商業(yè)銀行市場競爭對風(fēng)險承擔(dān)行為的影響研究
發(fā)布時間：2019-01-11 12:54
【摘要】：20世紀(jì)70年代以來,金融自由化思潮興起,西方各國逐步放松了對銀行業(yè)的管制,銀行業(yè)的競爭日趨激烈。競爭活躍了銀行市場,帶來了經(jīng)營管理效率的提升和社會福利的改善。但是,之后發(fā)達(dá)國家頻繁發(fā)生的銀行倒閉事件卻給我們敲響了警鐘。學(xué)術(shù)界就競爭與銀行業(yè)風(fēng)險承擔(dān)的關(guān)系進(jìn)行了大量的研究,但結(jié)論莫衷一是。有的學(xué)者認(rèn)為競爭會增加銀行風(fēng)險承擔(dān),增加銀行系統(tǒng)的脆弱性;有的學(xué)者卻認(rèn)為競爭會促進(jìn)銀行的審慎經(jīng)營,有利于銀行系統(tǒng)的穩(wěn)定;還有學(xué)者指出了競爭與風(fēng)險承擔(dān)的關(guān)系具有不確定性。盡管觀點(diǎn)尚未統(tǒng)一,但競爭對于銀行風(fēng)險承擔(dān)的影響卻是毋庸置疑的。本文從理論和實(shí)證兩個方面就銀行競爭對風(fēng)險承擔(dān)的影響進(jìn)行了分析。理論部分,本文在梳理銀行競爭與風(fēng)險承擔(dān)相關(guān)理論的基礎(chǔ)上,分別分析了存貸款競爭對風(fēng)險承擔(dān)的影響機(jī)制。針對存款市場,本文考慮了一個兩期經(jīng)濟(jì)框架,以特許權(quán)價值框架理論框架為基礎(chǔ),借鑒Repullo(2004)的思路以動態(tài)博弈模型進(jìn)行了解釋。具體而言,存款競爭會推高存款利率,侵蝕銀行的利潤,增加銀行選擇高風(fēng)險資產(chǎn)的激勵,從而惡化銀行風(fēng)險承擔(dān)。對于貸款市場,則以MMR理論模型解釋競爭對銀行風(fēng)險承擔(dān)的影響。貸款競爭會產(chǎn)生“風(fēng)險轉(zhuǎn)移效應(yīng)”和“利潤邊際效應(yīng)”,且由于兩者作用方向不同,使得貸款競爭與銀行風(fēng)險承擔(dān)呈現(xiàn)出“U”型關(guān)系。競爭會迫使銀行降低貸款利率,使借款人負(fù)擔(dān)減輕,從而減弱其冒險投資的傾向,最終帶來風(fēng)險承擔(dān)的降低。而隨著競爭日益激烈,越來越低的貸款利率卻極大地?fù)p害銀行的盈利能力,銀行的風(fēng)險隨之增加。實(shí)證部分,本文選取1999-2014年我國14家主要的全國性銀行的數(shù)據(jù),利用Lerner指數(shù)對商業(yè)銀行存款市場和貸款市場的競爭度進(jìn)行了度量,并分析了存貸款價格競爭對商業(yè)銀行風(fēng)險的影響。結(jié)果表明,存款價格競爭與銀行風(fēng)險間存在線性關(guān)系,銀行競爭有助于緩和銀行流動性風(fēng)險競爭,但卻增加了銀行的破產(chǎn)風(fēng)險。此外,存款價格競爭雖然推高了銀行成本,但由于貸款價格競爭約束,其成本并未轉(zhuǎn)嫁到信貸市場引起信用風(fēng)險惡化。而貸款價格競爭與銀行風(fēng)險間存在著U型關(guān)系,現(xiàn)階段,我國信貸市場同時受“利潤邊際效應(yīng)”和“風(fēng)險轉(zhuǎn)移效應(yīng)”的影響,維持銀行較高或者較低的競爭度均有利于銀行的穩(wěn)定。最后,基于研究結(jié)果結(jié)合我國當(dāng)前國情提供了相應(yīng)的政策性建議。
[Abstract]:Since 1970s, the trend of financial liberalization has risen, the western countries have gradually relaxed the control of the banking industry, and the competition of the banking industry is becoming more and more fierce. Competition enlivened the banking market and brought about the improvement of management efficiency and social welfare. However, the frequent bank failures in developed countries have sounded the alarm bell. The academic circles have carried on a lot of research on the relationship between competition and banking risk bearing, but the conclusion is not unanimous. Some scholars think that competition will increase the risk bearing of banks and increase the fragility of banking system, while some scholars think that competition will promote the prudent operation of banks, which is beneficial to the stability of banking system. Some scholars point out that the relationship between competition and risk bearing is uncertain. Although views are not yet uniform, the impact of competition on banks' exposure to risk is beyond doubt. This paper analyzes the impact of bank competition on risk taking from both theoretical and empirical aspects. In the theoretical part, this paper analyzes the influence mechanism of deposit and loan competition on risk taking on the basis of combing the relevant theories of bank competition and risk bearing. Aiming at the deposit market, this paper considers a two-period economic framework, based on the theoretical framework of concession value framework, and uses the idea of Repullo (2004) to explain it with the dynamic game model. In particular, deposit competition will push up deposit interest rates, erode banks' profits and increase incentives for banks to choose risky assets, thus exacerbating banks' risk-taking. For the loan market, the MMR model is used to explain the impact of competition on the risk bearing of banks. Loan competition will produce "risk transfer effect" and "profit margin effect", and the relationship between loan competition and bank risk bearing is "U" because of their different direction. Competition forces banks to lower lending rates, lightening the burden on borrowers, reducing their propensity to risk investment, and ultimately reducing risk taking. As the competition becomes more and more fierce, the lower and lower loan interest rate greatly impairs the profitability of the bank, and the risk of the bank increases. In the empirical part, we choose the data of 14 major national banks in China from 1999 to 2014, and use Lerner index to measure the competitive degree of deposit market and loan market of commercial banks. And analyzed the deposit and loan price competition to the commercial bank risk influence. The results show that there is a linear relationship between deposit price competition and bank risk. Bank competition helps to ease the liquidity risk competition, but increases the bank bankruptcy risk. In addition, although the deposit price competition has pushed up the bank cost, but because of the loan price competition constraint, its cost has not passed on to the credit market causes the credit risk to worsen. However, there is a U-type relationship between loan price competition and bank risk. At present, the credit market in China is affected by both "profit margin effect" and "risk transfer effect". Maintaining a higher or lower degree of competition is good for the stability of banks. Finally, based on the results of the study and the current situation of our country to provide the corresponding policy recommendations.
