流动性需求、资本约束与银行债券资产配置行为
朱艳敏 王光伟 (3)
Liquidity Demands, Asset Constraints and the Commercial Bank’s Allocation
Behaviors of Bond Assets ZHU Yan-min WANG Guang-wei (3)
流动性风险对银行信贷行为的影响
宋玉颖 刘志洋 (10)
The Impacts of Liquidity Risks on the Credit Behavior of Banks
SONG Yu-ying LIU Zhi-yang (10)
银行流动性风险评级与风险测度——基于随机流动比率模型的分析
沈沛龙 王晓婷 (17)
The Rating and Measurement of the Liquidity Risks of Banks —— An Analysis Based on the Random Liquidity Ratio Model
SHEN Pei-long WANG Xiao-ting (17)
系统性风险贡献评估方法改进及在商业银行的应用
马亚芳 潘凌遥 (24)
The Improvement in the Assessment Method of Systemic Risk Contribution and the Application in Commercial Banks
MA Ya-fang PAN Ling-yao (24)
中国上市金融机构系统性风险的“分摊”——基于边际预期损失模型的分析
代 松 (29)
The Systemic Risk Contribution of the Chinese Listed Financial Institutions——An Analysis Based on the MES Model
DAI Song (29)
银行治理、高管薪酬与银行绩效
段军山 黄剑超 (36)
Bank Governance, Executive Pay and Bank Performance
DUAN Jun-shan HUANG Jian-chao (36)
银行董事会、银行贷款与货币政策传导
朱博文 程子奇 (47)
The Board of Bank Directors, Bank Lending and the Transmission of Monetary Policy
ZHU Bo-wen CHENG Zi-qi (47)
利率市场化、利率敏感性与货币政策中介目标选择
戴晓兵 (55)
Interest Rate Liberalization, Interest Rate Sensitiveness and the Choice of the Intermediate Target of Monetary Policy
DAI Xiao-bing (55)
信贷资产行业配置与商业银行经营绩效
房巧玲 崔 宏 王金涛 (62)
The Allocation of Credit Assets in Industries and the Operational Performance of Commercial Bank
FANG Qiao-ling CUI Hong WANG Jin-tao (62)
产生共生、金融生态与供应链金融
张敬峰 周守华 (69)
Industrial Symbiosis, Financial Ecology and Supply Chain Finance
ZHANG Jing-feng ZHOU Shou-hua (69)
商业银行拓展县域金融市场策略研究
中国工商银行宁波市分行课题组 (75)
A Study of the Strategy of Commercial Banks to Develop County Financial Market
The Study Group of Ningbo Branch, ICBC (75)
流动性需求、资本约束与银行债券资产配置行为
朱艳敏 王光伟
［摘 要］ 本文使用2007~2012年中国16家上市银行的季度数据，研究流动性需求、收益率、风险及资本监管对债券资产配置行为的影响。研究结果表明，商业银行持有债券主要是满足流动性需要，且具有明显的逆经济周期波动性，受债券及替换性资产的收益率与风险的影响不大，受资本监管的影响较为显著。由于银行所处的市场地位和政策扶持力度不同，其债券配置行为存在较大差异。本文认为，商业银行应综合债券及贷款的收益和风险等因素，合理确定债券投资比重；中央银行制定货币政策时应考虑商业银行债券资产配置行为对货币政策效果的影响。
［关键词］ 债券投资；商业银行；资产配置；流动性需求；收益率；资本充足率
［Abstract］ Based on the quarterly data of the Chinese 16 listed banks during 2007~2012, this paper researches the influence of liquidity demands, earnings, risks and capital regulation on the allocation behaviors of bond assets. The results indicate the main reason why commercial banks hold bonds is to meet the liquidity demands. That commercial banks hold bonds shows an apparent reverse-economic-cycle fluctuation, and it is greatly impacted by capital regulation, but it’s not so by the earnings and risks of bonds and substitution assets. Because each bank has different market power and policy support, its allocation behaviors of bond assets show great differences. Commercial banks should comprehensively consider the earnings, risks and other factors of bonds and loans, and reasonably determine the bond investment ratio. When the central bank make monetary policies, it should consider the impacts of the commercial bank’s allocation behaviors of bond assets on the effects of monetary policy.
