金融衍生工具对中国商业银行绩效的影响——来自中国上市商业银行的实证分析

The Impact of Financial Derivative Instruments on the Performance of Chinese Commercial Banks—An Empirical Analysis from Listed Commercial Banks in China

本文选用证监会行业分类下货币金融服务中的16家上市商业银行2007~2022年的年度数据,实证分析了商业银行资产端以公允价值计量的金融衍生工具对商业银行绩效的影响,结果显示:衍生工具的使用能显著提升银行的绩效水平。此外,本文通过加入前十大股东持股比例作为调节变量,进一步分析不同类别银行在使用衍生工具时对其绩效的影响,结果进一步显示:其中国有制银行和城商行,随股权集中度的提高都会造成衍生工具对银行绩效的边际效用减弱。原因可能与股权集中所造成代理成本的增加,以及以公允价值计量特性和不同类别的商业银行使用衍生工具的行为与动机有关。

This paper employs annual data from 16 listed commercial banks in the monetary financial services sector under the classification of the China Securities Regulatory Commission from 2007 to 2022 to empirically analyze the impact of financial derivative instruments measured at fair value on the performance of commercial banks on the asset side. The research findings demonstrate that the utilization of financial derivative instruments significantly enhances the performance level of banks. Furthermore, this study introduces the proportion of shareholding by the top ten shareholders as a moderating variable to further analyze the impact of using derivative instruments on performance across different categories of banks. The results further indicate that in the case of state-owned banks and city commercial banks, an increase in ownership concentration weakens the marginal utility of derivative instruments on bank performance. This phenomenon may be attributed to the rise in agency costs due to ownership concentration and is also related to the adoption of fair value measurement characteristics as well as the behavior and motives of different types of commercial banks in employing derivative instruments.