银行业集中度、银行规模与风险关系研究——基于中国16家商业银行面板数据的实证

基于中国上市的16家商业银行,以2005 2014年的面板数据为研究对象,运用面板门限回归进行实证分析.研究结果表明:银行业集中度与银行风险的线性关系不显著;在以资产规模作为门限变量时,银行风险与银行业集中度之间的确存在一种非线性关系,存在门限效应,资产规模的门限值约为603 019 220万元.当银行资产规模超过该门限值时,即对大型银行而言,银行业集中度与银行风险正相关关系不显著;当银行资产规模低于该门限值时,即对小型银行而言,银行业集中度与银行风险呈显著的正相关关系.

The Relations among Concentration Ratio of Banking Industry, Bank Size and Bank Risks: An Empirical Study Based on the Panel Data of 16 Commercial Banks

This paper investigates the relations among concentration ratio of banking industry, bank size and bank risks through panel threshold regression analysis and based on the panel data of 16 listed commercial banks in China from 2005 to 2014. The results indicate that the linear relationship between concentration ratio and bank risks is not significant; there does exist a nonlinear relationship between concentration ratio and bank risks and exist a threshold effect when asset size of banks is regarded as the threshold variable, with the threshold value being about 603019.22 million yuan. When asset size exceeds the threshold value, especially for large banks, the positive correlation between concentration ratio and bank risks is not significant, and when asset size is lower than the threshold value, especially for small sized banks, there is a positive correlation between concentration ratio and bank risks.