存款保险制度、影子银行与银行系统性风险北大核心CSCDCSSCI

为了防范系统性银行危机的发生,我国于2015年推出了存款保险制度,该制度能否有效降低我国银行系统性风险是关乎金融稳定的重要现实问题.以我国存款保险制度的实施为契机,本文基于16家上市银行2010年第四季度~2017年第二季度的面板数据,首先,将金融机构间的关联网络和金融机构市值纳入到系统性金融风险的测度中,进而探讨我国存款保险制度对银行系统性风险的影响及其作用渠道.结果表明存款保险制度的实施显著提高了其他商业银行(中、农、工、建以外的商业银行)的系统性风险;存款保险制度主要通过影子银行渠道增加其他商业银行的系统性风险.本文的研究对于我国强化影子银行的宏观审慎管理、引入基于银行系统性风险的差别存款保险费率设计和完善系统重要性金融机构的评定,具有一定的借鉴意义.     

存款保险制度、影子银行与银行系统性风险

为了防范系统性银行危机的发生,我国于2015年推出了存款保险制度,该制度能否有效降低我国银行系统性风险是关乎金融稳定的重要现实问题.以我国存款保险制度的实施为契机,本文基于16家上市银行2010年第四季度~2017年第二季度的面板数据,首先,将金融机构间的关联网络和金融机构市值纳入到系统性金融风险的测度中,进而探讨我国存款保险制度对银行系统性风险的影响及其作用渠道.结果表明存款保险制度的实施显著提高了其他商业银行(中、农、工、建以外的商业银行)的系统性风险;存款保险制度主要通过影子银行渠道增加其他商业银行的系统性风险.本文的研究对于我国强化影子银行的宏观审慎管理、引入基于银行系统性风险的差别存款保险费率设计和完善系统重要性金融机构的评定,具有一定的借鉴意义.     

利率市场化对银行业的影响

利率市场化以后,对银行业带来了不少的影响。利率市场化加速了银行的经营模式转化,加大商业银行的利率风险,全面冲击银行净利息收入和中间业务收入两大支柱的增长,并且利率市场化后存贷利差收窄是大势所趋。     

银行股东权益的利率弹性对银行利率风险的测度

我们在银行股东权益价值模型的基础上,推导了测度银行利率风险暴露水平的一个指标———银行股东权益的利率弹性的表达式,并总结了它与相关经济变量之间的相互关系。这一研究对于银行管理与控制其利率风险的意义在于,我们能够量化银行在任意时刻的利率风险暴露水平,并隐含了对远期利率的预测,更重要的是,我们从中能够发现降低银行股东权益的利率弹性,从而降低银行利率风险暴露水平的途径。     

流动性创造、市场利率预期与银行利率动态调整

在银行体系局部流动性问题频发的现实背景下，深入把握流动性创造对银行利率动态调整的影响机理，是理顺我国货币政策传导的重要微观基础.本文从理论与实证上研究了流动性创造如何影响银行利率对市场利率及其预期的动态调整，并考虑了忽略预期市场利率可能产生的遗漏变量问题.研究发现：1)流动性创造对银行利率动态调整具有负向的影响，且考虑流动性创造后市场利率对存款利率的传导相对较低. 2)流动性创造对银行利率动态调整的影响具有异质性，市场利率对国有及全国性股份制银行的传导不够顺畅. 3)预期能够在一定程度上改善市场利率的短期传导，但无法从根本上纠正市场利率的长期传导，尤其是对于国有及全国性股份制银行而言. 4)在流动性创造对银行利率动态调整的影响机制中，同业拆借具有部分中介效应，进一步验证了市场利率异质性传导的原因在于流动性创造在同业市场中存在外部融资约束效应.基于此，建议从实现存款利率并轨、提高中小银行同业市场参与度、加强预期管理着手，疏通货币政策传导渠道，优化货币政策跨周期调节.     

