摘要
基于我国68家商业银行2010-2020年的平衡面板数据,以破产风险z值衡量银行风险承担水平,并将宏观审慎评估体系的设立作为一项准自然实验,探究宏观审慎评估体系对银行风险承担的影响及作用机制。实证结果表明:2016年我国宏观审慎评估体系的设立能够有效地降低银行风险承担;随着银行风险水平的不断增加,宏观审慎评估体系降低银行风险承担的效应呈倒U型结构;从作用机制看,宏观审慎评估体系降低银行风险承担存在同业负债、净息差和贷款增速的中介效应。鉴于此,应加快完善宏观审慎评估体系,适度控制同业负债业务规模,提高利率管理水平,促进商业银行业务多元化发展,从而提高商业银行风险防范能力。
Based on the balanced panel data of 68 Chinese commercial banks from 2010 to 2020, this paper uses the z-value of bankruptcy risk to measure the risk taking level of banks. Taking the establishment of the macro-prudential assessment system as a quasi-natural experiment, this paper explores the influence and mechanism of the macro-prudential assessment system on bank risk taking. The empirical results show that the establishment of macro-prudential assessment system can effectively reduce the risk of banks;With the continuous increase of the risk level of banks, the effect of the macro-prudential assessment system on reducing the risk taking of banks presents an inverted U-shaped structure;from the perspective of mechanism, the macro-prudential assessment system reduces the intermediary effect of interbank debt, net interest margin and loan growth rate on bank risk-taking. In view of this, we should speed up the construction of the macro-prudential assessment system, moderately control the scale of interbank liability business of commercial banks, improve the level of interest rate management, promote the diversified development of commercial banks’ business, so as to improve the risk prevention ability of commercial banks.
作者
高嘉璘
王雪标
GAO Jia-lin;WANG Xue-biao(School of Economics,Dongbei University of Finance and Economics,Dalian 116025,China;Schol of Economics,Dalian University of Finance and Economics,Dalian 116025,China)
出处
《经济体制改革》
CSSCI
北大核心
2022年第6期135-143,共9页
Reform of Economic System
基金
国家自然科学基金面上项目:“我国通胀预期和通胀风险溢价与宏观因子作用机制的计量研究”(71273044)
大连市社科联项目“区域经济视角下大连市政府普查金融的政策支持研究”(2020dlskzd365)。
关键词
宏观审慎评估体系
银行风险承担
准自然实验
分位DID
中介效应
macro-prudential assessment system
bank risk-taking
quasi-natural experiment
quantile DID regression
mediating effect
