信用风险对商业银行净息差水平的影响分析——基于2011—2015年中国银行业面板数据

Analysis on the Impact of Credit Risk on the Net Interest Margin of Commercial Banks:Based on the Panel Data of China Banking Industry from 2011 to 2015

当商业银行面临的信用风险增加时,要么惜贷增加安全资产配比,要么以更高的净息差来弥补或覆盖可能造成的违约损失。在构建信用风险影响商业银行净息差的理论模型基础上,采用2011年至2015年全国银行业金融机构的面板数据,实证检验信用风险对商业银行净息差水平的影响。结果显示,信用风险增加显著提升商业银行净息差水平,这表明伴随着利率市场化的基本完成,商业银行在实际业务运作过程中更可能采取风险溢价来弥补信用风险。基于上述研究证据,商业银行切实加强信用风险管理,虽然可能降低净息差水平,但一方面能有效防控金融风险,推进商业银行业务结构调整和经营模式转型,另一方面也有利于缓解实体经济"融资贵"问题,深入推进"三去一降一补"。

When the credit risks increase,commercial banks either increase the security assets,or increase net interest margin to cover losses caused by breach of contract.Based on the theoretical model of the impact of credit risk on the net interest margin,this paper aims to test and verify the influence of credit risk on the net interest margin by using panel data of China Banking Industry from2011to2015.The results show that the credit risk significantly increases the net interest margin of commercial banks,which indicates that commercial banks are more likely to take a risk premium to cover the credit risk in the actual operation process as the interest rate liberalization has basically completed.Based on the above evidence,this paper argues that commercial banks should strengthen credit risk management.Although it may reduce the net interest margin,it enables commercial banks to effectively prevent and control financial risks,drive business structure and business model transformation;it helps alleviate the‘expensive financing’problem and promote the initiatives of reducing overcapacity,inventory,applying deleverage,lowering costs,and improving shortages as well.