| 商业银行混业战略与系统性风险的实证分析 |
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| 引用本文： | 王淼晶.商业银行混业战略与系统性风险的实证分析[J].科学技术与工程,2010,10(36). |
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| 作者姓名： | 王淼晶 |
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| 作者单位： | 上海交通大学安泰经济与管理学院,西方经济学,上海,200030 |
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| 摘 要： | 文章运用两因子模型下的滚动回归方法, 对商业银行混业经营战略对金融系统稳定性的影响进行了分析研究。实证结果表明银行非利息收入比重的增加会增加市场系统的风险；非利息收入中的手续费和佣金收入对于市场系统性风险表现出显著的负相关关系，而交易收入则表现出了与市场系统性风险显著的正相关关系；利率风险的模型中没有得到明显的结果。
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| 关 键 词： | 混业战略 系统性风险 非利息收入 |
| 收稿时间： | 2010/10/20 0:00:00 |
| 修稿时间： | 2010/10/21 0:00:00 |
An Empirical Analysis of the Commercial Banking Integration Strategy Impact on Systematic Risk |
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| WANG Miaojing.An Empirical Analysis of the Commercial Banking Integration Strategy Impact on Systematic Risk[J].Science Technology and Engineering,2010,10(36). |
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| Authors: | WANG Miaojing |
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| Institution: | WANG Miao-jing(Antai College of Economics and Management,Shanghai Jiaotong University,Shanghai 200030,P.R.China) |
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| Abstract: | This dissertation mainly studied the impact of Commercial Banking Integration strategy on systematic risk. Rolling regression based on the 2 factors model was used to explore this impact from the micro level of commercial banking. The conclusion is that Banking Integration strategy has increased the market systematic risk from the total perspective. While commission and fee activities have negative correlation with systematic risk and trading activities have positive correlation with systematic risk. No significant result is got from the interest systematic risk. |
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| Keywords: | Banking Integration strategy Systematic Risk Non-interest income |
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