【學(xué)位授予單位】：重慶大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2016
【分類號】：F832.33
[Abstract]:Since 1970s, the trend of financial liberalization has risen, the western countries have gradually relaxed the control of the banking industry, and the competition of the banking industry is becoming more and more fierce. Competition enlivened the banking market and brought about the improvement of management efficiency and social welfare. However, the frequent bank failures in developed countries have sounded the alarm bell. The academic circles have carried on a lot of research on the relationship between competition and banking risk bearing, but the conclusion is not unanimous. Some scholars think that competition will increase the risk bearing of banks and increase the fragility of banking system, while some scholars think that competition will promote the prudent operation of banks, which is beneficial to the stability of banking system. Some scholars point out that the relationship between competition and risk bearing is uncertain. Although views are not yet uniform, the impact of competition on banks' exposure to risk is beyond doubt. This paper analyzes the impact of bank competition on risk taking from both theoretical and empirical aspects. In the theoretical part, this paper analyzes the influence mechanism of deposit and loan competition on risk taking on the basis of combing the relevant theories of bank competition and risk bearing. Aiming at the deposit market, this paper considers a two-period economic framework, based on the theoretical framework of concession value framework, and uses the idea of Repullo (2004) to explain it with the dynamic game model. In particular, deposit competition will push up deposit interest rates, erode banks' profits and increase incentives for banks to choose risky assets, thus exacerbating banks' risk-taking. For the loan market, the MMR model is used to explain the impact of competition on the risk bearing of banks. Loan competition will produce "risk transfer effect" and "profit margin effect", and the relationship between loan competition and bank risk bearing is "U" because of their different direction. Competition forces banks to lower lending rates, lightening the burden on borrowers, reducing their propensity to risk investment, and ultimately reducing risk taking. As the competition becomes more and more fierce, the lower and lower loan interest rate greatly impairs the profitability of the bank, and the risk of the bank increases. In the empirical part, we choose the data of 14 major national banks in China from 1999 to 2014, and use Lerner index to measure the competitive degree of deposit market and loan market of commercial banks. And analyzed the deposit and loan price competition to the commercial bank risk influence. The results show that there is a linear relationship between deposit price competition and bank risk. Bank competition helps to ease the liquidity risk competition, but increases the bank bankruptcy risk. In addition, although the deposit price competition has pushed up the bank cost, but because of the loan price competition constraint, its cost has not passed on to the credit market causes the credit risk to worsen. However, there is a U-type relationship between loan price competition and bank risk. At present, the credit market in China is affected by both "profit margin effect" and "risk transfer effect". Maintaining a higher or lower degree of competition is good for the stability of banks. Finally, based on the results of the study and the current situation of our country to provide the corresponding policy recommendations.
【學(xué)位授予單位】：重慶大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2016
【分類號】：F832.33
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