【摘要】：本文基于2008-2015年中國42家上市和非上市商業(yè)銀行的非平衡面板數(shù)據(jù),采用系統(tǒng)GMM兩步法實(shí)證分析了商業(yè)銀行同業(yè)資產(chǎn)規(guī)模及結(jié)構(gòu)特性對風(fēng)險(xiǎn)承擔(dān)行為的影響。研究結(jié)果表明,商業(yè)銀行同業(yè)資產(chǎn)業(yè)務(wù)擴(kuò)張對銀行風(fēng)險(xiǎn)承擔(dān)存在正向效應(yīng),即同業(yè)資產(chǎn)擴(kuò)張?zhí)岣吡算y行的風(fēng)險(xiǎn)承擔(dān)。在同業(yè)資產(chǎn)業(yè)務(wù)結(jié)構(gòu)中,傳統(tǒng)同業(yè)資產(chǎn)業(yè)務(wù)(存放同業(yè)與拆出資金)擴(kuò)張對銀行風(fēng)險(xiǎn)承擔(dān)存在負(fù)向效應(yīng),新興同業(yè)資產(chǎn)業(yè)務(wù)(買入返售金融資產(chǎn))擴(kuò)張對銀行風(fēng)險(xiǎn)承擔(dān)存在正向效應(yīng),正向效應(yīng)大于負(fù)向效應(yīng),因而總效應(yīng)為正。具有不同財(cái)務(wù)特征的商業(yè)銀行在同業(yè)資產(chǎn)業(yè)務(wù)對風(fēng)險(xiǎn)承擔(dān)的影響上存在明顯的異質(zhì)性。資產(chǎn)規(guī)模較大和經(jīng)營效率較低的銀行,同業(yè)資產(chǎn)業(yè)務(wù)經(jīng)營行為較為穩(wěn)健,風(fēng)險(xiǎn)承擔(dān)水平上升較慢,而流動性較高的銀行,同業(yè)資產(chǎn)業(yè)務(wù)經(jīng)營行為較為激進(jìn),風(fēng)險(xiǎn)承擔(dān)水平上升較快。
[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.
【作者單位】： 湖南大學(xué)金融與統(tǒng)計(jì)學(xué)院;
【基金】：湖南社會科學(xué)基金項(xiàng)目(項(xiàng)目編號:16YBA077) 湖南大學(xué)資政研究專項(xiàng)項(xiàng)目(項(xiàng)目編號:531107050852)資助
【分類號】：F832.33

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