［Key words］ bond investment; commercial bank; asset allocation; liquidity demand; earnings; capital adequacy ratio
流动性风险对银行信贷行为的影响
宋玉颖 刘志洋
［摘 要］ 本文运用中国14家上市商业银行2007~2012年半年度财务数据，检验银行流动性风险管理与银行信贷行为之间的关系。结果表明：从贷款利率来看，银行流动性风险的降低（流动性比率增加）能够使银行进行风险更高的贷款，增加银行风险承担能力；从存款利率来看，银行流动性比率的提升可以使银行以更加优惠的利率吸收存款；在金融风险加大时期，持有信贷承诺数量较大的银行会增加流动性资产储备以应对风险，并且信贷承诺对于银行信用总量的增速具有显著的促进作用。商业银行应同时重视流动性和资本充足率，注重表外信用承诺对商业银行流动性风险的影响。
［关键词］ 商业银行；银行信贷；流动性风险；存贷利率；信贷承诺
［Abstract］ This paper uses the semiannual financial data of the Chinese 14 listed commercial banks during 2007~2012 to examine the relationship between the liquidity risk management and the credit behavior of banks. The results show that, from the perspective of loan interest rates, the decrease in liquidity risks (increase in liquidity ratio) will enable banks to grant higher-risk loans and improve bank’s ability to bear risks; from the perspective of deposit interest rates, the increase in liquidity ratio will enable banks to add deposits with more favorable interest rates; when financial risks increase, the bank that makes a commitment of large quantities of credits will increase liquidity asset reserves to prevent the risks, and the commitment can significantly promote the growth in the total credits of the bank. Commercial banks should attach importance not only to liquidity but capital adequacy ratio, and pay attention to the impacts of the off-balance-sheet commitment on the liquidity risks.
［Key words］ commercial bank; bank credit; liquidity risk; deposit and loan interest rates; credit commitment
银行流动性风险评级与风险测度——基于随机流动比率模型的分析
沈沛龙 王晓婷
［摘 要］ 本文通过构建随机流动比率模型，测算中国12家上市银行的流动性风险距离和风险概率，并进行流动性风险评级；在此基础上，从资产流动性、负债流动性及资产负债匹配程度三方面分析各银行流动性风险差异的原因。研究发现，除建设银行外，其它大型商业银行的资产流动性低于12家样本银行的平均水平。股份制银行的资产流动性较高，负债流动性较低，且各股份制银行的流动性风险水平差别较大。为了降低流动性风险，大型商业银行应增加持有流动性资产，股份制银行则应形成稳定的资金来源，合理进行资产负债匹配。
［关键词］ 商业银行；流动性风险；资产流动性；负债流动性
［Abstract］ This paper constructs a random liquidity ratio model to measure the risk distance and risk probability of the Chinese 12 listed banks, and determine the liquidity risk rating. Then the paper analyses the reason of the difference in the liquidity of banks from the perspectives of asset liquidity, liability liquidity and the matching degree of asset and liability. It is found that, except the CCB, the asset liquidity of other big commercial banks is lower than the average asset liquidity of the 12 sample banks. The liquidity of joint-stock banks is high, and the liability liquidity is low. There are great differences in the level of liquidity risks between different joint-stock banks. To reduce liquidity risks, the big commercial banks should increase liquidity assets, and the joint-stock banks should form a stable source of funds and a reasonable asset-liability matching.
