商业银行市场竞争对风险承担行为的影响研究
发布时间：2019-01-11 12:54
【摘要】：20世纪70年代以来,金融自由化思潮兴起,西方各国逐步放松了对银行业的管制,银行业的竞争日趋激烈。竞争活跃了银行市场,带来了经营管理效率的提升和社会福利的改善。但是,之后发达国家频繁发生的银行倒闭事件却给我们敲响了警钟。学术界就竞争与银行业风险承担的关系进行了大量的研究,但结论莫衷一是。有的学者认为竞争会增加银行风险承担,增加银行系统的脆弱性;有的学者却认为竞争会促进银行的审慎经营,有利于银行系统的稳定;还有学者指出了竞争与风险承担的关系具有不确定性。尽管观点尚未统一,但竞争对于银行风险承担的影响却是毋庸置疑的。本文从理论和实证两个方面就银行竞争对风险承担的影响进行了分析。理论部分,本文在梳理银行竞争与风险承担相关理论的基础上,分别分析了存贷款竞争对风险承担的影响机制。针对存款市场,本文考虑了一个两期经济框架,以特许权价值框架理论框架为基础,借鉴Repullo(2004)的思路以动态博弈模型进行了解释。具体而言,存款竞争会推高存款利率,侵蚀银行的利润,增加银行选择高风险资产的激励,从而恶化银行风险承担。对于贷款市场,则以MMR理论模型解释竞争对银行风险承担的影响。贷款竞争会产生“风险转移效应”和“利润边际效应”,且由于两者作用方向不同,使得贷款竞争与银行风险承担呈现出“U”型关系。竞争会迫使银行降低贷款利率,使借款人负担减轻,从而减弱其冒险投资的倾向,最终带来风险承担的降低。而随着竞争日益激烈,越来越低的贷款利率却极大地损害银行的盈利能力,银行的风险随之增加。实证部分,本文选取1999-2014年我国14家主要的全国性银行的数据,利用Lerner指数对商业银行存款市场和贷款市场的竞争度进行了度量,并分析了存贷款价格竞争对商业银行风险的影响。结果表明,存款价格竞争与银行风险间存在线性关系,银行竞争有助于缓和银行流动性风险竞争,但却增加了银行的破产风险。此外,存款价格竞争虽然推高了银行成本,但由于贷款价格竞争约束,其成本并未转嫁到信贷市场引起信用风险恶化。而贷款价格竞争与银行风险间存在着U型关系,现阶段,我国信贷市场同时受“利润边际效应”和“风险转移效应”的影响,维持银行较高或者较低的竞争度均有利于银行的稳定。最后,基于研究结果结合我国当前国情提供了相应的政策性建议。
[Abstract]:Since 1970s, the trend of financial liberalization has risen, the western countries have gradually relaxed the control of the banking industry, and the competition of the banking industry is becoming more and more fierce. Competition enlivened the banking market and brought about the improvement of management efficiency and social welfare. However, the frequent bank failures in developed countries have sounded the alarm bell. The academic circles have carried on a lot of research on the relationship between competition and banking risk bearing, but the conclusion is not unanimous. Some scholars think that competition will increase the risk bearing of banks and increase the fragility of banking system, while some scholars think that competition will promote the prudent operation of banks, which is beneficial to the stability of banking system. Some scholars point out that the relationship between competition and risk bearing is uncertain. Although views are not yet uniform, the impact of competition on banks' exposure to risk is beyond doubt. This paper analyzes the impact of bank competition on risk taking from both theoretical and empirical aspects. In the theoretical part, this paper analyzes the influence mechanism of deposit and loan competition on risk taking on the basis of combing the relevant theories of bank competition and risk bearing. Aiming at the deposit market, this paper considers a two-period economic framework, based on the theoretical framework of concession value framework, and uses the idea of Repullo (2004) to explain it with the dynamic game model. In particular, deposit competition will push up deposit interest rates, erode banks' profits and increase incentives for banks to choose risky assets, thus exacerbating banks' risk-taking. For the loan market, the MMR model is used to explain the impact of competition on the risk bearing of banks. Loan competition will produce "risk transfer effect" and "profit margin effect", and the relationship between loan competition and bank risk bearing is "U" because of their different direction. Competition forces banks to lower lending rates, lightening the burden on borrowers, reducing their propensity to risk investment, and ultimately reducing risk taking. As the competition becomes more and more fierce, the lower and lower loan interest rate greatly impairs the profitability of the bank, and the risk of the bank increases. In the empirical part, we choose the data of 14 major national banks in China from 1999 to 2014, and use Lerner index to measure the competitive degree of deposit market and loan market of commercial banks. And analyzed the deposit and loan price competition to the commercial bank risk influence. The results show that there is a linear relationship between deposit price competition and bank risk. Bank competition helps to ease the liquidity risk competition, but increases the bank bankruptcy risk. In addition, although the deposit price competition has pushed up the bank cost, but because of the loan price competition constraint, its cost has not passed on to the credit market causes the credit risk to worsen. However, there is a U-type relationship between loan price competition and bank risk. At present, the credit market in China is affected by both "profit margin effect" and "risk transfer effect". Maintaining a higher or lower degree of competition is good for the stability of banks. Finally, based on the results of the study and the current situation of our country to provide the corresponding policy recommendations.
