利率市场化、银行业竞争与银行风险
范育涛 费方域 (3)
The Liberalization of Interest Rate, Banking Competition and the Risks of Bank
FAN Yu-tao FEI Fang-yu (3) 利率市场化背景下同业存款定价机制研究
吴 军 曹永霞 刘红亮 (7)
A Study of the Pricing Mechanism of Interbank Deposits under the Conditions of the Liberalization of Interest Rate
WU Jun CAO Yong-xia LIU Hong-liang (7)
利率非对称性调整对中小银行盈利增长的影响
柴用栋 齐培潇 柴丽娜 (12)
The Impacts of the Asymmetric Adjustments in Interest Rate on the Earnings Growth of Small and Medium-Sized Commercial Banks
CHAI Yong-dong QI Pei-xiao CHAI Li-na (12)
零售存款竞争、批发资金融资与风险行为——基于存款利率市场化前期的经验研究
吴恒宇 吴 俊 张宗益 (17)
Competition in Retail Deposits, Wholesale Fund Financing and Risk Behaviors——An Empirical Study Based on the Prophase of the Liberalization of Deposit Interest Rate
WU Heng-yu WU Jun ZHANG Zong-yi (17)
民间金融发展路径和趋势的制度分析
刘江日 (24)
A Systemic Analysis of the Development Path and Trend of Private Finance
LIU Jiang-ri (24)
民间金融演进路径与信用风险传导机制研究
徐 博 张树升 (32)
The Evolution Path of Private Finance and the Transmission Mechanism of Credit Risk
XU Bo ZHANG Shu-sheng (32)
国际商业银行盈利结构调整的路径考察及经验启示
中国工商银行城市金融研究所课题组 (38)
The Survey of the Adjustment in the Profit Structure of Foreign Commercial Banks and the Enlightenment
The Study Group of Urban Finance Research Institute, ICBC (38)
信贷行为与金融稳定关联性研究
庞晓波 贺光宇 王 超 (46)
A Study of the Correlation between Credit Behavior and Financial Stability
PANG Xiao-bo HE Guang-yu WANG Chao (46)
银行规模与银行市场约束——对银行业“大而不倒”现象的分析
谢 懿 刘 胤 柯建华 (53)
Bank Size and Bank Market Discipline —— An Analysis of the Banking Phenomenon “Too Big To Fail”
XIE Yi LIU Yin KE Jian-hua (53)
银行资源投入与创新能力相关性研究
朱明星 (59)
A Study of the Correlation between Resource Input and Innovative Capability of Bank
ZHU Ming-xing (59)
商业银行信息科技风险评价指标筛选研究
谢 威 赵嵩正 徐 林 (68)
A Study of the Selection of Evaluation Indexes of Commercial Bank’s Information Technology Risks
XIE Wei ZHAO Song-zheng XU Lin (68)
“新型城镇化与商业银行的发展机遇”研讨会发言摘要 (75)
The Summary of Speeches at the Seminar on “New Type of Urbanization and the Developmental Opportunity of Commercial banks” (75)
利率市场化、银行业竞争与银行风险
范育涛 费方域
［摘 要］ 本文利用利率市场化改革提供的自然实验，采用中国65家金融机构2005~2007年的面板数据对银行的市场力量与信贷风险之间的关系进行分析。实证结果表明，由勒纳指数所衡量的市场力量与由不良贷款率所衡量的信贷风险之间呈U形关系。也就是说，不良贷款率开始会随着勒纳指数的增加而下降，但在某一临界点后会随着勒纳指数的增加而上升。此外，与农村金融机构相比，城市商业银行的U形曲线发生了向左的偏移，并且有更大比例的勒纳指数观测值位于拐点的右侧，表明特许权价值效应和风险转移效应都是市场力量影响信贷风险的重要渠道。
［关键词］ 利率市场化；市场力量；银行业竞争；信贷风险；不良贷款；风险转移效应
［Abstract］ Based on the natural experiment provided by the liberalization reform of interest rate and the panel data of the Chinese 65 financial institutions during 2005~2007, this paper analyses the relationship between the market force and the credit risks of the banks. The empirical results show that the relationship between the market force, measured by the Lerner index, and the credit risks, measured by non-performing loan ratio, is U-shaped, which is to say, at first, the non-performing loan ratio declines as the Lerner index goes up, but, after the ratio crosses a critical point, it rises as the Lerner index goes up. In addition, compared with the rural financial institutions, the U-shaped curves of the city commercial banks move to the left, and a greater proportion of the observation value of the Lerner index locates at the right of the critical point, which means both the franchise value effect and the risk shifting effect are important channels for market force to influence credit risks.
