资本约束、非利息业务收入与银行风险承担——基于GMM方法的实证研究

利率市场化的推进使存贷利差逐渐缩小,由此导致国内银行的业务结构发生重要的改变,而自身风险结构的改变也进一步影响货币政策的实施效果.基于2004—2014年46家国内商业银行的经营数据,采用系统性广义矩估计方法(GMM),对货币政策、银行风险承担及银行特征进行了实证研究.结果发现,不同经营结构的商业银行对风险承担机制的影响具有显著的差异,尤其是非利息业务收入占比对该机制的影响是不可忽视的.由此提出,在利率市场化的背景下,为了保证政策的有效性,货币当局应该基于银行自身的收入结构和其它一些特征变量制定差异化货币政策.

Capital Constraint,Non-interest Income and Bank Risk-Taking Based on Empirical Research of GMM

With the implementation of the deposit insurance system, the process of interest rate liberalization is gradually coming to the end, which will make the interest spreads of deposits and loans narrowed.In the future, there will be significant changes in business structure of banks which would have important influence on the implementation effect of monetary policy through affecting the banks risk-taking.The relationships among the monetary policy, the bank risk-taking and the characteristics of banks were analyzed by using a dynamic model and the systematic GMM (generalized method of moments) estimation method, based on the data of 46 domestic commercial banks.The results show that banks with different features have different influence on the mechanism of bank risk-taking, and especially the affection of non-interest income is so significant that couldn't be ignored.Nowadays, under the background of interest rate liberalization, the monetary authorities should formulate differentiated monetary policy based on business structure and some other variables of banks.