摘要
本文在结构化模型框架内给出了银行债务融资成本的理论测度公式，并以2012年存款利率市场化的重新开启为契机，估计了上市银行该年度债务融资的理论价格，在将之与实际融资成本对比后，对其存款利率在市场化后的合理上浮空间进行了经验估算，同时逻辑推演了它们在存款利率市场化进程中的角色和次序。保守估计和激进估计的行业存款利率在市场化后的合理上浮空间分别是17．05％和48．02％，表明当前1．1倍之基准利率上限管理相当谨慎，对商业银行存款利率进行1．2～1．3倍之基准利率上限管制属中性选择。测算表明国有银行和规模较大的股份制银行在存款利率市场化后有较高的利率上浮空间和管理弹性，若基于单体银行试点冲击成本最小等考量，择先进行存款利率市场化的试点震动测试或不失为较优选择。
The paper puts forward the theoretical measure formula of bank debt financing cost within the frame- work of structural model, and empirically estimates the floating ceiling of deposit interest rate of listed banks in 2012 and logically deduces their roles and orders in the process of deposit interest rate liberalization. From the perspective of banking industry, the conservative and radical estimated floating ceiling of deposit interest rate don＇t exceed 17.05% and 48.02% respectively, which implies the current deposit interest rate liberalization reform is quite cautious or conservative. Therefore, it seems to be neutral decision - making to implement 1.2 ~ 1.3 times benchmark interest rate ceiling control. We also find that state - owned commercial banks and larger joint- stock commercial banks （such as China Merchants Bank, Industrial Bank） have relatively higher deposit interest rate floating ceiling and managerial flexibility. To the demand of minimal pilot impact cost of in- dividual bank et al. , it＇s maybe better choice to carry out pilot reform for them in advance.
出处
《金融研究》
CSSCI
北大核心
2014年第11期35-48,共14页
Journal of Financial Research
基金
国家自然科学基金(70903012
71473041)
教育部人文社会科学研究基金(14YJC790145)
上海市教委创新项目(12YS126)
"上海高等学校创新能力提升计划竞争性引导项目"的资助
关键词
存款利率市场化
存款定价
期权定价
Interest rate liberalization, Deposit pricing, Option pricing
