宏观经济波动下银行风险承担水平研究——基于股权结构异质性的视角

发布时间：2018-04-13 14:14

本文选题：宏观经济波动 + 股权结构　；参考：《财贸经济》2012年10期

【摘要】：宏观经济波动将改变商业银行风险承担水平,而银行股权结构的不同将使两者之间的关联呈现差异。本文以我国45家商业银行2005-2010年间的年度非平衡面板数据为研究样本,运用动态面板模型,实证检验了宏观经济波动下拥有不同股权结构的商业银行的风险承担水平的差异。结果表明,宏观经济波动与银行风险水平负相关,正向(负向)的宏观经济冲击使得银行风险降低(提高);而银行所有权结构中国有股占比的上升会显著增强银行风险承担水平与宏观经济波动之间的敏感性,当经济处于上行(下行)周期时,国有股占比较高的银行的风险将大幅降低(提高)。
[Abstract]:The fluctuation of macro economy will change the commercial bank risk level, and the different ownership structure of the bank will make the link between the two. This paper presents the differences of 45 commercial banks in China during the past 2005-2010 years, the annual unbalanced panel data for the study sample, using the dynamic panel model, empirical test for differences in the risk of macroeconomic volatility has different equity the structure of the commercial banks bear level. The results show that macroeconomic volatility and bank risk level of negative correlation, positive (negative) of the macroeconomic impact of the bank risk reduction (increased); and the bank ownership structure has China shares accounting for rise will significantly enhance the sensitivity between the level of bank risk and macroeconomic fluctuation and when the economy is in the uplink (downlink) period, the state-owned shares accounted for a relatively high risk of banks will significantly reduce (increase).

【作者单位】：武汉大学经济与管理学院;
【基金】：国家社科基金重点项目“完善国有控股商业银行公司治理机制研究”(项目编号:10AZD019) 2012年国家社科基金重大项目“完善宏观金融调控体系研究——基于针对性、灵活性和前瞻性的视角” 教育部人文社科重点研究基地重大项目“逆周期宏观调控政策与中国经济平衡增长研究”(项目编号:10JJD790003)的资助
【分类号】：F832.33;F224

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