商业银行同业资产特性与风险承担行为——基于中国银行业动态面板系统GMM的实证分析
发布时间：2018-12-25 17:21
【摘要】：本文基于2008-2015年中国42家上市和非上市商业银行的非平衡面板数据,采用系统GMM两步法实证分析了商业银行同业资产规模及结构特性对风险承担行为的影响。研究结果表明,商业银行同业资产业务扩张对银行风险承担存在正向效应,即同业资产扩张提高了银行的风险承担。在同业资产业务结构中,传统同业资产业务(存放同业与拆出资金)扩张对银行风险承担存在负向效应,新兴同业资产业务(买入返售金融资产)扩张对银行风险承担存在正向效应,正向效应大于负向效应,因而总效应为正。具有不同财务特征的商业银行在同业资产业务对风险承担的影响上存在明显的异质性。资产规模较大和经营效率较低的银行,同业资产业务经营行为较为稳健,风险承担水平上升较慢,而流动性较高的银行,同业资产业务经营行为较为激进,风险承担水平上升较快。
[Abstract]:Based on the non-equilibrium panel data of 42 listed and unlisted commercial banks in China from 2008 to 2015, this paper empirically analyzes the influence of the scale and structure of interbank assets on risk-bearing behavior by using the systematic GMM two-step method. The results show that the expansion of interbank assets has a positive effect on the risk bearing of banks, that is, the expansion of interbank assets increases the risk bearing of banks. In the structure of interbank asset business, the expansion of traditional interbank assets (deposit and offer out of funds) has a negative effect on the risk bearing of banks. The expansion of emerging interbank assets (buy-and-sell financial assets) has a positive effect on the risk bearing of banks, and the positive effect is greater than the negative effect, so the total effect is positive. Commercial banks with different financial characteristics have obvious heterogeneity in the influence of interbank assets on risk taking. For banks with larger assets and lower operating efficiency, the interbank assets business is more stable, and the risk-bearing level is rising more slowly, while for the banks with high liquidity, the interbank asset business management behavior is more radical. The level of risk-taking is rising faster.
【作者单位】： 湖南大学金融与统计学院;
【基金】：湖南社会科学基金项目(项目编号:16YBA077) 湖南大学资政研究专项项目(项目编号:531107050852)资助
【分类号】：F832.33
[Abstract]:Based on the non-equilibrium panel data of 42 listed and unlisted commercial banks in China from 2008 to 2015, this paper empirically analyzes the influence of the scale and structure of interbank assets on risk-bearing behavior by using the systematic GMM two-step method. The results show that the expansion of interbank assets has a positive effect on the risk bearing of banks, that is, the expansion of interbank assets increases the risk bearing of banks. In the structure of interbank asset business, the expansion of traditional interbank assets (deposit and offer out of funds) has a negative effect on the risk bearing of banks. The expansion of emerging interbank assets (buy-and-sell financial assets) has a positive effect on the risk bearing of banks, and the positive effect is greater than the negative effect, so the total effect is positive. Commercial banks with different financial characteristics have obvious heterogeneity in the influence of interbank assets on risk taking. For banks with larger assets and lower operating efficiency, the interbank assets business is more stable, and the risk-bearing level is rising more slowly, while for the banks with high liquidity, the interbank asset business management behavior is more radical. The level of risk-taking is rising faster.
【作者单位】： 湖南大学金融与统计学院;
【基金】：湖南社会科学基金项目(项目编号:16YBA077) 湖南大学资政研究专项项目(项目编号:531107050852)资助
【分类号】：F832.33
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