第三,提高银行净利差会降低银行风险承担水平,流动性水平的提高会增大银行风险承担水平,银行存在短期的高风险资产配置倾向。第四,净利差与流动性水平对银行风险承担的影响均呈现异质性特征,在同等金融创新强度下,低净利差银行与低流动性水平银行的金融创新对其风险承担的抑制效应分别大于高净利差银行与高流动性水平银行。

This paper theoretically analyses the influence mechanism of financial innovation on bank risk acceptance by introducing financial innovation into deposit-loan profit model. On this basis, it conducts an empirical analysis on the influence of financial innovation and loan environment on bank risk acceptance by selecting the annual data from 2006 to 2016,and gives policy suggestions accordingly. This result is as followed.（ 1） The influence of financial innovation on bank risk acceptance is significantly negative. There is no time-lagging effect with financial innovation.（2） The increasing macro-economic growth level will enlarge bank risk acceptance, and banks incline to pro-cyclical lending. The increasing prosperity of the bank industry will reduce bank risk acceptance, and the counter-cyclical and macro-prudential regulation effect is significant.（3） The increase of net interest margins will reduce bank risk acceptance, while the increase of liquid level will enlarge bank risk acceptance, and banks incline to allocate short-term risk asset.（4） There exists significant heterogeneity influence of net interest margins and liquid level on bank risk acceptance. With the same level of financial innovation, the inhibition effect on bank risk acceptance from banks with low net interest margins and low liquid level is more than banks with high net interest margins and high liquid level.