地方财政风险金融化:来自城商行的证据

Financialization of Local Fiscal Risk:Evidence from City Commercial Banks

本文从地方角度,采用城市商业银行样本,通过考察地方财政风险对城商行资产负债行为的影响验证了财政风险向金融风险的转化。结果显示,无论从收支失衡的静态角度,还是从可持续性的动态角度,地方财政风险越大的地区,城商行中长期贷款投放和影子银行业务占比越高,且两类资产业务占比越高的银行有更高的同业负债比率,继而具有更大的流动性风险。然而,位于财政风险较大地区的城商行,两类资产业务与同业负债比率的正向关系反而更弱。进一步研究发现,财政风险越高的地区,城商行同业负债融资成本越高,从而弱化了上述正相关关系。在地方财政风险下,城商行同业负债依赖性和融资成本同时提高,扩大了流动性风险隐患,产生了财政风险的金融化。本文研究对我国防范化解金融风险和商业银行流动性监管具有重要的启示。

From the perspective of local government,this paper,based on a sample study of city commercial banks(CCBs)and an investigation of the impact of local government fiscal risk on the asset and liability behavior of the CCBs,has verified the transformation from fiscal risk to financial risk.The results show that whether from the static perspective of the payments imbalance or from the dynamic perspective of fiscal sustainability,the greater the local fiscal risk,the higher the proportion of medium and long-term loans and shadow banking business of CCBs,the higher the proportion of the two types of asset business,the higher the inter-bank debt ratio,and the higher the liquidity risk.However,the greater the local fiscal risk,the weaker the positive relationship between asset business and inter-bank debt ratio.Further research shows that the higher the fiscal risk,the higher cost of inter-bank debt financing for CCBs,which weakens the above positive correlation.Under the local fiscal risk,the inter-bank debt dependence and financing cost of CCBs increase at the same time,which leads to exacerbation of the liquidity risk and the financialization of fiscal risk.This paper has important implications for China's systemic financial risk prevention and commercial bank liquidity supervision.