利率市场化、银行多元化经营与流动性风险——基于动态面板的实证分析

江西财经大学学报 ›› 2020, Vol. 0 ›› Issue (4): 15-26.

利率市场化、银行多元化经营与流动性风险——基于动态面板的实证分析

张国兴, 张熬乾, 徐澈

华北水利水电大学管理与经济学院,河南郑州 450046

收稿日期:2019-08-25 修回日期:2020-01-08 出版日期:2020-07-25 发布日期:2020-12-14
通讯作者: 张熬乾,华北水利水电大学研究助理,主要从事宏观金融学研究,联系方式1252931226@qq.com。
作者简介:张国兴,华北水利水电大学教授,博士生导师,经济学博士,主要从事宏观经济、区域经济研究;徐澈,华北水利水电大学副教授,主要从事宏观经济学研究。
基金资助:
国家社会科学基金项目“基于生态视角的资源型区域经济转型路径创新研究”(15BJL034)

Interest Rate Liberalization, Diversified Bank Operation and Liquidity Risks: An Empirical Analysis Based on Dynamic Panel

ZHANG Guo-xing, ZHANG Ao-qian, XU Che

North China University of Water Resources and Hydropower,Zhengzhou 450046,China

Received:2019-08-25 Revised:2020-01-08 Online:2020-07-25 Published:2020-12-14

摘要/Abstract

摘要： 基于2008—2017年40家商业银行数据,采用动态面板系统GMM方法,实证检验了利率市场化、银行多元化经营对其流动性风险的影响。研究发现,传统、非传统业务多元化都能够降低银行的流动性风险,其中传统业务多元化的作用效果更显著,且在国有银行中表现最为突出;在利率市场化进程中,国有银行、股份制银行的多元化效应得到了增强,但城市商业银行的多元化效应明显减弱,流动性风险水平提高;此外,在利率市场化后期,非传统业务多元化进一步降低了银行的流动性风险水平,而继续扩大存贷业务,却会削弱传统业务多元化对银行流动性风险的积极作用。

关键词: 利率市场化, 多元化经营, 流动性风险

Abstract: Based on the data of 40 commercial banks from 2008 to 2017,this paper adopts the dynamic panel system GMM method to empirically test the impact of interest rate liberalization and diversified bank operation on their liquidity risks.The findings show that the diversification of the traditional and non-traditional business can both reduce the liquidity risks of banks,among which the diversification of traditional business has more significant effects,and the effects on state-owned banks are most prominent.During the process of interest rate liberalization,the diversification effect of state-owned banks and joint-stock banks have been enhanced,but that of urban commercial banks has been significantly weakened,and the level of liquidity risks has been increased.Besides,in the late period of interest rate liberalization,the diversification of non-traditional businesses has further lowered the level of liquidity risks of banks;while continued expansion of the deposit and loan business will weaken the positive effects of diversification of the traditional businesses on bank liquidity risks.

Key words: interest rate liberalization, diversified operation, liquidity risks

中图分类号:

F830

张国兴, 张熬乾, 徐澈. 利率市场化、银行多元化经营与流动性风险——基于动态面板的实证分析[J]. 江西财经大学学报, 2020, 0(4): 15-26.

ZHANG Guo-xing, ZHANG Ao-qian, XU Che. Interest Rate Liberalization, Diversified Bank Operation and Liquidity Risks: An Empirical Analysis Based on Dynamic Panel[J]. Journal of Jiangxi University of Finance and Economics, 2020, 0(4): 15-26.

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