摘要
宏观经济波动将改变商业银行风险承担水平,而银行股权结构的不同将使两者之间的关联呈现差异。本文以我国45家商业银行2005-2010年间的年度非平衡面板数据为研究样本,运用动态面板模型,实证检验了宏观经济波动下拥有不同股权结构的商业银行的风险承担水平的差异。结果表明,宏观经济波动与银行风险水平负相关,正向(负向)的宏观经济冲击使得银行风险降低(提高);而银行所有权结构中国有股占比的上升会显著增强银行风险承担水平与宏观经济波动之间的敏感性,当经济处于上行(下行)周期时,国有股占比较高的银行的风险将大幅降低(提高)。
This paper examines the relationship of risk-taking behavior of banks andmacroeconomic fluctuations, as well as the effects of bank ownership structures on the sensitivity of banks＇ risk-taking to macroeconomie fluctuations, using an annual unbalanced panel data of 45 commercial banks in China from 2005 to 2010. It shows that banks＇ risk-taking has significantly negative correlation with macroeconomic fluctuations. The ownership concentration of banks is not significantly related to banks risk-taking, but, state ownership of banks affects the sensitivity of banks＇ risk-taking level to macroeconomie fluctuations, banks with higher state ownership take more risk than other banks in economic downturn cycle.
出处
《财贸经济》
CSSCI
北大核心
2012年第10期57-65,共9页
Finance & Trade Economics
基金
国家社科基金重点项目"完善国有控股商业银行公司治理机制研究"(项目编号:10AZD019)
2012年国家社科基金重大项目"完善宏观金融调控体系研究--基于针对性
灵活性和前瞻性的视角"
教育部人文社科重点研究基地重大项目"逆周期宏观调控政策与中国经济平衡增长研究"(项目编号:10JJD790003)的资助
关键词
宏观经济波动
股权结构
银行风险承担
Macroeconomic Fluctuations, Ownership Structure, Risk-taking
