摘要
已有文献大多研究市场利率的大小与银行风险承担之间的关系。基于我国市场利率曾经历过较大的波动的事实,本文研究了市场利率波动是否也会影响银行风险承担这一问题。首先,本文构建了同时考虑市场利率大小和市场利率波动的银行风险承担决策理论模型。其次,本文利用我国237家商业银行数据进行实证检验。结果发现,当市场利率波动增大时,银行风险承担水平显著地增加,这表明除市场利率大小外,市场利率波动也会影响银行的风险承担行为。进一步地,我们分析了在具有不同微观特征的银行样本中,市场利率波动对银行风险承担的影响有何不同。同时,多项稳健性检验都支持本文得到的结论。最后,基于得到的结论,本文给出了相应的政策建议。
Existed literatures have studied the relationship between interest rate level and bank risk-taking.Based on the facts that interest rate fluctuates too much in recent years,this paper investigated whether interest rate volatility also affects bank risk-taking.First,we built a model about bank risk-taking considering both the interest rate level and interest rate volatility.Then,we did empirical study by using 237 banks’data in our country.Results showed that when interest rate volatility increases,bank risk-taking level also significantly increases.It reveals that interest rate volatility also affect the bank risk-taking behavior.Furthermore,we analyzed the effect in different bank subsamples with different features of banks.Several robustness tests also support the conclusion in this paper.At last,based on the conclusion got in this paper,we gave some related policy suggestions.
作者
黎智滔
李仲飞
刘京军
Li Zhitao;Li Zhongfei;Liu Jingjun
出处
《金融学季刊》
2021年第3期178-200,共23页
Quarterly Journal of Finance
基金
国家自然科学基金创新群体项目(71721001)
国家自然科学基金重大项目(71991474)的资助
关键词
市场利率波动
银行风险承担
利率市场化
Interest Rate Volatility
Bank Risk-taking
Interest Rate Marketization
