摘要
基于2007-2016年16家上市商业银行数据,采用动态面板模型的两阶段系统GMM估计方法,检验了我国16家上市商业银行杠杆率对其信用风险的影响。实证结果表明,杠杆率监管有效降低了上市商业银行信用风险的发生,且信用风险的发生具有持续性;商业银行自身特征变量对于信用风险的影响存在差异,16家上市商业银行的成本收入比和拨备覆盖率与其杠杆率负相关,资产规模的增长提升了其信用风险;货币供给的扩张促使上市商业银行信用风险的提升,固定资产投资与16家上市商业银行的信用风险显著正相关,而经济的快速增长是抑制商业银行信用风险扩大的有效途径。
Based on the data of 16 listed commercial banks from 2007 to 2016,this paper adopts the two-stage system GMM estimation of the dynamic panel model to examine the impact of leverage ratios of 16 listed commercial banks in China on their credit risk.The empirical results show that the leverage regulation effectively reduces the occurrence of credit risk in listed commercial banks,and the occurrence of credit risk is continuous.The impact of commercial banks’own characteristic variables on credit risk is different.The ratio of cost to income and provision coverage of 16 listed commercial banks is negatively related to its leverage ratio.The increase in the scale of assets enhances its credit risk;The expansion of the money supply prompted the credit risk of listed commercial banks to increase.The fixed asset investment was significantly positively correlated with the credit risks of 16 listed commercial banks.The rapid economic growth was an effective way to curb the expansion of credit risk of commercial banks.
作者
马斌
范瑞
MA Bin;FAN Rui(School of Finance & Banking,Shanxi Univeristy of Finance and Economics,Taiyuan 030006,China)
出处
《经济问题》
CSSCI
北大核心
2019年第1期41-47,共7页
On Economic Problems
基金
国家社会科学基金项目"流动性风险约束与中国商业银行资本结构的动态调整机制研究"(15BJY178)
山西省高等学校人文社会科学重点研究基地项目"资源型经济转型中的金融集聚及其协同效应分析"(201801023)
山西省高等学校哲学社会科学研究基地项目"山西地方性商业银行风险损失补偿机制的研究"(2016324)
关键词
杠杆率
信用风险
动态面板模型
系统GMM估计
leverage ratios
credit risk
dynamic panel model
systematic GMM estimation