利率市场化与银行管理创新研究

资本市场的发展挤压银行传统存贷款业务的市场空间,影响着客户结构、贷款质量和收益水平,而利率市场化趋势更导致银行净息差收窄,创利能力下降,经营风险增加,深刻揭示了利率市场化对商业银行经营现实和潜在的影响。     

存款保险制度对商业银行道德风险影响的实证研究

利用中国内地与香港在应对外部冲击时所表现出的较强的同步性,在一个自然实验的框架下,选取2002年至2013年中国内地和香港主要商业银行的数据作为样本,将2006年香港存款保险制度的实施作为外生变量,根据委托-代理理论,运用双重差分模型分别从信贷行为、资产结构和自有资本3个方面实证检验建立存款保险制度对商业银行道德风险的影响。研究结果表明,存款保险制度并不会引发商业银行的过度信贷,甚至能够在一定程度上抑制商业银行的过度信贷行为,且这种抑制作用对小银行更加明显;没有显著的证据表明存款保险制度会激励商业银行持有高风险资产组合;存款保险制度会促使商业银行减持资本缓冲。在当前的银行监管体制下,存款保险制度对商业银行道德风险的影响已由过去的资产业务转向负债业务,并进一步提出采取风险最小化型的职能定位以及加快向风险为本适度灵活的监管体系转变等政策建议,研究结果对于中国明确存款保险制度对商业银行道德风险影响的具体形式、制定更具针对性的风险控制策略具有十分重要的现实意义。     

利率市场化对农村合作银行的影响与对策

利率市场化是一个国家金融市场化过程中的关键一步,这一过程充满荆棘和风险。由于利率市场化,银行系统将面临着更加严重的不确定性。为了争抢市场,银行将不断调整利率水平,这意味着银行将承担更多的风险。农村合作银行率先实行利率市场化,在货币市场的畸形,不良贷款数额的巨大,内部激励及制约机制不健全的条件下率先利率市场化将导致农村合作银行利率风险巨大,支付风险突出等问题。本文通过对利率市场化对社会和金融市场的产生的影响,最后立足农村合作银行,浅谈其深受的影响并提出有关策略方案。     

论商业银行如何基于边际法则确定存款利率

存款负债是商业银行经营资产业务主要资金来源.存款利率关系到银行存款规模,也影响银行的经营成本.在商业银行经营目标利润最大化和金融市场完全竞争的假设下'文章认为存款预期收益、准备金率、账户管理费用和通货膨胀预期对存款利率的确定有着重要影响,并利用边际规则推导出商业银行如何确定存款利率的理论模型.     

我国银行业人民币贷款风险定价模式比较与分析

随着我国利率市场化改革不断深化,中国人民银行按照“先外币、后本币;先贷款、后存款;先长期、大额,后短期、小额”的利率改革思路,不断深化、推进利率市场化,将存贷款利率的决定权逐步交给市场。国内银行业收入结构中存贷款利差收入占比达90%以上,贷款收益在较长时期内仍然是支撑国内银行业生存的基础。未来利率的波动将主要由市场资金的供求状况决定,银行定价水平与定价能力的高低将决定银行的可持续发展。国内银行为适应逐渐到来的市场化利率将直接决定银行的生存与发展,纷纷引入各种经营理念,加强贷款定价管理。本文就国内银行的贷款风险定价模式进行了粗浅的比较与分析。一、贷款风险定价基本情况介绍所谓贷款风险定价,是指商业     

中国A股市场金融板块间风险相依关系及动态演化研究

将中国金融板块细分为国有大型银行、全国性股份制银行、城商行、证券、保险和信托等6个金融子板块，并以2015年中国股市异动和2019年新冠肺炎疫情为研究背景，分析在两个场景下的不同时期内，6个金融板块间的风险相依关系及其动态演化。通过计算各板块间波动指数的互信息，构建金融板块风险相依关系网络，并使用最大生成树刻画该相依关系的核心结构。研究发现，在市场处于相对平静时期，银行类金融板块与非银行类金融板块二者彼此之间的风险关联较弱，处于相对割裂状态；在市场走势波动较大时，银行类金融板块与非银行类金融板块之间的风险关联程度增强，且保险板块成为重要的中间节点；在两个场景下的异动期和疫情期，国有大型银行板块和城商行板块分别成为最大的风险节点。     

