中国金融机构杠杆决策的同群效应研究:事实、机制与特征

The Same Group Effect of Leveraged Decision-making in Chinese Financial Institutions Facts,Mechanism,and Characteristics

以中国47家上市金融机构2008~2018年的季度数据为样本,检验了金融机构杠杆决策"同群效应"的事实、内在形成机制以及外在特征,给出了中国金融杠杆顺周期性特征的一种微观解释。研究结果表明,中国金融机构的杠杆决策存在显著的"同群效应"特征,金融机构的杠杆决策要显著受到其他金融机构决策的影响;基于"太关联而不能倒"的集体道德风险以及基于信息获取的搭便车行为是导致"同群效应"形成的内在机制;在杠杆决策中,银行业作为金融体系核心,处于"被模仿、参考"的地位,"同群效应"的跨行业特征明显;随着宏观经济政策不确定性的上升,金融机构杠杆决策的"同群效应"会显著增强。对于这种"同群效应"进行有效的把握、监督与管理是保障中国金融体系安全稳定运行的关键。

Taking the quarterly data of China’s 47 listed financial institutions from 2008 to2018 as a sample,this study examines the facts,internal formation mechanism,and external characteristics of the "same group effect" of financial institutions’ leveraged decision-making and gives a micro-level explanation of the pro-cyclical characteristics of China’s financial leverage.The study shows that the leveraged decision-making of Chinese financial institutions is characterized by a significant "same group effect,"under which it is significantly influenced by the decisions of other financial institutions. The collective moral hazard owing to the "too connected to fail" problem and the free-riding behavior based on information acquisition constitute the internal mechanism that leads to the formation of the "same group effect." In leveraged decision-making,the banking industry is at the core of the financial system and occupies the position of being "imitated" and "referenced," and the cross-industry characteristics of the "same group effect’are obvious. With the rise of uncertainties in macroeconomic policy,the "same group effect" of financial institutions’ leveraged decision-making will be significantly enhanced. Effectively grasping,supervising,and managing such an effect is key to ensuring the safe and stable operation of China’s financial system.