规模的门限效应、综合化经营与我国商业银行系统性风险

The Threshold Effect of Bank Sizes, Comprehensive Operation and Systemic Risk for China’s Commercial Banks

综合化经营已经成为我国商业银行应对传统业务收入比重不断降低、谋求突破性发展的重要战略。现有研究常采用非利息收入占比作为综合化经营程度的测量指标,这种做法具有明显的技术缺陷。本文将非金融企业产品多样化熵的测量指标引入到商业银行综合化经营分析,较好地解决了综合化经营程度的测量问题。基于宏观审慎与微观审慎相结合的监管理念,本文在利用成分期望损失方法测量商业银行层面系统性风险基础上,借助于动态面板门限模型重点探讨并识别了商业银行规模的门限效应,并借此区分不同的机制状态来分析综合化经营对商业银行系统性风险的影响作用。研究结果表明:综合化经营对于我国商业银行系统性风险的影响作用具有规模的门限效应,表现为规模小的商业银行开展综合化经营会降低系统性风险,规模大的商业银行开展综合化经营会增加系统性风险。

Comprehensive operation has become an important business strategy to make breakthroughs in the development for China’s commercial banks in the trend of falling traditional interest incomes.The use of the non-interest income as the current research measure for the comprehensive operation has obvious defects.This paper introduces the measurement of the entropy index in the product diversification of non-financial firms to the analysis of commercial banks’comprehensive operation,which effectively solves the measurement problems.Based on the combination supervision of macro prudential and micro prudential concepts,this paper uses the component expected shortfall method to measure the systemic risk for the commercial banks,and treats the bank size as the threshold variable to identify the different regime by the dynamic panel threshold models,in which we discuss the effect of the comprehensive operation on the systemic risk.The results show that the comprehensive operation has the property of size threshold effect which means for the small ones it will decrease the systemic risk and for the big ones it will increase the systemic risk.Finally,based on the empirical research this paper gives some policy advice and implications.