银行规模异质视角下我国商业银行非利息收入对风险水平的影响——基于面板门槛模型的实证研究

Research on the Impact of Non-interest Income on the Risk of Commercial Banks from the Perspective of Bank Size Heterogeneity——An Empirical Analysis Based on Panel Threshold Regression Model

利率市场化、金融"脱媒"背景下,商业银行的非利息收入业务迅速发展,但是对于非利息收入对银行风险水平的影响等问题,业界的观点不尽相同。实证探究二者间的非线性关系,寻求合理的非利息收入业务发展规模,对于顺应利率市场化潮流、做好全面风险管理工作有着重要意义。本文以我国2009-2017年16家上市商业银行的面板数据为研究对象,从规模异质角度,运用Hansen面板门槛模型,分析非利息收入对我国商业银行风险水平的非线性影响。结果表明:非利息收入占比对银行风险水平的影响存在显著的规模门槛效应,商业银行应科学的制定各类非利息业务发展规模,加强风险防范。

Under the background of interest rate liberalization and financial disintermediation,the non-interest income business of commercial banks has developed rapidly.Scholars hold different opinions about how the non-interest income affect bank’s risk level.From the perspective of bank size heterogeneity,this paper establish a panel threshold regression model between noninterest income and the risk of banks,the data which uses in the model comes from 16 Chinese listed commercial banks,and the time range is from 2009 to 2017.Empirical results show that there exit threshold.Commercial banks should scientifically formulate the scale of non-interest businesses and strengthen risk prevention.