论文 | 银行的负债结构和风险承担：一个来自中国的准自然实验证据

｜发表期刊｜

Finance Research Letters 49 (2022) 

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者

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介

陈肖雄 中山大学岭南学院博士研究生

刘贯春 中山大学岭南学院副教授

刘媛媛 广东外国语大学讲师

张延人 复旦发展研究院助理研究员

简介

通过构建一个三期动态模型，本文系统阐释了银行负债结构影响风险承担的理论逻辑，并将2016年开始实施的宏观审慎评估体系视为一项准自然实验，进而采用双重差分方法进行因果识别。理论表明，伴随着存款占比上升，银行流动性风险降低，银行将发放更多贷款并降低对贷款的监督强度，从而承担更高的风险。实证结果显示，存款占比上升显著提升了银行风险承担水平，而且该作用在市场势力小、资本充足率低、盈利能力高的银行更为凸显。进一步地，银行风险承担提高对企业信贷获取、新增投资和产出有显著的积极影响，并集中体现于具有高风险的企业。本文强调，强化资金流动性监管将激励银行承担风险，但可以促进实体经济发展，为监管部门宏观审慎政策优化完善提供了理论依据和微观基础。

Abstract

This study examines whether banks’ liability structure matters for their risk taking. Using athree-period model, we argue that a high deposit ratio lowers banks’ monitoring effort dueto a low liquidity risk, causing banks’ risk taking to be greater. Taking the introduction ofMacro Prudential Assessment (MPA) into China’s bank regulatory system in 2016 as a quasi-natural experiment, our difference-in-differences estimate shows that a reduction in wholesalefunding increases bank risk as evidenced by higher risk-weighted assets, and this effect is morepronounced for banks with small market power, low capital requirement and high profitability.Further, increasing bank risk has a significant and positive impact on firms’ output growththrough the lending channel, particularly for firms with greater business risk. Our findingsprovide a deep understanding of the link between banks’ funding liquidity and risk taking.

Keywords

Banks’ liability structure；Risk taking；Liquidity risk；Difference-in-differences estimate；China

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