当期目录首页 > 在线期刊 > 当期目录
银行异质性、经营模式和风险——基于我国银行业微观数据的实证发布时间:2018-01-06  点击数:
作 者:辛兵海 陶江
关键词:经营模式; 批发融资; 非利息收入; 经营风险
摘 要:

基于我国2003~2015年间135家商业银行数据,实证分析银行经营模式对其自身经营风险的影响,用银行负债融资结构和收入结构来反映商业银行经营模式,结果发现:(1)平均而言,批发融资占比较高的银行,其经营风险也较高;非利息收入占比对银行业的经营风险影响并不显著。(2)经营模式对经营风险的影响,在不同类型商业银行之间存在显著性差异。国有银行的经营风险对收入结构和负债融资结构均缺乏敏感性;批发融资依赖显著增加了股份制银行和区域性银行的经营风险。非利息收入在一定程度上提高了股份制银行的收益率波动性,但收入多元化会显著降低区域性银行的经营风险。

Banks’ Heterogeneity,Business Model and Risk:An Empirical Study Based on the Micro-data of Chinese Banks Economics and Business

Xin Binghai   (Hebei University of Economics and Business)
Tao Jiang   (Nankai University)


Abstract:Based on the panel data of 135 Chinese commercial banks during 2003-2015,the paper analyzes the impact of the bank business model on operation risk.We represent bank’s business models by the share of non-interest income in total income and the share of WSF in total debt funding,and find the following conclusions.(1) On average,there is a positive relationship between the share of WSF in total debt funding and the bank risk,and the impacts of income diversity on the bank risk is not significant.(2) The impact of business model on operation risk is different between different types of commercial banks in China.The operation risk of state-owned banks is lack of sensitivity to the structure of income and funding.The WSF reliance significantly increases the operation risk of the joint-stock banks and regional banks.Income diversification increases the yield volatility of the joint-stock banks,but significantly reduces the operation risk of regional banks.The study has implications for both the banks operation and banking supervision.
This paper makes the following contributions.Firstly,based on the microscopic perspective,we enrich the literature on how the WSF affects bank operation risk,which is not sufficiently investigated under the background of transition economies like China.Secondly,we make sample split and examine whether the effect of income and funding diversification differs across bank types.This enables us to better identify the impact of income and funding diversification on the level of risk and return.Thirdly,by decomposing the Z-score into its two additive components,we examine the impact of non-interest income and WSF on the profitability and capitalization of banks,and analyze which business models expose them to greater income volatility.Finally,the results are provided by the GMM and LSVD regression for addressing the concerns about endogeneity.
 

Key words:business model; wholesales funding; non-interest income; bank operation risk


[PDF](下载数: