商业银行风险管理研究——基于杠杆率视角分析

Research on Risk Management of Commercial Banks

将杠杆率作为衡量商业银行风险的指标,基于我国45家上市商业银行2013-2017年的数据,运用面板数据模型从宏观和微观两个层面检验杠杆率对商业银行风险管理的影响,首先运用混合效应模型(pool)、固定效应模型(FE)、随机效应模型(RE)以及动态GMM方法对模型进行估计,再将银行按国有大型股份制商业银行、全国性股份制商业银行、城市及农村商业银行分为三个子样本进行异质性检验。结果表明杠杆率滞后一期相对于当期的影响十分显著,不良贷款率、盈利能力、贷款增长率、权益乘数负向影响杠杆率,存贷比正向影响杠杆率,宏观层面的GDP与M2增长率对杠杆率影响显著。由异质性检验可以得出不同类型的商业银行,其客观条件存在显著差异,监管机构应及时调整监管策略,保证各类银行的稳健发展。

This paper takes leverage point as the index measuring commercial bank risk based on 45 listed commercial banks’ data in our country in 2013-2017,using panel data model from the macro and micro level test the influence of the leverage ratio on commercial banks risk management,firstly using the mixed effect model(pool),fixed effect model(FE),random effect model(RE) and dynamic GMM method to estimate the model,then according to large state-owned shareholding commercial bank,national joint-stock commercial banks,urban and rural commercial bank three samples to carry out heterogeneity test. Results show that the influence of lag leverage issue relative on the current is very significant,non-performing loan ratio,profitability,loan growth rate,equity multiplier negative influence leverage,the leverage was influenced by LDR,GDP and M2 growth rate of macro level have significant effects on leverage. Through heterogeneity inspection,we can draw different types of commercial banks,the objective conditions exist significant difference,regulators should timely adjust the regulation strategy,ensure the healthy development of all kinds of banks.