［Key words］ commercial bank; liquidity risk; asset liquidity; liability liquidity
系统性风险贡献评估方法改进及在商业银行的应用
马亚芳 潘凌遥
［摘 要］ 已有的商业银行系统性风险贡献评估方法对银行业机构风险的相关性考虑不足，容易对各银行的系统性风险贡献过度估计，且大都使用市场数据进行测算，难以体现风险的传染。本文引入共同冲击因子，并考虑风险通过资产负债表的关联在银行间的传染。实证结果表明，随着商业银行资产规模的扩张，其系统性风险贡献也在增加，大型国有商业银行的系统性风险贡献大于其他类型的银行。为防范系统性风险，除了要注意系统性风险贡献较大的银行外，也要注意系统性风险贡献占比有变大趋势的银行，防止银行风险的过度集中。
［关键词］ 商业银行；系统性风险；风险贡献；夏普利值
［Abstract］ The existing assessment methods of the systemic risk contribution of commercial banks do not consider enough the relevance of the systemic risks of banks. They may estimate the systemic risks too high, and most of them measure risks according to market data, which can not reflect risk transmission well. This paper introduces common-impact factors and considers the risk transmission among the banks through the relevance of balance sheet. The empirical results show that the systemic risk contribution of commercial banks increases with the expansion of the asset size of banks, and the systemic risk contribution of large state-owned commercial banks is greater than that of the other types of banks. To prevent systemic risks, not only should the banks that make great systemic risk contribution but those banks whose risk ratios show increase trends be paid attention to.
［Key words］ commercial bank; systemic risk; risk contribution; Shapley value
中国上市金融机构系统性风险的“分摊”——基于边际预期损失模型的分析
代 松
［摘 要］ 本文基于边际预期损失模型（MES），分析中国金融市场上市金融机构的相对系统重要性。实证结果表明，通过观察中国上市金融机构在非金融危机期间的边际预期损失值，可以判断出同期该金融机构在金融市场中的相对系统重要性，那些在非金融危机期间边际预期损失值较大、杠杆率较高的金融机构，其在金融危机爆发时对中国金融市场系统性风险的贡献度也相对较大，具有更强的负外部性。根据这一结果，边际预期损失法可以用于衡量中国上市金融机构的系统重要性，从而为确定中国系统重要性金融机构提供了参考。
［关键词］ 上市金融机构；系统重要性金融机构；系统性风险；风险测度；边际预期损失模型
［Abstract］ Based on the MES(Marginal Expected Shortfall) model, this paper analyses the relative systemic importance of the listed financial institutions in China’s financial markets. The empirical results show that the relative systemic importance of the Chinese listed financial institutions can be determined according to the MES value of the institutions during the non-financial-crisis. The institution, its MES value and leverage ratio are great, will make more contributions to the systemic risks of the China’s financial markets during financial crisis, and it has stronger negative external effects. The results indicate the MES method can be used to measure the systemic importance of listed financial institutions, and it can be a recommended tool to determine the systemically important financial institutions.
［Key words］ listed financial institution; systemically important financial institution; systemic risk; risk measurement; Marginal Expected Shortfall model
银行治理、高管薪酬与银行绩效
段军山 黄剑超
［摘 要］ 本文基于中国11家上市商业银行2006~2011年面板数据，研究银行治理、高管薪酬与银行绩效三者之间的关系。研究发现，银行治理与银行绩效互为显著正相关；银行绩效与高管薪酬亦互为显著正相关，二者存在“激励相容”，且这种“高报酬—好业绩”双向激励机制在非国有性质的商业银行中尤为明显；对更高高管薪酬和绩效水平的银行而言，这种“激励相容”作用显著变弱。通过研究银行治理细分变量对银行绩效的影响后发现，股权结构对绩效存在负作用，董事会、独立董事、监事会等对银行绩效提升作用不明显，对银行治理和内部制衡机制功能发挥需要给予重视。
［关键词］ 银行治理；银行绩效；高管薪酬；激励相容
［Abstract］ Based on the panel data of the Chinese 11 listed commercial banks during 2006~2011, this paper researches the relationship between bank governance, executive pay and bank performance. It is found that the bank governance and the bank performance are significantly and positively correlated with each other, so do the bank performance and the executive pay, which means there is “incentive compatibility”; such bilateral incentive mechanism as“more pay, better performance” is especially obvious in non-state-owned commercial banks, but such“incentive compatibility” function obviously becomes weak in the banks of the higher executive pay or better performance. The study of the influence of finely-sorted variables representing bank governance shows that the shareholding structure has negative impacts on the performance, and the board of directors, independent directors and the board of supervisors haven’t obviously improved the bank performance. It’s necessary to pay attention to bringing the functions of the bank governance and the internal balance mechanism into play.
