巴塞尔协议Ⅲ净稳定融资比率对商业银行的影响——来自中国银行业的证据
发布时间：2018-07-22 11:42
【摘要】：本文基于2000-2014年期间中国102家商业银行的微观数据,采用动态面板模型分别从银行负债融资成本、贷款信用风险、贷款资产收益率、其他盈利资产收益率、生息资产盈利能力和单位资产盈利水平这六个角度实证检验了巴塞尔协议Ⅲ中的长期流动性监管指标—净稳定融资比率对我国商业银行的影响。研究结论表明:(1)净稳定融资比率的提高显著提升了我国银行的负债融资成本,降低了银行的贷款信用风险;(2)净稳定融资比率的提高会降低银行的贷款资产收益率,提升其他盈利资产收益率水平,不能显著提升银行生息资产的盈利能力;(3)总体而言,净稳定融资比率的提高增加了银行单位资产盈利水平。
[Abstract]:Based on the microcosmic data of 102 commercial banks in China from 2000 to 2014, this paper adopts dynamic panel model to analyze the bank debt financing cost, loan credit risk, loan asset yield, and other profit asset returns. From the six angles of profitability of interest-bearing assets and profit level of unit assets, this paper empirically tests the influence of net stable financing ratio, a long-term liquidity regulatory indicator in Basel III, on commercial banks in China. The conclusions are as follows: (1) the increase of net stable financing ratio significantly increases the debt financing cost and reduces the loan credit risk of the banks; (2) the increase of the net stable financing ratio will reduce the return on loan assets of the banks. Raising the rate of return on other profitable assets does not significantly improve the profitability of interest-bearing assets of banks; (3) overall, the increase in the net stable financing ratio increases the profitability of banks' unit assets.
【作者单位】： 华东师范大学经济学院金融系;上海财经大学金融学院;
【基金】：国家自然科学基金2012年一般项目“拉动-推动框架下跨境资本异常流动的识别、预警和监管研究”(基金编号:71273163);国家自然科学基金2015年一般项目“利率市场化进程中商业银行的信贷行为研究——理论分析与经验证据”(基金编号:G030201) 教育部2011年新世纪人才支持计划项目 华东师范大学智库培育项目的资助
【分类号】：F832.33
[Abstract]:Based on the microcosmic data of 102 commercial banks in China from 2000 to 2014, this paper adopts dynamic panel model to analyze the bank debt financing cost, loan credit risk, loan asset yield, and other profit asset returns. From the six angles of profitability of interest-bearing assets and profit level of unit assets, this paper empirically tests the influence of net stable financing ratio, a long-term liquidity regulatory indicator in Basel III, on commercial banks in China. The conclusions are as follows: (1) the increase of net stable financing ratio significantly increases the debt financing cost and reduces the loan credit risk of the banks; (2) the increase of the net stable financing ratio will reduce the return on loan assets of the banks. Raising the rate of return on other profitable assets does not significantly improve the profitability of interest-bearing assets of banks; (3) overall, the increase in the net stable financing ratio increases the profitability of banks' unit assets.
【作者单位】： 华东师范大学经济学院金融系;上海财经大学金融学院;
【基金】：国家自然科学基金2012年一般项目“拉动-推动框架下跨境资本异常流动的识别、预警和监管研究”(基金编号:71273163);国家自然科学基金2015年一般项目“利率市场化进程中商业银行的信贷行为研究——理论分析与经验证据”(基金编号:G030201) 教育部2011年新世纪人才支持计划项目 华东师范大学智库培育项目的资助
【分类号】：F832.33
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