【学位授予单位】：重庆大学
【学位级别】：硕士
【学位授予年份】：2016
【分类号】：F832.33
[Abstract]:Since 1970s, the trend of financial liberalization has risen, the western countries have gradually relaxed the control of the banking industry, and the competition of the banking industry is becoming more and more fierce. Competition enlivened the banking market and brought about the improvement of management efficiency and social welfare. However, the frequent bank failures in developed countries have sounded the alarm bell. The academic circles have carried on a lot of research on the relationship between competition and banking risk bearing, but the conclusion is not unanimous. Some scholars think that competition will increase the risk bearing of banks and increase the fragility of banking system, while some scholars think that competition will promote the prudent operation of banks, which is beneficial to the stability of banking system. Some scholars point out that the relationship between competition and risk bearing is uncertain. Although views are not yet uniform, the impact of competition on banks' exposure to risk is beyond doubt. This paper analyzes the impact of bank competition on risk taking from both theoretical and empirical aspects. In the theoretical part, this paper analyzes the influence mechanism of deposit and loan competition on risk taking on the basis of combing the relevant theories of bank competition and risk bearing. Aiming at the deposit market, this paper considers a two-period economic framework, based on the theoretical framework of concession value framework, and uses the idea of Repullo (2004) to explain it with the dynamic game model. In particular, deposit competition will push up deposit interest rates, erode banks' profits and increase incentives for banks to choose risky assets, thus exacerbating banks' risk-taking. For the loan market, the MMR model is used to explain the impact of competition on the risk bearing of banks. Loan competition will produce "risk transfer effect" and "profit margin effect", and the relationship between loan competition and bank risk bearing is "U" because of their different direction. Competition forces banks to lower lending rates, lightening the burden on borrowers, reducing their propensity to risk investment, and ultimately reducing risk taking. As the competition becomes more and more fierce, the lower and lower loan interest rate greatly impairs the profitability of the bank, and the risk of the bank increases. In the empirical part, we choose the data of 14 major national banks in China from 1999 to 2014, and use Lerner index to measure the competitive degree of deposit market and loan market of commercial banks. And analyzed the deposit and loan price competition to the commercial bank risk influence. The results show that there is a linear relationship between deposit price competition and bank risk. Bank competition helps to ease the liquidity risk competition, but increases the bank bankruptcy risk. In addition, although the deposit price competition has pushed up the bank cost, but because of the loan price competition constraint, its cost has not passed on to the credit market causes the credit risk to worsen. However, there is a U-type relationship between loan price competition and bank risk. At present, the credit market in China is affected by both "profit margin effect" and "risk transfer effect". Maintaining a higher or lower degree of competition is good for the stability of banks. Finally, based on the results of the study and the current situation of our country to provide the corresponding policy recommendations.
【学位授予单位】：重庆大学
【学位级别】：硕士
【学位授予年份】：2016
【分类号】：F832.33
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