我国商业银行资产负债结构变化对其风险承担的影响

The Impact of Assets and Liabilities Structure Change on the Risk-taking of Commercial Banks in China

随着金融脱媒程度的日益加深,我国商业银行的资产负债结构发生了显著的变化:主要表现为资产方证券投资业务占比上升,负债方同业负债的比重上升。使用我国14家上市商业银行2009-2017年的财务数据,采用动态面板广义矩法,检验商业银行资产负债结构变化对其风险承担的影响。结果表明:现阶段,商业银行积极参与证券投资业务和增加同业负债会降低自身的风险承担;同时,国有银行和非国有银行存在异质性,资产负债结构的变化对国有银行的风险降低作用更加明显。针对以上发现,从商业银行和监管当局的角度,提出相关政策建议。

With financial disintermediation speeding up in recent years,the asset-liability structure of China's commercial banks has changed significantly. The proportion of securities investment business and active liabilities have increased. This paper uses the panel data of 14 listed commercial banks in China during the period of 2009-2017 and examines the impact of asset and liability structure change on banks'risk - taking with GMM model. It finds that commercial banks'actively participation in securities investment business and increasing interbank liabilities will reduce their risk - taking. Meanwhile,state - owned banks and nonstate- owned banks are heterogeneous,the changes in asset and liability structure have more significant effect on the risk reduction for state-owned banks. With these findings,this paper proposes suggestions from the perspective of commercial banks and regulatory authorities.