摘要
本文选取国内16家上市商业银行2007-2019年数据,运用面板门槛模型分析了我国主要微观审慎性监管指标与银行效率、风险的非线性关系。研究发现:(1)在不同资本充足率取值范围内,资本充足率对银行风险和效率的影响呈现显著差异,但不存在能够降低银行风险同时提高银行效率的区间;(2)银行流动性比率对银行效率的抑制作用存在边际递减规律,并且在一定区间内降低银行流动性比率能够降低银行风险并提高银行效率;(3)拨备覆盖率与银行风险呈U型关系,一定区间内拨备覆盖率指标能够兼顾风险防控和效率提升双重目标。本文研究表明存在一个最优的监管区间能够兼顾防控风险和提高银行效率的双重目标。
This paper selects the data of 16 domestic listed commercial banks from 2007 to 2019,and uses the panel threshold model to analyze the nonlinear relationship between the main prudential regulatory indicators and bank efficiency and risk.The results show that:(1)The impact of capital adequacy ratio on bank risk and efficiency is significantly different in different ranges of capital adequacy ratio,but there is no interval that can reduce bank risk and improve bank efficiency;(2)The inhibiting effect of bank liquidity ratio on bank efficiency has the law of diminishing margin,and reducing bank liquidity ratio within a certain range can reduce bank risks and improve bank efficiency;(3)There is a U-shaped relationship between the provision coverage rate and bank risks,and increasing the provision coverage rate within a certain range can reduce bank risks and improve bank efficiency.This study shows that there is an optimal regulatory interval which can give consideration to the dual goals of risk prevention and control and improving bank efficiency.
作者
高扬志
张林
GAO Yang-zhi;ZHANG Lin(China Huarong Asset Management Co.,Ltd Chongqing Branch Chongqing;School of Economics and Management,Southwest University)
出处
《当代金融研究》
2021年第3期8-16,共9页
Journal of Contemporary Financial Research
基金
国家社会科学基金重大项目“实现巩固拓展脱贫攻坚成果同乡村振兴有效衔接研究”(21ZDA062)
中央高校基本科研业务经费项目“农村产业融合发展的投融资创新与风险控制研究”(SWU2009152)。
关键词
审慎监管
银行风险
效率
兼顾
门槛效应
Prudential Supervision
Bank Risk
Efficiency
Give Consideration to Both
Threshold Effect
