摘要
存贷款利率市场化是我国利率市场化改革中的关键问题,商业银行的自主定价能力直接决定着利率市场化改革的推进速度,研究渐进式利率市场化中净利差率如何被决定,可以反映我国利率市场化改革的效果,也有利于我国商业银行的资产负债管理。本文用面板数据模型,较早结合我国实际选取合适的指标对我国商业银行净差率的决定因素进行实证检验,研究发现:(1)我国商业银行净利差率受资本充足性、暗含利息支付、基准利差变化、储备的机会成本、流动性风险影响较大。资本充足性、暗含利息支付、基准利差变化、流动性风险与净利差率正相关,储备的机会成本与净利差率负相关。(2)随着利率市场化的深入,商业银行净利差率对基准利差变化的显著性水平正在降低。(3)数据还显示,对跨区域商业银行和城市商业银行来说净利差率的决定因素有很大的不同。资本充足性与跨区域商业银行净利差正相关,而对城市商业银行影响不大。基准利差变化对城市商业银行的影响大于跨区域商业银行。(4)金融生态越完善的地方,城市商业银行净利差率越高,波动越小。(5)与国外商业银行净利差的决定因素有显著不同的是,我国商业银行净利差率受基准利差变化影响较大。
It is a key thing for our country’marketable interest rate reform to marketizing of deposits rate and lending rate. The speed of marketable interest rate is determined by commercial bank’pricing ability. The research of the determinants of net interest margins in the marketable interest rate reform can reflect the result of marketable interest rate and is good for asset-liability management of commercial bank. This paper use panel data design appropriate variable based on our country’s fact to test empirically the determinants of bank net interest margins for the first time. We can find from the research: first, bank net interest margins are determined by capital base, implicit interest margins payments, the opportunity cost of reserves, liquid risk and benchmark interest rates . Capital base, implicit interest margins payments, liquid risk and benchmark interest rates have positive impact on net interest margins while the opportunity cost of reserves have negative impact on net interest margins. Secondly, net interest margins are less sensitive to benchmark interest rates than before along with marketable interest rate reform. The data also show the determinants of city commercial bank’net interest margins is different from the determinants of cross regional bank’net interest margins. Capital base has positive impact on the cross regional bank and has few impact on the city commercial bank. Benchmark interest rates impact on the city commercial bank’net interest margins are more sensitive than impact on the cross regional bank. Thirdly, we find the better financial ecology, the higher net interest margins. Finally, the most different thing between the determinants of net interest margins of our country and the determinants of net interest margins of foreign country is our country’net interest margins are affected by benchmark interest margins
引文
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