摘要
净利差直接影响微观经济主体的经营行为、效率以及国家宏观调控政策的效果[1]。在我国近年加快推动利率市场化改革的背景下,研究影响净利差的决定因素具有重要的理论和现实意义。本文主要基于Maudos和Guevara(2004)的商业银行净利差影响因素模型并根据目前我国的实际情况对模型做进一步的拓展确定适合我国国情的系列指标,采用1998-2007年间的面板数据,从银行自身的因素、宏观经济环境的因素和金融生态因素三个方面来分析商业银行净利差的影响因素;并分别对国有银行,股份制银行和城市商业银行三种不同类型的银行的净利差影响因素的异同进行比较分析,结果发现:(1)影响净利差的因素一方面包括经营成本、风险厌恶、信用风险、交易规模、隐性利息、准备金的机会成本、管理水平;另一方面包含宏观经济环境因素:GDP增长率和通货膨胀率。其中风险厌恶,信用风险,管理水平,资产总规模与净利差正相关;隐性利息,交易规模,经营成本,准备金机会成本与净利差负相关。(2)国有银行,股份制银行和城市商业银行净利差的影响因素有不同:对国有商业银行净利差影响显著的因素有经营成本,管理水平,总资产规模;对股份制银行的净利差影响比较显著的有管理水平,资产总规模,贷款规模与GDP增长率;对城市商业银行净利差影响显著的主要因素是资产总规模,GDP增长率,通货膨胀率。最后本文主要研究了一些不易量化的因素对商业银行净利差的影响,也即产权制度,外部制度环境,法律法规,融资结构等因素对我国商业银行净利差的影响,并根据研究的结果提出了一些政策建议,实证结果不仅对商业银行本身提高经营管理水平有意义,而且对于相关部门制定宏观经济政策促使宏观经济稳健运行有重要价值。
Net Interest Margin can affect Micro-economic subjects’Management behavior、efficiency and the effect of macro-control. Under the circumstances of the interest rate marketing reform, The Research of the Determinants of Bank Net Interest Margin on China is of great significance in theory and practice. This paper Selectes indicators mainly on the basis of the theoretical models proposed by Maudos and Guevara(2004) and and the existing conditions of China. Based on panel data of 18 banks from 1998 to 2007, This paper mainly analyzes the Determinants of Bank Net Interest Margin on China from bank itself, Macro-economic environment and Financial Ecology. The result showed that (1)Factors affecting Net Interest Margin include The competitive structure of the markets factor, Average operating costs factor, Risk aversion factor, The credit risk factor. The opportunity cost of keeping reserves factor etc. Macro Economic Environment includes GDP and CPI.(2) State-owned banks , Joint-stock banks, City Commercial Bank’s Factors affecting net interest margin are different: the influential factor of State-owned commercial banks net interest margin are Operating costs, Management Level, assets scale; the influential factor of Joint-stock banks net interest margin are Management Level, assets scale, Loan size, GDP growth rate; the influential factor of City Commercial Bank net interest margin are assets scale, GDP growth rate,CPI. Finally, the paper studies some difficult quantified factors - Financial Ecology.The empirical result not only for commercial banks to improve management level, but also for the relevant departments to formulate macro-economic policies to promote macroeconomic stability running positive significance.
引文
[1]钟伟,沈闻一.银行业净利差的国际比较及对中国的实证分析.管理世界,2006(9): 26-32
[2]牟怡楠,周好文.中国商业银行的利差及其影响因素.金融论坛,2007(8): 42-46
[3]张丽华.我国商业银行净利差决定因素的实证研究.上海金融,2007(5): 21-25
[4]周开国,李涛,何兴强.什么决定了中国商业银行的净利差?.经济研究,2008(8): 65-76
[5]周鸿卫,韩忠伟,张蓉.中国商业银行净利差率影响因素研究——基于1999- 2006的经验证据.金融研究,2008(4): 69-84
[6] Ho T., Saunders A. The Determinants of Bank Interest Margins: Theory and Empirical Evidence. Journal of Financial and Quantitative Analysis, 1981, 16(4): 581-600
[7] McShane, R.W., Sharpe, I.G. A Time Series/Cross Section Analysis of the Determinants of Australian Trading Bank Loan/Deposit Interest Margins: 1962-1981. Journal of Banking and Finance, 1985, 9(1): 115-136
[8] Allen. The Determinants of Bank Interest Margins: A Note.Journal of Financial and Quantitative Analysis, 1988, 23: 231-235
[9] Angbazo, Lazarus. Commercial Bank Net Interest Margins, Default Risk, Interest-rate Risk and Off-balance Sheet Banking. Journal of Banking and Finance, 1997, 21: 55-87
