巴塞爾協(xié)議Ⅲ凈穩(wěn)定融資比率對(duì)商業(yè)銀行的影響——來(lái)自中國(guó)銀行業(yè)的證據(jù)
發(fā)布時(shí)間：2018-07-22 11:42
【摘要】：本文基于2000-2014年期間中國(guó)102家商業(yè)銀行的微觀數(shù)據(jù),采用動(dòng)態(tài)面板模型分別從銀行負(fù)債融資成本、貸款信用風(fēng)險(xiǎn)、貸款資產(chǎn)收益率、其他盈利資產(chǎn)收益率、生息資產(chǎn)盈利能力和單位資產(chǎn)盈利水平這六個(gè)角度實(shí)證檢驗(yàn)了巴塞爾協(xié)議Ⅲ中的長(zhǎng)期流動(dòng)性監(jiān)管指標(biāo)—凈穩(wěn)定融資比率對(duì)我國(guó)商業(yè)銀行的影響。研究結(jié)論表明:(1)凈穩(wěn)定融資比率的提高顯著提升了我國(guó)銀行的負(fù)債融資成本,降低了銀行的貸款信用風(fēng)險(xiǎn);(2)凈穩(wěn)定融資比率的提高會(huì)降低銀行的貸款資產(chǎn)收益率,提升其他盈利資產(chǎn)收益率水平,不能顯著提升銀行生息資產(chǎn)的盈利能力;(3)總體而言,凈穩(wěn)定融資比率的提高增加了銀行單位資產(chǎn)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.
【作者單位】： 華東師范大學(xué)經(jīng)濟(jì)學(xué)院金融系;上海財(cái)經(jīng)大學(xué)金融學(xué)院;
【基金】：國(guó)家自然科學(xué)基金2012年一般項(xiàng)目“拉動(dòng)-推動(dòng)框架下跨境資本異常流動(dòng)的識(shí)別、預(yù)警和監(jiān)管研究”(基金編號(hào):71273163);國(guó)家自然科學(xué)基金2015年一般項(xiàng)目“利率市場(chǎng)化進(jìn)程中商業(yè)銀行的信貸行為研究——理論分析與經(jīng)驗(yàn)證據(jù)”(基金編號(hào):G030201) 教育部2011年新世紀(jì)人才支持計(jì)劃項(xiàng)目 華東師范大學(xué)智庫(kù)培育項(xiàng)目的資助
【分類號(hào)】：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.
【作者單位】： 華東師范大學(xué)經(jīng)濟(jì)學(xué)院金融系;上海財(cái)經(jīng)大學(xué)金融學(xué)院;
【基金】：國(guó)家自然科學(xué)基金2012年一般項(xiàng)目“拉動(dòng)-推動(dòng)框架下跨境資本異常流動(dòng)的識(shí)別、預(yù)警和監(jiān)管研究”(基金編號(hào):71273163);國(guó)家自然科學(xué)基金2015年一般項(xiàng)目“利率市場(chǎng)化進(jìn)程中商業(yè)銀行的信貸行為研究——理論分析與經(jīng)驗(yàn)證據(jù)”(基金編號(hào):G030201) 教育部2011年新世紀(jì)人才支持計(jì)劃項(xiàng)目 華東師范大學(xué)智庫(kù)培育項(xiàng)目的資助
【分類號(hào)】：F832.33
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