表外业务作为银行主动加杠杆的重要方式,优化表外业务结构能否降低银行系统性风险?为回答上述问题,本文手工搜集整理了我国14家上市银行2008—2017年的表外业务结构性数据,利用系统广义矩估计方法,实证检验了表外业务对银行系统性风险的影响。研究发现,表外业务规模扩张提高了银行系统性风险,但不同类型表外业务对银行系统性风险影响存在明显差异。中介服务类表外业务规模的提高有助于降低银行系统性风险,而担保承诺类表外业务和代理投融资类表外业务规模的提高则对银行系统性风险有负向冲击。因此,提高中介服务类表外业务占比,能够通过优化银行杠杆结构来防范银行系统性风险。研究进一步发现,表外业务对银行系统性风险的影响还受到市场竞争和银行所有制属性的影响。因此,在优杠杆过程中还需防范市场过度竞争,并对不同所有制属性银行表外业务实行差异化监管。
Abstract
Considering the fact that off-balance sheet business is a major way for banks to increase leverage actively, will the optimization of off-balance-sheet business structure help reduce bank's systemic risk? In order to answer this question, this paper collects and collates the structural data of the off-balance sheet business of 14 listed banks in China from 2008 to 2017, and uses the generalized moment estimation method to test the impact of off-balance-sheet business on the systemic risk of banks. It is found that the expansion of off-balance sheet business scale has increased the systemic risk of banks, but the impact of different types of off-balance-sheet business on the systemic risk of banks differs dramatically: the increase of off-balance-sheet business scale in intermediary services helps to reduce the systemic risk of banks. However, the increase of off-balance-sheet business scale in credit guarantee services and investment managing agencies has negative impact on banks' systemic risk. Therefore, it is necessary to improve the proportion of off-balance sheet business in intermediary services to prevent the systemic risk of banks. Furthermore, this paper finds that the influence of off-balance sheet business on the banking system is also influenced by market competition and bank ownership, therefore it is necessary to guard against excessive market competition and implement differentiated supervision on off-balance sheet business for banks of different ownership in the process of leverage optimization.
关键词
银行系统性风险 /
金融优杠杆 /
表外业务结构性数据 /
系统广义矩估计
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Key words
Bank's Systemic Risk /
Optimizing Financial Leverage /
Structural Data of Off-Balance Sheet Business /
System GMM Estimation
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中图分类号：
F832
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脚注
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基金
本文获教育部哲学社会科学研究重大课题攻关项目“人民币国际化推进策略研究”（18JZD035）资助
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