［Key words］ liberalization of interest rate; market force; banking competition; credit risk; non-performing loan; risk shifting effect
利率市场化背景下同业存款定价机制研究
吴 军 曹永霞 刘红亮
［摘 要］ 同业存款作为一种市场化的产品，研究分析其定价机制，对利率市场化后的存贷款定价具有较强的借鉴价值。本文结合西方商业银行存款定价方法和中国同业存款自身发展特点，运用多元线性回归法建立了以资金成本为基础、以SHIBOR为基准，并综合考虑公开市场回购利率和同业竞争等因素的CS同业存款定价模型。通过实证检验和预测分析，证明该模型具有实用性和可靠性，以及SHIBOR在同业存款定价中具有主导作用，并针对模型的使用给出政策性建议：细分客户，分类定价；避免价格调整过于频繁，保持价格导向的连续性；不断积累市场化产品定价经验。
［关键词］ 利率市场化；同业存款；同业存款定价；SHIBOR；同业竞争
［Abstract］ The analysis of the pricing mechanism of interbank deposits, as marketable products, is a valuable reference for the pricing of deposits and loans after the interest rate is liberalized. This paper combines the pricing methods of foreign commercial banks with the development characteristics of China’s interbank deposits, and uses the multiple-linear-regression method to establish a CS pricing model of interbank deposits. The model is based on the cost of capitals and the SHIBOR-benchmarked. The repo rate of the open market, banking competition and other factors are considered in the paper. The empirical testing and prediction prove that the model is practical and reliable, and the SHIBOR plays a leading role in the pricing of interbank deposits. The author of the paper gives policy recommendations for the application of the model: segmenting customers and classification pricing; avoiding too frequent adjustment in price and maintaining the continuity of price guidance; continuing to accumulate the experience in the pricing of market-oriented products.
［Key words］ liberalization of interest rate; interbank deposit; pricing of interbank deposit ; SHIBOR; banking competition
利率非对称性调整对中小银行盈利增长的影响
柴用栋 齐培潇 柴丽娜
［摘 要］ 本文以11家中小型上市银行2008～2012年季度数据为基础，构建利率变动对盈利增长的固定效应模型，并与16家上市银行情况做比较分析。研究发现，一年期存贷款利率调整对中小型商业银行平均总资产回报率增长率有显著影响，但存款利率的负向影响较贷款利率的正向影响更为明显；成本与收入比和人力投入回报率对平均总资产回报率增长率也有负向影响，而资本充足率与总资产的交互影响为正向。中小型商业银行应构建利率定价机制，优化业务经营体系，适应中国利率市场化改革，有效应对存贷款利率调整的影响，转变盈利增长模式。
［关键词］ 存贷款利率；中小型上市商业银行；盈利增长；总资产回报率
［Abstract］ Based on the quarterly data of 11 small and medium-sized listed banks during 2008~2011, this paper constructs a fixed effect model to test the impacts of the changes in interest rates on earnings growth, and compares the 11 banks with 16 listed banks. It is found that the adjustment in one-year deposit (loan) interest rate has significant impacts on the growth of the average ROA of the small and medium-sized banks, but the negative impacts of the deposit interest rate are more significant that those of the loan interest rate; the cost-income ratio and the return of human investment also have negative impacts on the average ROA, however, the interaction between capital adequacy ratio and total assets is positive. Small and medium-sized commercial banks should construct a pricing mechanism of interest rate, optimize business operation system, adapt to China’s liberalization reform of interest rate, effectively dispose the impacts of the adjustments in deposit (loan) interest rate, and change the mode of profit growth.
