商业银行市场竞争与风险行为关系研究

发布时间：2019-05-15 14:58

【摘要】：自20世纪70年代起，伴随世界经济、金融秩序的变化，西方各国开始逐步放松金融管制措施，拉开了金融自由化浪潮的帷幕。在这一时期，银行机构和金融市场的运作效率得到了极大的提升，但银行倒闭事件的频繁出现却也为金融系统的平稳发展蒙上了阴影。学术界和各国监管当局在追溯银行体系脆弱性根源的过程中，曾一度将银行竞争的兴起视为恶化机构风险，破坏行业稳定的源头。但随着研究的深入，该观点受到了越来越多的质疑。反对者认为市场竞争非但不会导致银行的风险承担，反而有助于其保持审慎和自律。尽管两派观点争执不下，但各国当局已自此充分认识到竞争对银行风险和系统安全的关键作用，并在对竞争政策的制定和执行上逐渐形成了谨慎严格的态度。中国银行业市场化改革自20世纪80年代启动以来，通过对市场参与主体的培育和现代金融企业制度的确立，特别是进入新世纪后，凭借对外资银行的准入，国有银行产权改革的推进和人民币存、贷款利率市场化的深入，成功将市场竞争机制引入银行系统，建立及巩固了行业市场竞争格局。这在显著提升银行经营效率和行业内部活力的同时，却也使监管当局安全性监管目标的实现面临着更为严峻的考验。为明晰中国银行业渐进化改革进程中商业银行市场竞争与风险行为的复杂关系，健全监管当局对新的竞争性环境下维护银行体系稳健的认知，并对其当前及下一阶段安全监管框架的构建形成参考，本文在传统银行竞争风险研究的基础上，结合中国银行业经营和改革实践，从“批发资金融资”、“风险转移”和“信贷甄别”等视角着眼，分别对存、贷款市场上市场竞争与银行风险的历史关系进行了回顾和检验，并对各自市场上两者关系的运行机制和临界条件展开了深入探究。本文的主要创新性工作包括： ①结合国外经验启示和中国银行业融资实践，将为传统理论所忽视，但对中国银行业吸储行为有深刻影响的银行间市场批发资金融资引入经典存款竞争框架，通过对银行现实融资组合行为的数理建模，首先着重研究了存款利率市场化环境下，价格自由竞争对银行风险行为的内在影响机制。该工作相比目前国内学界在逻辑推论和仿真模拟层面上对中国未来利率市场化条件下存款竞争风险的预测，对这一问题提供了深入细微的洞察。本文其次通过对主要模型的简要扩展，补充分析了存款利率严格管制时期银行各种非价格和变相价格竞争行为对其风险行为的影响，以及存款利率制度转轨时期银行风险行为的变动机制。研究指出：当银行间市场约束不存在时，存款竞争对银行风险存在单向影响；而在银行间市场约束条件下，市场竞争会缓解高存款市场份额银行的风险激励，，并刺激低存款市场份额银行的风险行为。该结论在零售存款利率自由浮动和利率上限管制环境下均成立。另外，在利率转轨过程中，利率上限的适度提高，并不会给银行体系带来额外风险，相反能有效减少银行的隐性支付和变相付息行为。 ②针对传统研究在从“信贷甄别”视角对贷款市场竞争风险进行解读时，仅局限于对甄别投入变化对甄别结果准确性影响的研究所造成的分析和结论完整性的欠缺，本文将贷款价格竞争对借款人风险分布以及信贷甄别效率的内生影响纳入研究框架，通过对竞争性条件下甄别活动两类相反的风险效应的数理分析，厘清了贷款价格竞争与银行风险行为关系“信贷甄别”传导渠道的运行机制和边界条件。研究表明：对于执行事前信贷甄别的银行而言，市场竞争压力的风险影响取决于甄别投入效应（甄别投入对信息精度和甄别结果准确性的作用）与甄别效率效应（给定甄别投入，借款人风险构成对甄别难易度以及结果正确性的影响）的共同作用。前者会刺激银行的风险水平，而后者则有益于机构的风险平抑。当贷款需求价格弹性偏低时，甄别效率效应占优，竞争与银行风险反向关联。 ③结合中国银行业利率市场化改革实践，分别对商业银行存、贷款市场竞争与风险行为的关系开展了实证研究，弥补了国内文献仅着眼于对银行综合市场竞争风险效应进行评价所产生的不足，对已有成果的分析和结论做出了扩充。在存款竞争风险实证研究部分，本文将银行间市场批发资金融资条件引入传统实证模型，在新的框架设计下通过对个体银行存款市场竞争压力的准确定量，实证检验了严格利率管制时期商业银行零售存款竞争、批发资金融资与风险行为的相互关系。主要研究结果发现：在严格利率管制时期，存款利率上限控制并未完全抑制银行的风险动机。各种非价格竞争和变相价格竞争行为仍在一定程度上损害了银行的稳定；在贷款竞争风险实证研究部分，针对商业银行在利率市场化进程中日趋重要的价格竞争行为，本文在对个体银行价格竞争压力进行精确测算，并对利率改革过程中市场价格竞争格局的演变路径展开详细分析的基础上，实证研究了信贷自主权下放以来商业银行价格竞争对其风险行为的影响。主要研究结果表明：当前在中国贷款市场上，由于价格竞争水平总体偏低，“风险转移效应”占据主导，价格竞争有助于缓解银行信贷风险。但是，由于资本要求监管的作用以及长期以来价格竞争影响力偏低的缘故，价格竞争对银行整体经营风险的控制无显著影响。
[Abstract]:Since the 1970s, with the change of the world economy and financial order, the western countries began to relax the financial control measures, and opened the curtain of the wave of financial liberalization. In this period, the efficiency of the operation of banking institutions and financial markets has been greatly improved, but the frequent occurrence of bank collapse has also cast a shadow on the smooth development of the financial system. In the process of tracing the root causes of the fragility of the banking system, the academic circles and the national regulators have once regarded the rise of the bank's competition as the source of the deterioration of the institutional risk and the stability of the industry. But as the research goes deep, the view has been questioned more and more. Opponents argue that the market competition will not only lead to the risk of the bank, but also to keep it prudent and self-disciplined. Despite the contention of the two factions, national authorities have since been fully aware of the key role of competition in the risk and system security of banks and have gradually taken a cautious and strict attitude towards the development and implementation of competition policy. Since the start of the 1980s, the reform of China's banking market has passed the establishment of the market participation subject and the establishment of the modern financial enterprise system. Especially after entering the new century, the reform of the state-owned banks' property rights and the RMB In-depth of the market of the interest rate of the loan, the market competition mechanism is successfully introduced into the banking system, and the market competition in the industry is established and consolidated. At the same time as the efficiency of the operation of the bank and the internal vitality of the industry are obviously improved, the safety supervision target of the regulatory authorities is faced with a more serious examination. In order to clarify the complex relationship between the market competition and the risk behavior of the commercial banks in the process of the gradual evolution of the Chinese banking industry, the sound supervision authorities will maintain a sound understanding of the banking system in the new competitive environment, and the construction of the current and next stage of the safety supervision framework In this paper, based on the research of the traditional bank's competitive risk, this paper reviews the historical relationship between the market competition and the bank risk in the market of the loan market, from the perspective of the "Financing of wholesale financing", the "risk transfer" and the "credit screening", in combination with the practice of China's banking operation and reform. and the operation mechanism and the critical condition of the relationship between the two markets are deep, Inquiring. The main innovation of this paper Sex work includes: combining foreign experience and the practice of China's banking financing, it will be ignored by the traditional theory, but the