商业银行金融创新与盈利能力的非线性关系研究--基于我国上市商业银行面板数据的门槛模型分析

The Non-linear Relationship between Financial Innovation and Profitability in Commercial Banks: A Study Based on a Threshold Model with Panel Data of China's Listed Commercial Banks

金融创新一般被定义为金融领域不同要素的重新组合,即金融机构为实现自身利益最大化,而对金融机构的产品设置、金融工具和制度安排所作出的变革。近年来,面对利率市场化、金融脱媒和国内外金融业竞争加剧三重压力,我国商业银行通过加强金融创新和提升创新质量,努力开拓多元化并具市场前景的以非利息差业务为源头的盈利模式。本文利用2005—2016年我国26家上市商业银行的面板数据,构建了以商业银行风险承担为门限变量的面板门槛回归模型,实证分析了商业银行金融创新对盈利能力的非线性影响。研究表明,商业银行金融创新对盈利能力作用的大小和方向,均显著存在基于风险承担的双门槛效应。当风险承担低于最低门槛值时,适度金融创新会显著提升商业银行的盈利能力;但当风险承担跨过最高临界门槛值后,商业银行金融创新则会损害其盈利能力。最后本文就发挥商业银行金融创新对盈利能力的促进效应、降低商业银行风险承担及防范金融风险提出了政策建议。

The paper uses panel data of 26 commercial banks listed on China＇s A-shares from 2005 to 2016,establishes a panel threshold regression model with commercial banks＇ risk taking as the threshold variable, and validates the non-linear effects of commercial bank financial innovation on profitability. We find that there is a strong double threshold effect based on risk taking in both the size and direction of financial innovation＇s role in profitability. When risk taking is lower than the minimum threshold value, appropriate financial innovation will prominently promote the profitability of commercial banks; when risk taking crosses the minimum threshold, commercial banks＇ financial innovation will weaken their own profitability. Finally, a series of policy recommendations are proposed to prompt the financial innovation of commercial banks could enhance their profitability, reduce their risk taking and prevent financial risks.