［Key words］ bank governance; bank performance; executive pay; incentive compatibility
银行董事会、银行贷款与货币政策传导
朱博文 程子奇
［摘 要］ 从公司治理角度，董事会作为商业银行的决策机构能影响银行在货币政策冲击下的贷款行为。为验证这一结论，本文选取2003~2010年中国84家商业银行的相关数据，分析商业银行董事会特征对货币政策传导的银行贷款渠道的影响。结果表明：董事会规模和独立性差异影响了银行贷款行为对货币政策冲击的反应，董事会规模越大、独立性越高的银行，其信贷行为对货币政策反应越不敏感；这种差异并不是由于董事会下设委员会和董事会会议等董事会职能行使方式差异造成的，董事会作为银行决策机构对货币政策冲击下银行贷款行为调整的影响作用没有得到充分发挥。
［关键词］ 商业银行；董事会；银行贷款；货币政策传导
［Abstract］ From the perspective of bank governance, the board of bank directors, which is the decision maker of bank, can influence the bank lending behavior when monetary policy impacts the bank. To examine this theory, this paper selects the data of the Chinese 84 commercial banks during 2003~2010 to analyze the influence of the board characteristics of bank directors on bank lending, the transmission channel of monetary policy. The results show that the difference in the size and independence of the board of directors affect the reaction of the bank lending behavior to the influence of the monetary policy. The larger the size is, and the more independent the bank is, the less sensitive the reaction. The further research shows that the reason of the above difference is not because the difference in the exertion ways of the board functions, such as the sub-committees of the board and board conferences, etc., and the board of directors, as the decision maker of bank, does not exert its full influence on the adjustment of the bank lending behavior when monetary policy impacts the bank.
［Key words］ commercial bank; board of director; bank lending; transmission of monetary policy
利率市场化、利率敏感性与货币政策中介目标选择
戴晓兵
［摘 要］ 本文运用1996~2012年的季度数据，实证检验了中国的利率与消费、投资、消费物价水平、国内生产总值之间的关系。研究发现，全国银行间7天同业拆借利率是消费物价水平的格兰杰原因，而其与真实国内经济产出没有格兰杰因果关系；真实投资增长率是真实贷款利率的格兰杰原因；利率的波动能够影响物价水平的波动，而消费的利率弹性较小。因此，从利率中介目标的适用条件——利率市场化、微观经济主体行为对利率的敏感性角度来看，目前尚不具备直接将利率作为货币政策中介目标的条件，而应建立以货币供应量为主，同时监测利率水平的综合货币政策中介目标框架。
［关键词］ 货币政策；中介目标；利率；利率市场化；居民消费价格指数
［Abstract］ Based on the quarterly data during 1996~2012, this paper empirically examines the relationships between the Chinese interest rate and consumption, investment, CPI, GDP. It is found that the 7 days’ inter-bank borrowing interest rate is the Granger cause of CPI, and it doesn’t have the Granger causality with real domestic economic output; the real investment growth is the Granger cause of real lending interest rate; the fluctuations in interest rates can affect the fluctuations in price level, and the interest rate elasticity of consumption is little. Therefore, from the perspective of the applicable conditions of interest rate intermediate target, i.e. the sensitivity of interest rate liberalization and the micro-economic behavior, at present, there are not conditions of interest rates directly as the intermediate target of monetary policy. A comprehensive intermediary target framework of monetary policy should be established, in which money supply is the main base, but meanwhile the level of interest rate is monitored.
［Key words］ monetary policy; intermediate target; interest rate liberalization; CPI
信贷资产行业配置与商业银行经营绩效
房巧玲 崔 宏 王金涛
［摘 要］ 本文从行业经济属性特征出发，通过分析信贷资产的行业属性对商业银行信用风险和收益的影响，初步构建了一个信贷资产行业配置分析框架。基于2011年中国商业银行的经验数据，实证检验了上述分析框架的可靠性。进一步的实证分析发现：具有不同经济属性特征的各个行业存在着不同的风险—收益组合，一些行业存在着低风险高收益的特征，另一些行业却存在高风险低收益的特征，不同的信贷资产行业配置结果将导致不同的经营绩效。商业银行应注重动态观察行业经济属性特征的变动，优化信贷资产在各行业间的配置。
［关键词］ 商业银行；行业经济属性；信贷资产；行业配置；经营绩效
［Abstract］ According to the economic attributes and characteristics of industries, this paper analyses the influence of industry attributes on the credit risks and returns of commercial banks, and construct a preliminary analytical framework of the allocation of credit assets in industries. Based on the empirical data of the Chinese commercial banks in 2011, the paper examines the reliability of the framework. The further empirical analysis shows there are different risk-return portfolios in the industries that have different economic attributes and characteristics. Some industries have the characteristics of low risk and high return, and the others have the characteristics of high risk and low return. Different industry allocations of credit assets will result in different operational performance. The above results indicate that commercial banks should pay attention to the dynamic observation of the changes in the economic attributes and characteristics of industries, and optimize the allocation of credit assets in various industries.