双渠道风险传染下银行系统稳定性分析

随着金融危机的频率和范围的不断扩大,银行系统性风险的研究越来越受到重视。针对银行业系统性风险,构建银行同业拆借（直接传染渠道）、银行共同持有资产（间接传染渠道）的双渠道风险传染网络模型。该模型引入了宏观经济波动带来的投资风险,并允许银行通过贬值出售资产来弥补流动性,这更真实地反映了银行系统的操作规则。研究结果表明,在各种经济因素波动情况下,平均储蓄量、储蓄的波动幅度、投资的收益率、存款准备金率以及储蓄利率等对银行系统稳定性的有较大影响,并进行了定量分析。该研究为定量研究宏观经济波动下银行系统性风险问题提供了方案,并为决策者和监管部门防范银行系统性风险提供了参考。     

Efficiency measures of the Chinese commercial banking system using an additive two-stage DEA

Measuring and improving the efficiency of the Chinese commercial banking system has recently attracted increasing interest. Few studies, however, have adopted the two-stage network DEA to explore this issue in the Chinese context. Because the entire operational process of the banking system could be divided into two sub-processes (deposit producing and profit earning), the evaluation of the sub-process efficiencies could be used to assist in identifying the sources of the inefficiency of the entire banking system. In this study, we utilize the network DEA approach to disaggregate, evaluate and test the efficiencies of 16 major Chinese commercial banks during the third round of the Chinese banking reform period (2003–2011) with the variable returns to scale setting and the consideration of undesirable/bad output. The main findings of this study are as follows: (i) the two-stage DEA model is more effective than the conventional black box DEA model in identifying the inefficiency of banking system, and the inefficiency of the Chinese banking system primarily results from the inefficiency of its deposit producing sub-process; (ii) the overall efficiency of the Chinese banking system improves over the study period because of the reform; (iii) the state-owned commercial banks (SOBs) appear to be more overall efficient than the joint-stock commercial banks (JSBs) only in the pre-reform period, and the efficiency difference between the SOBs and the JSBs is reduced over the post-reform period; (iv) the disposal of non-performing loans (NPLs) from the Chinese banking system in general explains its efficiency improvement, and the joint-equity reform of the SOBs specifically increases their efficiencies.     

BANK NETWORKS AND MONETARY POLICY TRANSMISSION

This paper argues that the existence of bank networks is important for banks' reactions to monetary policy. For the example of Germany, it is found that small banks access the interbank market indirectly through the large head institutions of their respective network organizations. The interbank flows within these networks allow smaller banks to manage their funds in a fashion that helps them in keeping their loan portfolio with nonbanks relatively unaffected after a monetary contraction. This implies that tests for a bank‐lending channel in countries with comparable bank networks should not rely on a size criterion only, and explains why several recent contributions have found a prominent role for banks' liquidity positions. (JEL: C32, E52, G21)     

我国金融机构的系统重要性评估:基于多元极值理论

2008年全球金融危机以后，金融机构的"大而不能倒"问题以及由此引发的系统性风险备受关注。本文基于多元EVT和Copula函数，建立了系统重要性的多角度评估指标体系，并对我国公开上市的26家金融机构的系统重要性做了一个综合评估。实证研究结果表明：（1）我国银行业在金融体系中占有主导地位，且银行业同质性较高，易诱发系统性风险；（2）规模不是系统重要性的唯一考量因素，其他因素也会对系统重要性产生显著影响，部分股份制商业银行和城商行也应被列为金融监管的重点关注对象。     

