期限错配、同群效应与银行风险承担

Maturity Mismatch, Peer Effect and Bank Risk-Taking

在后金融危机时代,我国银行业流动性表现出波动性特征,期限错配程度严重,银行风险事件频发,引起市场的普遍担忧。文章基于同群效应视角,研究同群银行期限错配对银行期限错配的外生影响、作用机制及经济后果。本文发现最后贷款人制度引致的"多而不能倒"道德风险使我国商业银行间的期限错配行为存在着显著同群效应。其次,对期限错配分解后发现,同群效应主要由表内业务及其负债端业务驱动。最后,系统GMM模型回归结果表明,同群效应将显著提高银行违约风险,且该效应对区域性银行的影响更为显著。工具变量法等内生性处理方法验证了本文的结果是稳健可信的。本文研究结果对压实最后贷款人责任,防范化解金融机构道德风险与银行风险具有重要启示。

In the post financial crisis era,the liquidity of China’s banking industry has shown the characteristics of volatility,the degree of maturity mismatch is serious,and bank risk events occur frequently,which has caused widespread concern on its development prospects.Based on the perspective of peer effect,this paper studies the exogenous impact,mechanism and economic consequences of term mismatch of banks in the same group.First,it is found that the moral risk of"too many to fall"caused by the lender of last resort system has a significant group effect on the term mismatch among commercial banks in China.Second,based on the maturity mismatch decomposition,it is found that the peer effect is mainly driven by the on-balance-sheet and liability-side business.Finally,the regression results of the system GMM model show that the peer effect can significantly increase the risk of bank default,and the effect on regional banks is more significant.Instrumental variable method and other endogenous processing methods verify that the results of this paper are robust and reliable.The results have important implications for consolidating the responsibility of the lender of last resort and preventing and defusing moral hazard and bank risk of financial institutions.