摘要
建立及完善商业银行财务柔性维度的监管机制,对于防控银行业系统性风险具有重要意义.文章选取2010–2021年中国上市银行季度数据,构建面板回归模型对财务柔性对银行系统性风险的影响及其作用机制进行了实证分析.研究表明:1)财务柔性对银行系统性风险具有促进作用.相对于国有银行部门和经济下行期,财务柔性对银行系统性风险的促进作用仅存在于非国有银行部门和经济上行期.2)信贷过度扩张和表外业务在财务柔性与银行系统性风险的关系中承担着多重中介作用,财务柔性主要通过加剧信贷过度扩张与提高表外业务渠道来促进银行系统性风险,“财务柔性-信贷过度扩张/表外业务-银行系统性风险”的传导渠道均有效.3)资管新规与货币政策不确定性对两者关系具有非对称性调节作用.资管新规的实施会减弱财务柔性对银行系统性风险的促进作用,而货币政策不确定性提高则会加剧财务柔性对银行系统性风险的促进作用.4)区分财务柔性类型的进一步研究表明,现金柔性和债务柔性均对银行系统性风险具有促进作用.该成果将为提升银行财务柔性监管效率及防控中国银行业系统性风险提供重要的理论指导与决策参考.
This paper constructs a panel model to conduct an empirical analysis on the impact of financial flexibility on the banking systemic risk and its mechanism with quarterly data of listed banks in China from 2010 to 2021.The research shows that:1)Financial flexibility has a positive effect on banking systemic risk.Compared with the state-owned banking sector and the economic downtrend period,the promotion of financial flexibility to the systemic risk of banks only exists in non-state-owned banks and the economic uptrend period.2)Excessive credit expansion and off-balance sheet business play a mediating role in the relationship between financial flexibility and banking systemic risk.Financial flexibility promotes banking systemic risk mainly through increasing excessive credit scale and improving off-balance sheet business channels.The transmission channels of“financial flexibility-excessive credit expansion/off-balance sheet business-banking systemic risk”are all effective.3)The new asset management regulation and monetary policy uncertainty have asymmetric moderating effect on the relationship.Implementation of new asset management regulation will weaken the promotion effect of financial flexibility on banking systemic risk,while increase of monetary policy uncertainty will aggravate the promotion effect.4)Further research on different dimensions of financial flexibility shows that both cash flexibility and debt flexibility have a positive effect on the systemic risk of banks.The results will provide important theoretical guidance and decision-making reference for improving the efficiency of bank financial flexible supervision and preventing and controlling the systemic risk of China’s banking industry.
作者
顾海峰
曹玉臣
GU Haifeng;CAO Yuchen(Glorious Sun School of Business and Management,Donghua University,Shanghai 200051,China)
出处
《系统工程理论与实践》
EI
CSCD
北大核心
2024年第5期1468-1484,共17页
Systems Engineering-Theory & Practice
基金
国家社会科学基金一般项目(13BGL041)
教育部人文社会科学研究规划基金(20YJA790014)
东华大学人文社科繁荣计划预研究重大项目(2022Z001)。
关键词
财务柔性
银行系统性风险
信贷过度扩张
表外业务
financial flexibility
banking systemic risk
excessive credit expansion
off-balance sheet business