［Key words］ commercial bank; economic attribute of industry; credit asset; allocation in industries; operational performance
产业共生、金融生态与供应链金融
张敬峰 周守华
［摘 要］ 本文在分析产业共生与供应链金融相互关系的基础上，提出了建立中国供应链金融生态的对策与建议。本文认为，产业共生关系既对供应链金融提出了需求，同时也为供应链金融运作和发展提供了基础。银行是供应链金融的提供者，其通过与核心企业合作，有助于创新供应链金融产品和服务，促进供应链金融生态系统的构建。为了完善供应链金融生态系统，银行等金融机构应加快业务转型，开发创新的标准化组合产品，优选核心企业，扩大供应链金融业务；政府应在财税政策、金融政策和区域规划政策等方面提供支持，以法律制度建设为重点，营造良好的供应链金融生态环境。
［关键词］ 供应链管理；供应链金融；产业共生；金融生态
［Abstract］ Based on the analysis of the relationship between industrial symbiosis and supply chain, this paper put forward countermeasures and suggestions for the construction of the China’s ecology of supply chain finance. The paper argues that the industrial symbiosis relationship needs the supply chain finance, and meanwhile it provides foundation for the operation and development of the supply chain finance. Banks are supply chain finance suppliers. Their cooperation with core enterprises help innovate the products and service of supply chain finance, and promote the construction and improvement of the ecology system of supply chain finance. To improve the ecology of supply chain finance, banks and other financial institutions should speed up business transformation, develop innovated, standardized and assembled products, select core enterprises, and expand the business of supply chain finance. The government should support the ecology of supply chain finance with the policies of tax, finance and regional planning, etc., and strengthen the construction of laws and systems to build a good ecological environment of supply chain finance.
［Key words］ supply chain management; supply chain finance; industrial symbiosis; financial ecology
商业银行拓展县域金融市场策略研究
中国工商银行宁波市分行课题组
［摘 要］ 本文通过分析宁波县域经济与商业银行经营发展间的内在关系，论证商业银行抓住县域机构发展机遇的重要性，并在调查研究影响县域金融机构竞争力要素的基础上，提出商业银行开拓县域金融市场的路径：重点改革创新县域机构经营管理模式，以市场和客户为导向进行战略定位和布局；突出加强经济强镇网点建设，配套进行差异化的资源投入；加快研发符合县域市场需求的个性化产品，加强服务供应链建设；大力提升业务处理和内部流程效率；加强经营管理，发挥人的积极作用；创新服务方式开拓业务领域，打造新的效益增长极。
［关键词］ 商业银行；县域金融市场；区域经济与金融；综合市场竞争力
［Abstract］ This paper analyses the intrinsic relationship between the Ningbo’s county economy and the business development of commercial banks, and illustrates the importance of the commercial banks to seize the development opportunities of county branches. Based on the investigation and study of the factors to influence the competitiveness of county financial branches, the paper proposes the way for commercial banks to develop county financial markets: the commercial banks should focus on the innovation of the operational and management patterns of the county branches, make strategies and layouts oriented toward market and customer, strengthen the construction of networks in strong-economy towns and the differential resource investment, speed up the development of characteristic products in accordance with market demands, strengthen the construction of service supply chain, improve the efficiency of business process and internal procedure, strengthen operation and management, bring staff into full play, innovate service pattern, open up new business and form the new source of profit growth.
［Key words］ commercial bank; county financial market; regional economy and finance; comprehensive market competitiveness