中国银行业轻型化转型、双支柱调控与系统性风险

Chinese Banking’s Lightweight Transformation,Dual-pillar Regulation and Systemic Risks

文章利用中国银行业2011-2022年的季度数据,从轻资产、轻收入、轻资本和轻成本四个维度出发,选取指标构建了中国银行业轻型化指数。进而以上市银行为样本,检验了银行业轻型化转型与系统性风险的关系,结果表明:银行业轻型化转型加剧了系统性风险。机制检验结果表明,轻型化转型加快了各银行的资本周转速度,这会使其在自身资本的承载能力之外过度开展业务,加大风险外溢的可能性,最终导致系统性风险攀升。在现有的以资本充足率为核心的金融监管框架下,轻型化转型会促使银行通过加快资本周转进行“监管套利”,弱化金融严监管政策的风险抑制效果。因此,轻型化趋势下要更加重视双支柱调控的应用,进一步分析发现:随着银行业的轻型化转型,数量型货币政策的风险抑制效果会逐渐降低,价格型货币政策的风险抑制效果则会持续增强;宏观审慎政策可以抑制轻型化转型带来的系统性风险,但部分政策工具并未发挥预期效果。

Based on the quarterly data of China’s banking industry from 2011 to 2022,this paper selects indicators to construct a lightness index of China’s banking industry from the four dimensions of light assets,light income,light capital and light cost,and then takes the listed banks as samples to examine the relationship between the lightweight transformation of banking industry and its systemic risks.The results show that the lightweight transformation of the banking industry has exacerbated systemic risks.Mechanism test finds that lightweight transformation has accelerated the capital turnover speed of various banks,which may cause them to excessively carry out business beyond their own capital carrying capacity,increase the possibility of risk spillovers,and ultimately lead to an increase in systemic risk.Under the existing financial regulatory framework with capital adequacy ratio as the core,lightweight transformation will encourage banks to engage in regulatory arbitrage by accelerating capital turnover,weakening the risk suppression effect of strict financial regulatory policies.Therefore,more attention needs to be paid to dual-pillar regulation.The findings of further research go as the following:With the lightweight transformation of the banking industry,the risk suppression effect of quantitative monetary policy will gradually decrease,while the risk suppression effect of price-based monetary policy will continue to increase.Macroprudential policies can effectively contain the systemic risks brought about by the lightweight transformation,but some policy tools have not achieved the expected results.