摘要
本文在使用新近发展的成分预期损失(CES)方法对2008-2014年期间我国14家上市银行系统性风险进行度量的基础上,应用面板门槛模型对其与银行非利息收入的关系进行了分析。结果表明,银行非利息收入与系统性风险之间存在非线性关系,规模较大的银行非利息收入业务分散了系统性风险,而规模较小的银行却导致系统性风险的上升,信息披露质量方面的差异是非对称效应存在的重要原因。宏观审慎监管既要注重规模效应,又要重视中小银行非利息收入业务的潜在影响,还需关注不同银行信息披露质量方面的差异。
Based on the measurement of the systemic risk with the new method of Component Expected Shortfall （CES）, this paper uses panel threshold models to analyze the relationship between the systemic risk of China＇s listed banks and their non-interest income during the period from 2008 to 2014. The results show that there exists a nonlinear relation- ship. The non-interest income of bigger banks can diversify their systemic risk, but the corresponding business of smaller banks leads to an increasing effect. The difference of information disclosure quality can explain this kind of non-symmetric effect. The macro-prudential regulation should attach importance to the size effects, emphasize the potential influence of the non-interest income of small banks, and pay attention to the difference of information disclosure quality.
出处
《国际金融研究》
CSSCI
北大核心
2016年第4期62-73,共12页
Studies of International Finance
基金
国家自然科学基金青年项目"宏观审慎管理时代金融体系系统性风险研究"(71103146)
西南财经大学"中央高校基本科研业务费专项资金"2016年年度培育项目"中国能源期货市场极端风险防范机制研究"(JBK160918)
2016年博士生课题"基于信息披露视角的银行系统性风险管理研究"(JBK1607055)资助
关键词
系统性风险
成分预期损失
非利息收入
面板门槛模型
信息披露质量
Systemic Risk
Component Expected Shortfall
Non-Interest Income
Panel Threshold Model
Quality of Information Disclosure
