数字化消费信贷对我国商业银行风险承担的影响研究

Research on the Impact of Digital Consumer Credit on China’s Commercial Banks’ Risk-taking

近年来,数字化消费信贷在我国快速发展,在提高金融效率的同时也产生新型风险并向商业银行体系传递。本文基于2011~2020年中国17家代表性商业银行的数据,采用北京大学数字普惠金融指数中的信贷指数作为数字化消费信贷的代理变量,构建p-var模型分析数字化消费信贷对商业银行的风险传染效应。结果表明:数字化消费信贷对商业银行风险承担具有风险转移效应、业务挤出效应和风险平摊效应,在以上效应共同作用下,数字化消费信贷的发展对我国商业银行风险承担能力呈现出先增加后逐渐下降的趋势,且对国有商业银行、股份制商业银行及城市商业银行的影响具有异质性的特点。最后,针对其影响机制提出关于商业银行进一步提升数字化风险管理能力、防范化解金融风险的对策。

In recent years, digital consumer credit has developed rapidly in China, which not only improves financial efficiency but also generates new risks and transmits them to the commercial banking system. Based on the data of 17 representative commercial banks in China from 2011 to 2020, this paper adopts the credit index of Peking University Digital Inclusive Finance Index as the proxy variable of digital consumer credit, and constructs p-VAR model to analyze the risk contagion effect of digital consumer credit on commercial banks. The results show that: Digital consumer credit risk of commercial bank has the risk transfer effect, crowding out of business and risk-sharing effect, in the above effect, the development of consumer credit of our country commercial bank risk bearing ability showed increased after then gradually decline, and the state-owned commercial Banks, joint-stock commercial Banks and the influence of city bank is heterogeneous. Finally, it puts forward the countermeasures for commercial banks to further enhance digital risk management ability and prevent and resolve financial risks.