货币调控宣示方式与商业银行经营效率:预期引导的异质性效应

Declaration of Monetary Regulation and Commercial Banks’Operating Efficiency:Analysis based on Heterogeneity of Anticipation Guidance

基于中国38家上市银行的非平衡面板数据,通过语境分类和词频分析,区分压制型和建设型两种调控宣示方式并构建相应代理指标,结合表内表外两种中介效应及SFA框架下的效率测算,对不同调控宣示方式对商业银行经营效率的影响进行系统研究。研究发现:(1)货币调控宣示会通过表内风险承担和表外业务扩张两个通道对商业银行的经营效率施加影响;(2)压制型调控宣示会形成显著的负向效率冲击,而建设型调控宣示则存在显著的正向效率影响;(3)不同货币调控宣示方式的异质性效果在表内业务影响和表外业务扩张通道同时存在。研究结果显示:一方面,商业银行经营效率会受到货币政策预期变化的制约,并呈现典型顺周期特征,由此需要改善“运动式”调控并尽可能平滑政策预期波动;另一方面,选择适当的货币调控宣示方式同样重要,采用建设型宣示方式来减缓对商业银行经营的预期冲击,有助于实现金融风险防范和金融效率提升的正反馈循环。

Based on an unbalanced panel data including 38 listed banks in China,through context classification and word frequency analysis,we distinguish two different regulation announcement methods including the repressive declaration and constructive declaration,and construct a set of corresponding proxy indicators.Based on them,we take a systematic study on the impact of different regulation announcement methods on the operating efficiency of commercial banks combining two intermediary effects of on-balance and off-balance sheet activities and an efficiency measurement under SFA framework.We conclude that,first,the monetary regulation announcement will affect the operating efficiency of commercial banks through two different channels:on-balance sheet risk-taking and off-balance sheet business expansion;second,the“repressive”regulatory announcement have a significant negative shock on commercial bank efficiency,while the“constructive”regulatory announcement have a significant positive impact on efficiency;third,the heterogeneous effects of different monetary regulatory announcement methods exist in both on-balance sheet and off-balance sheet business expansion simultaneously.The research results show that:on the one hand,the operating efficiency of commercial banks is restricted by the expected changes on monetary policy and present a typical procyclical characteristic,so it is necessary to improve the“movement-style”regulation and smooth the policy expectation fluctuation as much as possible.On the other hand,it is equally important to choose an appropriate monetary regulation announcement method,constructive announcements are beneficial to slow down the expectation shock on the commercial banks operation and help a positive feedback loop between financial risk prevention and financial efficiency improvement.