混业经营与商业银行风险承担:微观机理与经验证据

Mixed Operation and Risk-Taking in Commercial Banks:Microcosmic Mechanism and Empirical Evidence

不断提高的商业银行混业经营程度必然对商业银行的风险承担水平产生影响。在当前宏观经济不确定性明显增加的现实背景下,系统剖析商业银行混业经营对风险承担的影响效应,对防范化解系统性风险具有重要作用。首先,通过考虑混业经营模式下银行主体的微观决策,构建混业经营约束下商业银行风险承担行为的局部均衡模型,探究混业经营影响商业银行风险承担的理论机理;其次,基于我国162家银行2007—2021年的年度面板数据实证检验了商业银行混业经营与风险承担之间的关系。研究表明:混业经营状况会显著降低银行业整体风险承担水平,且这一效应对于小规模银行、城市商业银行、股份制商业银行及资产质量较低的商业银行更加明显。经济不确定性在混业经营影响商业银行风险承担的过程中起到重要的调节作用,即在“好”的不确定性情形下,混业经营对商业银行风险承担的抑制作用更强,而在“坏”的不确定性条件下,则会减弱这种影响效应。研究结论为我国新常态下银行业加快经营模式转型升级和政策监管提供了理论与实证支持。

The increasing degree of mixed operation of commercial banks will inevitably have an impact on the level of risk bearing of commercial banks.Under the realistic background of the obvious increase of macroeconomic uncertainty,a systematic analysis of the impact of commercial banks'mixed operation on risk bearing plays an important role in preventing and resolving systemic risks.Firstly,by considering the micro decisions of bank subjects under the mixed operation mode,a local equilibrium model of the risk-taking behavior of commercial banks under the constraints of mixed operation is constructed,and the theoretical mechanism of the influence of mixed operation on the risk-taking behavior of commercial banks is explored.Secondly,based on the annual panel data of 147 Chinese banks from 2011 to 2021,this paper empirically tests the relationship between the mixed operation of commercial banks and their risk-taking.The results show that mixed operation will significantly reduce the overall risk-taking level of the banking industry,and this effect is more obvious for small-scale banks,city commercial banks,joint-stock commercial banks and commercial banks with low asset quality.Economic uncertainty plays an important moderating role in the influence of mixed operation on the risk-taking of commercial banks.In the“good”uncertainty case,mixed operation has a stronger restraining effect on the risk-taking of commercial banks,while in the“bad”uncertainty case,this effect will be weakened.The research conclusions of this paper provide theoretical and empirical support for accelerating the transformation and upgrading of business model and policy supervision of commercial banking in China under the new normal.