中国银行集中度、竞争度对风险承担的影响

发布时间：2018-01-23 11:02

本文关键词： 集中度竞争度银行风险承担 Panzar-Rosse模型 MMR理论　出处：《复旦大学》2014年硕士论文　论文类型：学位论文

【摘要】：近几年来,随着银行业改革步伐的加快及监管部门对银行进入管制的放松,我国银行业集中度逐步下降。而由于银行行业的特殊性及在国民经济中的重要地位,放松银行业管制可能会影响银行业的稳定性。因此,学界对此进行了激烈的讨论。一种观点认为,随着银行业进入管制的放松,银行业的垄断租金将会下降,而新进入者对行业秩序的打乱或许会引起银行在激烈竞争中风险承担的提高,从而造成我国银行业的不稳定性。而另一种观点则认为,放松银行业的进入管制,可以通过竞争有效地提高银行业效率,通过市场来这只“无形的手”来引导银行业的健康发展,而非通过监管部门对银行业进入的保护,使得银行业没有良好的激励机制去提高效率,而坐享政府保护带来的垄断租金.关于银行竞争度变化对银行风险承担的影响机制,本文根据Martinez-Miera和Repullo(MMR,2010)的研究来构建理论模型,解释了竞争度与银行风险承担呈“U型”相关的原因。具体来讲,银行在贷款市场上的竞争将会降低贷款利率,从而降低贷款的违约率,因此银行的风险承担更低。而随着竞争继续增大,银行的贷款利率更低,银行从正常的贷款中获得的利息收入的减少超过因不良贷款下降而减少损失,银行最后利润下降,因此银行的风险更高。同时,本文认为过去学者把集中度和竞争度作为同一个测度来研究有失严谨。结合国内银行业实际情况,我国银行业相比起金融市场发达地区其集中度并不低,然而我国银行业同质化竞争非常高。因此,我国银行业的集中度与竞争度之间的关系并非完全负相关。针对该情况,本文中对银行集中度和竞争度的测度加以区分。使用Panzar-Rosse模型计算我国银行业的竞争度。接下来,本文通过116家银行2001-2012年的非平衡面板数据,就银行集中度与风险承担构建了模型并进行实证检验。考虑到之前大多数实证文章用线性模型来探讨的局限性,本文分别构建了用以赫芬达指数测量的集中度与以z值测量的风险承担二次型关系及线性关系的实证模型。发现虽然银行的集中度与银行的风险承担呈“倒U型”相关且显著,但是由于本文的样本区间均在“倒U型”关系的左侧,即结合中国实际数据及实际约束,中国银行业的集中度与风险承担呈显著正相关关系。并且在线性模型中两者也是显著正相关。而对银行竞争度与风险承担的研究发现二者具有显著正相关关系,但二次型关系不显著。研究还发现,银行竞争度并不是导致银行集中度与银行风险正相关的中介变量。最后,根据结论和我国的现实情况来给出政策建议。
[Abstract]:In recent years, with the quickening of the pace of banking reform and the relaxation of supervision and control on the entry of banks, the banking concentration in China has gradually decreased. However, due to the particularity of the banking industry and its important position in the national economy. Deregulation of the banking sector may affect the stability of the banking sector. Therefore, there has been a heated discussion in the academic community. One view is that the monopoly rent of the banking industry will decrease as the banking sector enters the regulation of deregulation. The disruption of the order of the industry by the new entrants may lead to the increase of the risk assumption of the banks in the fierce competition, which will lead to the instability of the banking industry in China. The other view is that the entry regulation of the banking industry should be relaxed. We can improve the efficiency of banking effectively through competition, and guide the healthy development of banking through the invisible hand of the market, rather than the protection of the entry of the banking sector through the regulatory authorities. So that the banking industry does not have a good incentive mechanism to improve efficiency and enjoy the monopoly rent brought by the government protection. In this paper, the theoretical model is constructed based on the research of Martinez-Miera and Repullol MMR-2010. This paper explains the reason that the degree of competition and the risk bearing of banks are U-shaped. Specifically, the competition of banks in the loan market will lower the interest rate of loans and thus reduce the default rate of loans. As a result, banks take lower risks. And as competition continues to increase, banks have lower interest rates on loans, and banks earn more interest income from normal loans than they lose as a result of the decline in non-performing loans. At the same time, this paper thinks that it is not strict to study the degree of concentration and competition as the same measure in the past, combined with the actual situation of domestic banking. Compared with the developed regions of financial market, the concentration of banking in our country is not low, but the homogenization competition of banking in our country is very high. The relationship between banking concentration and competition is not completely negative correlation. This paper makes a distinction between the degree of banking concentration and the degree of competition. The Panzar-Rosse model is used to calculate the degree of competition of the banking industry in China. This paper uses the non-equilibrium panel data of 116 banks from 2001 to 2012. This paper constructs a model of bank concentration and risk-taking and carries out an empirical test, taking into account the limitations of most previous empirical studies using linear models. In this paper, an empirical model of the quadratic and linear relationship between the concentration degree measured by the Her#internal_person0# index and the risk assumption measured by z value is constructed, and it is found that although the concentration degree of the bank is related to the risk bearing of the bank, Inverted U type was correlated and significant. However, the sample interval of this paper is on the left side of the "inverted U-shaped" relationship, that is, the combination of the actual data and the actual constraints in China. There is a significant positive correlation between the degree of concentration and risk taking in China's banking industry. And in the linear model, there is also a significant positive correlation between the degree of banking competition and the risk taking, while the study of the degree of bank competition and risk bearing shows that there is a significant positive correlation between them. However, the quadratic relationship is not significant. It is also found that the degree of bank competition is not the intermediary variable that leads to the positive correlation between banking concentration and bank risk. Finally, the policy recommendations are given according to the conclusion and the actual situation of our country.
【学位授予单位】：复旦大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.33

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