宏观审慎监管对商业银行资产配置的异质性行为的影响分析

Analysis of the Impact of Macro-Prudential Supervision on the Heterogeneous Behavior of Asset Allocation of Commercial Banks

本文2013—2018年的银行样本范围中既包括上市银行也包括中小规模的非上市银行,宏观审慎监管政策实施对商业银行资产配置行为的影响。结果表明:原本资产配置相似的银行受到监管冲击后资产配置行为出现了异质性。在上市银行组中,监管政策冲击并未导致实验组和对照组在信贷资产上的配置差异,但在非上市银行组中,监管政策的影响依然显著。此外,在上市银行组和非上市银行组中政策冲击都导致了实验组银行金融投资资产比例的上升,但上市银行组中的回归系数更大。

Based on the difference-in-differences(DID)model,this paper studied the influence of macro-prudential supervision policy implementation on the asset allocation behavior of commercial banks from 2013 to 2018(including both listed banks and small and medium-sized unlisted banks).The results showed that the asset allocation behavior of banks with similar asset allocation was heterogeneous after the regulatory impact.In listed bank groups,the impact of regulatory policies did not lead to the difference in the allocation of credit assets between the experimental group and the control group;yet in unlisted bank groups,the impact of regulatory policies was still significant.In addition,policy shocks in both listed banks and unlisted banks led to an increase in the proportion of financial investment assets of banks in the experimental group,but the regression coefficient in listed banks was larger.