［Key words］ deposit (loan) interest rate; small and medium-sized listed commercial bank; earnings growth; ROA
零售存款竞争、批发资金融资与风险行为——基于存款利率市场化前期的经验研究
吴恒宇 吴 俊 张宗益
［摘 要］ 本文采用2000~2010年中国银行业“管住上限”的存款利率市场化前期14家主要全国性商业银行的面板数据，在全面考察该时期银行资金竞争行为的基础上，将批发资金融资条件引入研究框架，实证检验银行业零售存款竞争、批发资金融资与银行风险之间的互动关系。研究结果表明：“管住上限”并未避免非价格及变相价格竞争环境下银行风险动机的形成；银行间批发资金市场成功发挥了独立资金配置体系的功用，成为调节银行竞争压力的重要渠道；批发资金融资压力促成了银行整体风险的缓解。为此，监管当局应协力实现竞争与银行稳定的有效相容。
［关键词］ 零售存款竞争；批发资金；银行风险；存款利率市场化
［Abstract］ Based on the panel data of the 14 major nationwide commercial banks during 2000~2010, a period of “regulate the cap”, i.e. the prophase of the liberalization of deposit interest rate, this paper comprehensively researches the competitive behaviors of the banks in the period, and introduces the financing conditions of wholesale fund, ignored by the traditional theory, into the analytic framework to examine the relationship between competition in retail deposits, wholesale fund financing and the risks of banks. The results of the paper show that the“regulate the cap” has not yet avoided the formation of the risk motivation of the banks in circumstance of non-price or disguised price competition; the inter-bank wholesale fund market successfully plays the role of an independent system to allocate funds, and becomes an important channel to adjust competitive pressures of the banks; the pressure of the wholesale fund financing helps relieve the overall risks of the banks. Therefore, the regulators should make efforts to realize the effective compatibility between competition and bank stability.
［Key words］ competition in retail deposit; wholesale fund; bank risk; liberalization of deposit interest rate
民间金融发展路径和趋势的制度分析
刘江日
［摘 要］ 本文基于金融制度和经济制度的关系视角，提出两者之间存在动态的耦合关系。从短期来看，金融制度和经济制度“不完全耦合”是可能的，也是暂时的；从长期来看，总存在着一股无形的力量推动金融制度和经济制度两者趋向“完全耦合”的均衡状态。在考察两者耦合关系以及明确民间金融边界的基础上，本文着重研究民间金融演变路径及其内在规律，并提出民间金融制度变迁“四阶段”模型。结果表明，民间金融制度变迁的过程是金融制度与经济制度向“完全耦合”均衡状态变迁的渐进过程；对民间金融“疏堵结合”具有合理性，即疏通民间金融正规化路径，堵住其异变路径。
［关键词］ 民间金融；民营金融；经济制度；金融制度；制度变迁；耦合关系
［Abstract］ From the perspective of the relationship between financial system and economic system, this paper proposes that there is a dynamic coupling relationship between the two systems. It is possible but temporary that financial system and economic system are not “fully coupled”. In the long run, there is always an invisible force to promote the relationship between financial system and economic system towards “fully coupled” equilibrium. On the basis of inspecting the coupling relationship between the two systems and defining the the boundary of private finance, this paper focuses on the evolution path and the inherent laws of private finance, and provides a“four-stage model” of the institutional transition of private finance. The results show that the institutional transition of private finance is a gradual process towards “fully coupled” equilibrium between financial system and economic system. Furthermore, the paper demonstrates the rationality of the policy that promotes regularization of private finance and prevents its dissimilation.
