摘要
鉴于债务市场与股票市场的联动效应,文章基于双重差分模型,采用中国人民银行取消贷款利率上下限的准自然实验,以1999-2015中国A股上市公司为样本,结合银行债权治理考察了放松利率管制对股价崩盘风险的抑制效应。结果显示,放松利率管制有助于降低公司未来的股价崩盘风险,特别是非国有公司。进一步研究发现,放松利率管制能够增进银行债权对股价崩盘风险的相机治理功效,且这种积极作用在长期贷款的监督中更加明显。此外,银行信贷意愿、公司信息稳健性和投资效率的路径分析也支持放松利率管制对股价崩盘风险具有抑制效应。文章不仅从银行合约利率视角为治理股价崩盘风险提供了新的证据,还借助放松利率管制这一外生事件验证了银行大贷款人具有稳定股市的经济效应,对于新时代我国有序推进利率市场化和防控金融风险具有重要启示。
Deregulation on interest rate constraints has attracted great attention from regulators and the academic.The People’s Bank of China(PBOC)lifted the upper limit of loan interest rates in 2004 and the lower limit of loan interest rates in 2013.The market-oriented promotion of deregulation on interest rate constraints can enhance the degree of competition among the bank industry,improve the efficiency of bank supervision(Liu,et al.,2015;Ji,et al.,2015),and effectively restrain the inefficient investment behavior caused by agency conflicts(Jin,et al.,2013;Yang,et al.,2017).So,could the pricing mechanism of PBOC’s deregulation of interest rates conduct to the stock market and mitigate the stock price crash risk?Could it enhance the contingent governance of bank creditors’rights(bank loan supervision)on the stock price crash risk?This paper employs a quasi-natural experiment on the cancellation of upper and lower limits of loan interest rates.By taking Chinese A-share listed companies from 1999 to 2015 as samples,we investigate the relation between deregulation on interest rate constraints and stock price crash risk.The empirical results show that deregulation on interest rate constraints contribute to reducing companies’future stock price crash risk,especially in non-state-owned companies.Furthermore,the negative relationship between the governance path of bank creditors’rights and stock price crash risk is strengthened,and this positive governance effect is more pronounced in long-term loans.What’s more,from the perspectives of bank cerdit willingness,corporate information conservatism and investment efficiency,it also supports the risk suppression effect of stock price crash by deregulating interest rate constraints.Our findings have theoretical contributions and practical implications:Firstly,we use a quasi-natural experiment to explore the important governance effect of deregulation on interest rate constraints on stock price crash risk.This not only overcomes the endogenous problem of the existing research on the governance of banks,but also proves that deregulation on interest rate constraints has a certain governance effect on the stability of the stock market,which brings the conduction governance effect of the interest rate debt market to the stock market,and also expands the relevant research on stock price crash risk.Secondly,this paper uses a difference-in-differences model to control the endogeneity.Combining with bank loans,it investigates the governance effect of deregulation on interest rate constraints on stock price crash risk,and gives more"clean"evidence that bank loan supervision can play an important role in the governance effect in the capital market,which supports the theoretical foundation of the debt governance hypothesis.Thirdly,we also find that deregulation on interest rate constraints can reduce the stock price crash risk in non-state-owned companies,which provides a valuable reference for improving the experience of non-state-owned listed companies’weak risktaking ability.
作者
鄢翔
耀友福
Yan Xiang;Yao Youfu(School of Accountancy,Shanghai University of Finance and Economics,Shanghai 200433,China)
出处
《财经研究》
CSSCI
北大核心
2020年第3期19-33,共15页
Journal of Finance and Economics
基金
上海财经大学研究生创新基金项目(CXJJ-2017-307).
关键词
放松利率管制
股价崩盘风险
银行债权治理
deregulation on interest rate constraints
stock price crash risk
governance of bank creditors’rights
