期限错配如何影响商业银行的稳健性——基于商业银行微观数据的实证分析

How does Maturity Mismatch Influence the Robustness of Commercial Banks——An Empirical Analysis Based on Micro-data of Commercial Banks

本文从理论层面梳理了我国商业银行期限错配与经营稳健性之间的内在传导机制。在此基础上,以2011—2018年间我国202家商业银行的非平衡面板数据为样本,实证分析了期限错配对银行稳健性的影响,并按照银行性质不同进行了异质性研究。研究发现:(1)期限错配显著弱化了银行经营的稳健性;(2)将影响程度进行分样本比较,全国性股份制银行高于城市商业银行,大型国有商业银行和农村商业银行结果不显著;(3)进一步分析期限错配影响银行稳健性的传导渠道,发现流动性风险在两者之间具有显著的中介效应,在样本分类比较中,全国性股份制银行流动性风险的相对贡献为10.3%,低于城市商业银行的22.6%,说明相较于城市商业银行,全国性股份制银行的融资渠道多、融资能力强,因而流动性风险对其稳健性的影响有限。

This paper combs the internal transmission mechanism between maturity mismatch and the robustness of China's commercial banks from the theoretical level.Based on this,this paper empirically analyzes the impacts of maturity mismatch on the robustness of banks and has heterogeneity research according to the different characteristics of the banks.The result shows that:(1)maturity mismatch remarkably weakens the robustness of banks'business;(2)comparing the degree of impact by the subsample,national joint-stock banks are higher than urban commercial banks,and the results for large state-owned commercial banks and rural commercial banks are not significant;(3)further analysis of the term mismatch affects the transmission channels of the robustness of banks and there is prominent intermediary effect between these two factors.The comparison of classified samples shows that the relative contribution of the liquidity risk of joint-stock banks accounted for 10.3%,lower than that of urban commercial banks(22.6%),which indicates the stronger financing capacity and wider financing channel of joint-stock commercial banks compared with urban commercial banks,and thus the impact of liquidity risk on the stability of joint-stock banks is limited.