［Key words］ private finance; privately operated finance; economic system; financial system; institutional transition; coupling relationship
民间金融演进路径与信用风险传导机制研究
徐 博 张树升
［摘 要］ 经济体制改革以来，民间金融作为中国金融系统融资模式的补充一定程度上缓解了民间经济主体强烈的资金需求和正规金融资金有效供给不足之间的矛盾。然而，2011年以来的民间金融危机对中国的金融体制改革提出了新的挑战，民间金融已经成为影响区域经济发展以及金融稳定的一个重要因素。因此，在逐步确立民间金融合法化的同时，合理规范民间金融活动范围、有效保护债权人和债务人的合法权益、适时降低民间金融市场均衡利率、加快完善金融服务体系、强化政府公共配套服务、积极探寻民间金融新时期发展的制度均衡点是比较现实的选择。
［关键词］ 民间金融；演进路径；信用风险；传导机制
［Abstract］ Since the reform of economic system, the private finance, as a supplement to the financing channels of the Chinese financial system, has solved the contradiction between the huge demands of private economy for funds and the effective supply shortage of formal financial funds to some extent. But the private financial crisis since 2011 forms new challenges to the reform of the Chinese financial system, which indicates that the private finance has become an important factor to impact the development of regional economy and the financial stability. Therefore, when the private finance is gradually legalized, it’s a realistic option to set a reasonable business range of private finance, effectively protect the legal rights and interests of creditors and debtors, reduce the market equilibrium interest rate of private finance, accelerate the improvement of financial service system, strengthen the governmental public support services, and actively explore the system equilibrium point of private finance in the new period.
［Key words］ private finance; evolution path; credit risk; transmission mechanism
国际商业银行盈利结构调整的路径考察及经验启示
中国工商银行城市金融研究所课题组
［摘 要］ 当前中国商业银行的外部经营环境正在发生一系列深刻变化，加速推动盈利结构调整已经成为未来一段时间经营转型的重心所在。本文在考察分析知名国际银行盈利结构变迁一般规律及典型案例的基础上，探讨提出中国商业银行当前及未来一段时间盈利结构调整的路径选择：积极开辟“信贷蓝海”，夯实利差收入基础；以金融资产服务业务为抓手，推动手续费及佣金收入实现持续快速增长；利用资本市场加快发展契机推动资金业务加速发展，保持投资交易净收入占比稳步提高；继续深化国际化、综合化经营，不断提升境外机构及综合化经营子公司的价值贡献。
［关键词］ 商业银行；盈利结构调整；产品线建设；协同营销；产品创新
［Abstract］ Currently, the external business environment of the Chinese commercial banks is profoundly changing. To accelerate profit structure adjustment has become the focus of business transformation in the future. Based on the investigation and analysis of the general law and typical cases of the changes in the profit structure of famous foreign commercial banks, this paper proposes the way for the Chinese commercial banks to adjust profit structure currently and in the future: actively develop“credit blue ocean” and strengthen the base of interest margin income; rapidly increase the incomes of commissions and fees by dint of the financial asset servicing business; accelerate the development of fund business by dint of the rapid development of capital market and steadily increase the proportion of net investment and transaction incomes; continues to develop the comprehensive and international operation to raise the value contribution of the abroad institutions and the comprehensively-operated subsidiaries.
［Key words］ commercial bank; adjustment in profit structure; construction of product line; cooperative marketing; product innovation
信贷行为与金融稳定关联性研究
庞晓波 贺光宇 王 超
［摘 要］ 本文在分析信贷行为对金融不稳定状况传导机制理论基础上，对信贷行为与金融稳定的关联性进行检验，构建了标准形式金融状况指数（FCI）和包含了金融机构贷款余额的两种中国金融状况指数（FCIL），并对二者对CPI的预测能力进行了比较分析。结果表明，世界范围内金融危机的发生与信贷行为不当有直接关联；FCIL包含更多未来宏观经济信息，可以更有效的预测通货膨胀压力。综合考虑两方面结果，中国央行在制定货币政策时应该从金融稳定出发，重视信贷行为作为重要中介目标对宏观金融稳定的溢出效应。
［关键词］ 信贷行为；金融稳定；金融状况指数；货币政策
［Abstract］ Based on the analysis of the mechanism theory of credit behaviors transmitting the status of financial instability, this paper tests the correlation between credit behavior and financial stability, constructs a standard form of financial conditions index (FCI) and two kinds of China’s financial conditions index (FCIL) which contains loan-amounted of financial institutions, and comparatively analyses the function of the both indexes to predict CPI. The results of the paper show that the worldwide financial crises are directly related to credit misconduct; The FCIL contains more information of future macro-economy and can more effectively predict inflationary pressures. Considering the results, the China’s central bank should aim at financial stability and pay attention to the spillover effects of credit behavior, as an important intermediate target, on macro-financial stability when it make monetary policies.
