批发融资会增强商业银行的杠杆顺周期性吗?——基于140家商业银行的实证研究

Does Wholesale Funding Alleviate the Leverage Procyclicality of Commercial Bank?——Based on Analysis of 140 Commercial Banks

对2006～2016年中国140家商业银行面板数据的实证研究发现,商业银行杠杆变动具有明显的顺周期行为,但是批发融资会在一定程度上缓解商业银行的杠杆顺周期性,甚至使杠杆率呈现逆周期效应。批发融资对杠杆顺周期性的缓释作用在资产规模较小、批发融资占比较高以及杠杆率水平较低时较为显著。但2014年出台的《关于规范金融机构同业业务的通知》在控制批发融资的同时,还在一定程度上限制了商业银行的逆周期缓释策略,增强了商业银行的杠杆顺周期行为。

An empirical study based on panel data of 140 commercial banks in China from 2006 to 2016 shows that the leverage change of commercial banks has obvious pro-cyclical behavior, but wholesale funding can alleviate the leverage procyclicality of commercial banks to some extent, and even make leverage ratio present countercyclical effect. The slow release effect of wholesale funding on leverage procyclicality is significant when the scale of assets is small, the proportion of wholesale funding is relatively high and the level of leverage is low. The study also found that the anti-cyclical slow release strategy was effectively controlled by the 2014 policy of controlling interbank business, while the leverage of commercial banks increased in a procyclical manner.