ON THE STABILITY OF DIFFERENT FINANCIAL SYSTEMS

An economy in which deposit‐taking banks of a Diamond and Dybvig style and a financial market coexist is modeled in a simple framework closely related to Diamond (1997). Solely depending on the fraction of naïve households who cannot efficiently invest directly in the corporate sector, two different types of financial systems emerge. With the fraction comparatively low, the evolving financial system can be interpreted as market‐oriented, whereas a high fraction brings about a bank‐dominated financial system. In market‐oriented systems, banks only provide naïve households with access to efficient investments; in bank‐dominated systems, banks' deposit contracts also offer some degree of liquidity insurance. Consequently, compared to market‐oriented financial systems, the household sector in bank‐dominated financial systems holds a larger portfolio fraction in deposits and a smaller part in direct investments. Analyzing the resilience of the different financial systems to various types of shocks shows that moderately bank‐dominated (or hybrid) financial systems are particularly fragile, because only in these systems do fire sales of assets by distressed banks cause a deterioration in asset prices that also precipitates other banks into crisis. (JEL: D52, E44, G10, G21)     

Search for Yield

We present a model of the relationship between real interest rates, credit spreads, and the structure and risk of the banking system. Banks intermediate between entrepreneurs and investors, and can monitor entrepreneurs' projects. We characterize the equilibrium for a fixed aggregate supply of savings, showing that safer entrepreneurs will be funded by nonmonitoring banks and riskier entrepreneurs by monitoring banks. We show that an increase in savings reduces interest rates and spreads, and increases the relative size of the nonmonitoring banking system and the probability of failure of monitoring banks. We also show that the dynamic version of the model exhibits endogenous boom and bust cycles, and rationalizes the existence of countercyclical risk premia and the connection between low interest rates, tight credit spreads, and the buildup of risks during booms.     

基于银行-资产双边网络模型的系统性风险及投资策略研究

受近几年的国际金融危机及金融全球化的影响,对金融系统的系统性风险的研究已成为国内外学者的关注热点。考虑到当前基于"银行-资产-银行"间接传播渠道的相关研究相对匮乏,本文基于银行-资产双边网络模型来分析银行系统性风险。首先,使用中国47家上市银行2018年的资产负债表数据构建了中国银行系统的双边网络模型,研究分析各类资产遭受冲击时外部冲击、降价出售效应及银行所持有的各类资产占银行总资产的比例对银行系统性风险的影响。然后,引入系统性冲击方式,通过设置具有不同属性的两大类资产并生成四种冲击事件来构建银行的投资策略模型,从资产视角探讨银行最优的投资策略。研究发现,外部冲击与降价出售效应这两个产生系统性风险的影响因素在一定区间值时会产生叠加效应,使银行系统性风险急剧增加;五种资产类中,贷款类资产对外部冲击最敏感;分析发现在各类资产冲击下都未倒闭的所有银行的资产组合具有一定的相似性;进一步研究发现银行系统中存在着最优的资产组合,使得银行在稳定的同时能获取最大收益,并且资产负债比越大的银行其风险承受能力越强,从而可以选择更激进的投资策略来追求高收益。     

How do Greek banking institutions react after significant events?—A DEA approach

The efficiency of Greek commercial banks is considered through the period 1995–2003 using the data envelopment analysis technique. Two approaches are used to measure efficiency: one using financial ratios as outputs only and the other viewing banks as credit generation and transaction institutions. The empirical results are used to examine the reaction of banking institutions after significant events such as M&As, privatizations and the crisis of the Athens Stock Exchange in 1999. In most cases performance deteriorates for the next 1 to 2 years, while increases thereafter, forming specific patterns of efficiency. In the last part we introduce an index to measure the management's efficiency through a process of change. The results suggest that the Greek banking sector operated efficiently on average during the destabilization periods. The contribution of the article is that it comprises the first study which examines empirically the performance behavior of banking institutions within the scope of change management theory.