[10] Demirguc Kunt Huizinga. Determinates of Commercial Bank Net Interest Margins and Profitability: Some International Evidence. World Bank Economic Review, 1999(5): 1-2
[11] Saunders, A., Schumacher L. The Determinants of Bank Interest Rate Margins: an Intermational Study. Journal of International Money and Finance, 2000, 19(6): 813-832
[12]李波.银行存贷利差与金融生态.中国金融,2005(8): 25-26
[13]吴琼,张辰利.我国商业银行存贷利差的影响因素与演变趋势分析.上海金融,2008(5): 78-82
[14]张彦.我国银行利差水平及其影响因素分析.济南金融,2006(1): 7-9
[15]全洁敏.利率市场化进程中我国商业银行的利率风险管理:[硕士学位论文].上海:复旦大学,2006,9-10
[16] Cheng Hsiao.面板数据分析.第2版.北京:北京大学出版社,2005,1-69
[17] JM伍德里奇.计量经济学导论:现代观点.第1版.北京:中国人民大学出版社,2003,393-447
[18]朱南,卓贤,董屹.关于我国国有商业银行效率的实证分析与改革策略.管理世界,2004(2): 19-26
[19]刘胜会.我国商业银行资产负债管理效能的度量:基于NIM的实证研究.国际金融研究,2006(4): 30-31
[20]才宏远,王新华.商业银行中间业务发展现状分析.中国金融,2005(14): 41-42
[21]张晓艳.中外商业银行非利息收入分析与比较.金融管理与研究,2006(9): 27-33
[22]刘华,邓启峰.国有商业银行不良贷款形成原因及化解机制.中国城市经济,2006(8): 3-4
[23]张丽华.加强国有商业银行资本充足性管制的探讨.中国金融,2004(6): 30-31
[24]王松奇.2005-2006年度中国商业银行竞争力评价报告.《银行家》研究中心中国商业银行竞争力评价课题组,2006,7-22
[25]李成.利差演进、利差层次与我国利差结构分析.金融论坛,2004(6): 9-15
[26]史亚荣.中外银行提高资本充实率的比较.内蒙古科技与经,2006(22): 18-21
[27]王琴,李洁.利率市场化下银行盈利模式的转变.中国市场,2006(23): 20-21
[28]殷苒.论我国商业银行的资本管理:[硕士学位论文].北京:首都经济贸易大学,2006,30-31
[29]周鸿卫.金融工程框架下商业银行资产负债管理研究:[博士学位论文].长沙:湖南大学,2005,30-32
[30]白当伟.中国银行业利差水平的市场结构因素与利率市场化改革.上海金融,2007(2): 20-23
[31]郭妍,张立光,郭森林.我国商业银行存贷利差合理性的实证分析.上海金融,2007(3): 72-74
[32]刘红忠.中国对外直接投资的实证研究及国际比较.上海:复旦大学出版社,2001,71-96
[33]秦宛顺,欧阳俊.中国商业银行业市场结构效率和绩效.经济科学,2001(4): 34-45
[34]黄宪,王方宏.中国与德国的国有银行效率差异及其分析.世界经济,2003(2): 71-79
[35]爱德华S·肖.经济发展中的金融深化.北京:中国社会科学出版社,1989,66-71
[36]姜榕.国有商业银行应走出“利差”困局增强竞争力.上海证券报,2007-04-26
[37]张晓峒.计量经济分析.北京:经济科学出版社,2000,103-121
[38]林晓甫.商业银行资本充实率达标对策研究.西南金融,2006(4): 40-41
[39] Flannery. Market Interest Rates and Commercial Bank Profitability: An EnpiricalInvestigation. Journal of Finance, 1981, 36(5): 1085-1101
[40]小约瑟夫F辛基.商业银行财务管理.第六版.北京:中国人民大学出版,2005,67-79
[41] Lerner, E.M. Discussion. The Determinants of Bank Interest Margins: Theory and Empirical Evidence, Journal of Financial and Quantitative Analysis, 1981, 16(4): 601-602
[42] Maudos, J., Guevara J.F. Factors Explaining the Interest Margin in the Banking Sectors of the European Union, Journal of Banking and Finance, 2004, 28: 2259-2281
[43]李扬,王国刚,刘煜辉.中国城市金融生态环境评价.北京:人民出版社,2005,1-58
[44] Zarruck, E.R. Bank Spread with Uncertain Deposit Level and Risk Aversion. Journal of Banking and Finance, 1989, 13(6): 797-810
[45] Klstas Drakos. Assessing the Success of Reform in Transition Banking 10 Years Later: an Interest Margions Analysis. Journal of Plicy Modeling, 2003(25): 309-317
[46] McShane, R. W., Sharpe, I. G. A Time Series/Cross Section Analysis of The Determinates of Australian Trading Bank Loan/Deposit Interest Margins: 1962-1981. Journal of Banking and Finance, 1985, 9(1): 115-136
[47] Allen Linda. The Determinants of Bank Interest Margins: A Note .Journal of Financial and Quantitative Analysis, 1988, 23(2): 231-35
[48] Bngbazo, Lazarus. Commercial Bank Net Interest Margins, Default Risk, Interest-Rate Risk, and Off-Balance Sheet Banking. Journal of Banking and Finance, 1997, 21(1): 55–87
[49] T Saunders A. The Determinants of Bank Interest Margions: Theory and Empirical Evidence. Journal of Financial and Quantitative nalysis, 1981(16): 581-600
[50]李波.银行存贷利差与金融生态.中国金融,2005(18): 44-45
[51] Santiago Carbo Valverde,Francisco Rodriguez Fernandez,The determinants of bank margins in European banking. Journal of Banking and Finance,2007(31): 2043-2063
[52]藏昕.利率市场化对商业银行的影响.现代商业,2009(18):20-21