监管改革、银行竞争与风险承担

发布时间：2018-07-16 09:10

【摘要】：基于面板数据,本文分析了资本监管约束条件下中国商业银行市场竞争对其风险承担的影响。首先采用基于Panzar-Rosse模型的H统计量衡量银行业的竞争程度;然后在1998—2009年政府对商业银行监管的改革变迁的基础上,运用静态、动态面板数据分析市场竞争对商业银行信用风险和流动性风险等风险承担的影响。结果显示:中国商业银行的市场竞争程度不高,市场竞争增加了信用风险,却降低了流动性风险;政府监管减少信用风险的作用受到市场竞争程度的影响;尽管监管对流动性没有直接影响,但市场化程度较高时监管会减少流动性风险。结论证实2006年以来政府监管改革取得了良好的效果。未来针对银行风险的监管改革应充分考虑市场竞争程度的影响。
[Abstract]:Based on panel data, this paper analyzes the impact of market competition of Chinese commercial banks on their risk bearing under the constraint of capital supervision. Firstly, the H statistic based on Panzar-Rosse model is used to measure the degree of banking competition, and then, on the basis of the reform and change of the government's supervision of commercial banks from 1998 to 2009, the static state is used. Dynamic panel data analyzes the impact of market competition on credit risk and liquidity risk of commercial banks. The results show that the market competition of Chinese commercial banks is not high, the market competition increases the credit risk, but reduces the liquidity risk, the role of government supervision to reduce the credit risk is affected by the market competition degree. Although regulation has no direct impact on liquidity, regulation reduces liquidity risk when marketization is high. The conclusion proves that the government supervision reform has achieved good results since 2006. The influence of market competition should be fully taken into account in the future regulatory reform of bank risk.
【作者单位】：南开大学经济学院;中央财经大学会计学院;
【基金】：教育部人文社会科学重点研究基地重大项目“利率期限结构与货币政策效果:基于中国银行业的产业组织分析”(2009JJD790004)
【分类号】：F832.1;F224

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