债券投资与银行风险——兼论分类债券投资的差异化影响

Bond Investment and Bank Risk:The Heterogeneous Influence of Classified Bonds Investment

在银行债券资产和债券违约规模持续增加的背景下,本文运用2009—2018年上市银行数据,对比债券投资对银行个体风险和银行系统性风险的影响,并深入分析不同类型债券的差异化作用及时期异质性。结果表明,2013年以前,总债券投资对银行个体风险的影响不显著,但提高了银行系统性风险,各细分类型债券投资对这两种风险的影响均不显著;2013年及以后,总债券投资不仅增加了银行个体风险而且进一步提高了银行系统性风险,政府债券投资会增加这两种风险,金融债券投资对银行个体风险影响仍不显著,却提高了银行系统性风险,公司类债券和公共机构类债券投资对这两种风险仍没有显著影响。本研究有助于认识银行债券投资对银行风险的影响,且对于精准防范银行系统性风险具有启示意义。

Based on the background that the scale of bank bond assets and bond defaults continues to increase,this paper uses the data of listed banks from 2009 to 2018 to compare the impact of bond investments on individual risk of banks and systemic risk of banks and deeply analyze the heterogeneous influence and period heterogeneity of different types of bonds.The main findings are as follows.Firstly,before 2013,the total bond investments had no significant effect on bank individual risk,while it significantly increased the systemic risk of banks,and the impact of various types of bond investment on the two risks was not significant.Secondly,since 2013,total bond investments have not only increased bank individual risk of banks,but also further have increased the systemic risk of banks.The government bond investments have enhanced individual risk of banks and systemic risk of banks.The financial bond investments still have had no significant effect on individual risk of banks,while it has had significantly increased systemic risk of banks.The investments of corporate bond and public institution bond have no significant impact on individual risk of banks and systemic risk of banks.The research not only helps to understand the influence of bond investments of banks on its risk,but also has important implications for the accurate prevention of systemic risk.