摘要
近年来,同业负债成为商业银行进行表内监管套利的重要资金来源。同业负债扩张导致同业杠杆率攀升,这会对银行信贷风险产生何种影响?文章阐述了同业杠杆率攀升的本质是同业影子信贷扩张,并考察了它对银行信贷风险的冲击效应。研究发现:第一,随着同业杠杆率的攀升,商业银行的信贷风险呈现先下降而后上升的趋势。第二,同业杠杆率对信贷风险的影响因银行规模不同而存在差异:对于国有五大行、城商行和农商行,同业杠杆率攀升有助于缓解信贷风险;而对于股份制商业银行,随着同业杠杆率的攀升,信贷风险增加。第三,在考虑同业存单后,除了大型国有银行外,同业杠杆率攀升会加剧其他银行的信贷风险。第四,同业杠杆率攀升会抑制货币政策的信贷传导。文章将影子信贷扩张的经济后果研究从如何影响流动性风险拓展至如何影响信贷风险,并为实施差异化的风险监管、优化货币政策调控提供了参考依据。
With the competition becoming more intense,scarcity of deposits makes it reasonable for commercial banks to increasingly depend on interbank liability.As consequence,a large amount of interbank debt flows to shadow banks through the channel of interbank investment and financial products with the motive of regulatory arbitrage,which increases interbank leverage.Previous studies have shown that the expansion of interbank asset and interbank debt has an impact on the effect of monetary policy and liquidity risks,but seldom discuss whether and how interbank leverage influences the credit risk of traditional loans.This paper puts forward that the essence of interbank leverage rising is the expansion of interbank shadow credit.Under the analysis on how interbank shadow credit affects the credit risk of traditional loans through the channel of financing structure,investment efficiency,regulatory evasion and risk-taking,we empirically examine the relationship between interbank leverage and the credit risk of traditional loans by means of OLS and IV/2 SLS estimation,and find that the effect of interbank leverage on credit risk is negative as interbank leverage increases.However,when leverage reaches a certain level,the impact of interbank leverage on credit risk becomes positive.Furthermore,we analyze the heterogeneous effect that interbank leverage has on the credit risk of traditional loans when the size or type of banks is distinguished.By means of threshold regression and regression by group,we conclude that if taking no account of shadow credit caused by NCD,the rise of interbank leverage reduces the credit risk of the five biggest state-owned banks,city commercial banks and rural commercial banks but reinforces the credit risk of joint-stock banks;Nevertheless,when taking NCD into consideration,except that the impact of interbank leverage on the credit risk of the five biggest stateowned banks is negative,the rise of interbank leverage increases the credit risk of other banks,including jointstock banks,city commerci
作者
于博
吴菡虹
Yu Bo;Wu Hanhong(School of Finance,Tianjin University of Finance and Economics,Tianjin 300222,China)
出处
《财经研究》
CSSCI
北大核心
2020年第2期36-51,共16页
Journal of Finance and Economics
基金
国家社科基金一般项目“货币政策波动与企业投资结构再平衡研究”(17BGL062).
关键词
同业业务
监管套利
信用风险
货币政策
interbank business
regulatory arbitrage
credit risk
monetary policy
