摘要
以2003~2013年上市商业银行为样本,运用静态与动态面板模型分析商业银行收入结构多元化对银行风险的影响。研究发现,收入多元化程度提升有助于改善商业银行风险调整回报,降低银行破产风险。但由于非利息收入的高波动性,非利息收入比重提高,反而会降低银行风险调整回报、增加银行破产风险。中国商业银行整体收入波动的下降主要是由于净利息收入波动下降以及净利息收入与非利息收入的负(不)相关带来的多元化效应。因此,商业银行应理性看待收入多元化和非利息收入占比。相比中小商业银行,大型商业银行收入结构多元化对银行风险影响更为显著。
By using panel data of 2003-2013 from listed domestic commercial banks as study objects,and by adopting static and dynamic panel regression model,this paper explores the impact that income diversified structure has on banks ' risk-taking. The paper finds that the progress of diversified structure helps to increase risk-adjusted return and lower risk of bank failures. But the proportion of non-interest income has a negative correlation with banks' risk because of higher volatility of non-interest income. There are mainly two reasons for decrease of overall income of commercial banks: one is the decrease in volatility of net interest income; the other is the essential zero or negative covariance of net interest income and non-interest income. So,commercial banks should view diversified income structure and the portion of non-interest income rationally. What's more,the result is more significant for large-scale commercial banks compared to small and medium banks.
出处
《金融经济学研究》
CSSCI
北大核心
2015年第6期16-28,共13页
Financial Economics Research
基金
国家社会科学基金项目(14BJY185)
关键词
收入结构
银行风险
非利息收入
收入多元化
破产风险
income structure
bank risk
non-interest income
income diversification
risk of bank failures
