银行规模异质视角下我国商业银行非利息收入对风险水平的影响——基于面板门槛模型的实证研究
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摘要
利率市场化、金融"脱媒"背景下,商业银行的非利息收入业务迅速发展,但是对于非利息收入对银行风险水平的影响等问题,业界的观点不尽相同。实证探究二者间的非线性关系,寻求合理的非利息收入业务发展规模,对于顺应利率市场化潮流、做好全面风险管理工作有着重要意义。本文以我国2009-2017年16家上市商业银行的面板数据为研究对象,从规模异质角度,运用Hansen面板门槛模型,分析非利息收入对我国商业银行风险水平的非线性影响。结果表明:非利息收入占比对银行风险水平的影响存在显著的规模门槛效应,商业银行应科学的制定各类非利息业务发展规模,加强风险防范。
Under the background of interest rate liberalization and financial disintermediation, the non-interest income business of commercial banks has developed rapidly. Scholars hold different opinions about how the non-interest income affect bank's risk level. From the perspective of bank size heterogeneity,this paper establish a panel threshold regression model between noninterest income and the risk of banks, the data which uses in the model comes from 16 Chinese listed commercial banks, and the time range is from 2009 to 2017. Empirical results show that there exit threshold. Commercial banks should scientifically formulate the scale of non-interest businesses and strengthen risk prevention.
Under the background of interest rate liberalization and financial disintermediation, the non-interest income business of commercial banks has developed rapidly. Scholars hold different opinions about how the non-interest income affect bank's risk level. From the perspective of bank size heterogeneity,this paper establish a panel threshold regression model between noninterest income and the risk of banks, the data which uses in the model comes from 16 Chinese listed commercial banks, and the time range is from 2009 to 2017. Empirical results show that there exit threshold. Commercial banks should scientifically formulate the scale of non-interest businesses and strengthen risk prevention.
引文
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[10]顾晓安,王鹏程.非利息收入占比与银行风险分散效应的关系研究:来自美国银行业的经验数据与启示[J].世界经济研究,2015(7):32-43.
[11]王鹏程,顾晓安,张涛.基于稳定性视角的商业银行最优非利息收入占比研究[J],上海金融,2015(1):89-93.
[12]Hidayat W Y,Kakinaka M,Miyamoto H.Bank risk and non-interest income activities in theIndonesian banking industry[J].Journal of Asian Economics,2012(23):335-343.
[13]邢端.银行资产规模与非利息收入对银行风险的影响研究[D].上海:上海财经大学,2016.
[2]Aghion P,Bolton P,Fries S.Optimal Design of Bank Bailouts:The Case of Transition Economies[J].Journal of Institutional and Theoretical Economics,1999(155):51-70.
[3]黄隽,章艳红.商业银行的风险:规模和非利息收入:以美国为例[J],金融研究,2010(6):75-90.
[4]William K,Severiens,Jacobus T,The effect of nonbank diversification on bank holding company risk[J].Quarterly Journal of Business and Economics,1992(31):3-17.
[5]Chiorazzo V,Milani C,Salvini F.Income Diversification and Bank Performance:Evidence from Italian Banks[J].Journal of Financial Services Research,2008(33):181-203.
[6]刘孟飞,张晓岚,张超.我国商业银行业务多元化、经营绩效与风险相关性研究[J].国际金融研究,2012(8):59-69.
[7]Stiroh K J.Diversification in Banking:Is Noninterest Income the Answer?[J].Journal of Money,Credit and Banking,2004(36):853-882.
[8]Busch R,Kick TK.Income Diversification in the German Banking Industry[J].Social Science Electronic Publishing,2009.
[9]周开国,李琳.中国商业银行收入结构多元化对银行风险的影响[J].国际金融研究,2011(5):57-66.
[10]顾晓安,王鹏程.非利息收入占比与银行风险分散效应的关系研究:来自美国银行业的经验数据与启示[J].世界经济研究,2015(7):32-43.
[11]王鹏程,顾晓安,张涛.基于稳定性视角的商业银行最优非利息收入占比研究[J],上海金融,2015(1):89-93.
[12]Hidayat W Y,Kakinaka M,Miyamoto H.Bank risk and non-interest income activities in theIndonesian banking industry[J].Journal of Asian Economics,2012(23):335-343.
[13]邢端.银行资产规模与非利息收入对银行风险的影响研究[D].上海:上海财经大学,2016.