financing of the wholesale financing of the inter-bank market which has a profound impact on China's banking and storage behavior is introduced. In this paper, through the mathematical modeling of the bank's realistic financing portfolio, the paper first focuses on the study of the bank's risk behavior under the circumstance of the market-oriented interest rate and the free competition of the price. The internal influence mechanism of China's deposit competition risk under the market-oriented condition of the future interest rate in China compared with the current domestic academic circle at the level of logic inference and simulation is provided. In this paper, through the brief extension of the main model, the paper also analyzes the influence of various non-price and disguised price competition of the bank on the risk behavior of the bank in the strict control period of the deposit interest rate, and the bank risk in the transitional period of the deposit interest rate system. The study points out that, when the inter-bank market constraint does not exist, the deposit competition has a one-way effect on the risk of the bank, and under the constraint of the inter-bank market, the market competition will relieve the risk incentive of the high-deposit market share bank and stimulate the low-deposit market share The risk behavior of the bank. The conclusion is the free floating of the retail deposit interest rate and the upper limit of interest rate. In addition, in the process of the transition of interest rate, the moderate increase of the upper limit of interest rate will not bring additional risks to the banking system, but the implicit payment of the bank can be effectively reduced In view of the traditional research, the paper analyzes the risk of the loan market competition from the perspective of the "credit screening", and is only limited to the analysis of the research on the influence of the change of the input change on the accuracy of the discrimination result. And the internal influence of the loan price competition on the borrower's risk distribution and the credit screening efficiency is included in the research framework. On the basis of the mathematical analysis of the risk effect, the "credit screening" of the relationship between the price competition of the loan and the risk behavior of the bank is clarified. The study shows that the risk of market competition pressure is dependent on the discrimination input effect (the effect of discriminating input on the accuracy of the information and the accuracy of the discrimination result) and the screening efficiency for banks that perform the prior credit screening. Effect (Given the screening input, the borrower's risk constitutes the difficulty of screening and the correctness of the results) The former will stimulate the risk level of the bank and the latter will When the demand price of the loan is low, the efficiency effect of the discrimination is dominant and the competition is competitive. In combination with the practice of China's banking interest rate market-oriented reform, this paper makes an empirical study on the relationship between the commercial bank deposit, the loan market competition and the risk behavior, and makes up the domestic literature, which only focuses on the risk effect on the comprehensive market competition of the bank The lack of evaluation should be carried out and the results have been achieved The analysis and conclusion have been extended. In the part of the empirical research on the risk of deposit competition, this paper introduces the financing conditions of the inter-bank market wholesale finance into the traditional empirical model, and under the new framework design, through the bank deposit of the individual The accurate and quantitative analysis of the market competition pressure has proved that the commercial bank's retail deposit competition and the wholesale-funded finance in the period of strict interest rate control The main research result shows that during the period of strict interest rate control, the upper limit of deposit interest rate is not controlled All kinds of non-price competition and disguised price competition are still in a certain extent to the stability of the bank; in the case of the empirical research of the risk of the loan competition, the commercial bank is in the process of the market-oriented interest rate In this paper, the price competition pressure of individual banks is accurately measured, and the evolution path of the market price competition pattern in the process of interest rate reform is analyzed in detail, and the price of commercial banks since the decentralization of credit autonomy has been studied. The main research results show that, in China's loan market, the price competition level is generally low, the risk transfer effect "takes the lead, and the price competition It is helpful to mitigate the bank credit risk. However, due to the regulatory role of capital requirements and the low influence of long-term price competition, the price competition is the whole of the bank.
【学位授予单位】：重庆大学
【学位级别】：博士
【学位授予年份】：2013
【分类号】：F832.33

【参考文献】