［Key words］ credit behavior; financial stability; financial conditions index; monetary policy
银行规模与银行市场约束——对银行业“大而不倒”现象的分析
谢 懿 刘 胤 柯建华
［摘 要］ 本文以中国13家大中型商业银行2001~2011年的年度数据为研究样本，在隐性存款保险制度的背景下，从市场约束角度研究银行规模与市场约束作用之间的关系，分析中国银行业中的“大而不倒”问题。研究结果表明：商业银行规模越大，对市场约束作用的削弱程度越强，外界对银行进行救助的难度也越大；“大而不倒”现象在银行业中广泛存在，并不会因为存款保险制度的不同而产生实质性差异；商业银行的流动性水平越高，受到的市场约束作用越弱，而贷存比和上市指标与银行市场约束的关系则呈现反向关系。
［关键词］ 商业银行；银行规模；市场约束；大而不倒；存款保险制度
［Abstract］ In this paper, the annual data of the Chinese 13 large and medium-sized commercial banks during 2001~2011 are used as samples. Considering the implicit deposit insurance system and from the perspective of market discipline, the paper analyses the relationship between bank size and market discipline, and the phenomenon “too big to fail” in the Chinese banking sector. The results of the paper show that the larger the bank size is, the more the market discipline is weakened and the more difficult to rescue the bank is; the phenomenon“too big to fail” is widespread in banking sector, and it can not be essentially different due to the difference in deposit insurance system; the higher the liquidity level of commercial bank is, the weaker the market discipline, but the relationships between the ratio of loan to deposit, listed indicators and the bank market discipline are just opposite.
［Key words］ commercial bank; bank size; market discipline; too big to fail; deposit insurance system
银行资源投入与创新能力相关性研究
朱明星
［摘 要］ 本文选取中国沪深交易所上市商业银行2007~2011年间的数据，研究商业银行资源投入与创新能力之间的相互关系。实证结果表明，代表商业银行资源投入的电子银行渠道、人力资本、员工激励与银行创新能力之间存在正相关的关系，市场占有率与银行创新能力之间存在负相关的关系，而物理分销渠道对银行创新能力的影响不显著。这表明依靠外部力量推动银行业改革的边际效率正在下降，中国银行业有必要加大内生资源投入，从渠道建设、电子银行、人力资源的配置和激励等多个方面，构造创新能力体系，实现银行业经营发展模式由粗放型向集约型的转变。
［关键词］ 商业银行；创新能力；资源投入；电子银行；人力资本
［Abstract］ This paper selects the data of the Chinese commercial banks listed in Shanghai and Shenzhen Stock Exchanges during 2007~2011 to analyze the correlation between resource input and innovative capability of commercial banks. The empirical results show that there is a positive relationship between the resource input of commercial banks, represented by electronic banking channel, human capital, staff motivation, and the innovative capability of banks, but the relationship between the market share and the innovative capability of banks is negative. Physical distribution channels have no significant influence on the innovative capability. The above results demonstrate that the marginal efficiency of external forces promoting the reform of banks is declining, the Chinese banks should increase endogenous resource input, and build a system of innovative capability in aspects of channel construction, electronic banking, allocation and incentives of human resources, etc., to realize the transformation of the development model from the extensive to the intensive.
［Key words］ commercial bank; innovative capability; resource input; electronic banking; human capital
商业银行信息科技风险评价指标筛选研究
谢 威 赵嵩正 徐 林
［摘 要］ 本文在对相关文献进行分析的基础上，提出了商业银行信息科技风险评价指标体系，利用李克特“七点量表”设计了调查问卷，通过变异系数法及灰色关联分析法，修正了初始评价指标体系，最终形成了目标层、准则层、一级评价指标、二级评价指标的四级评价指标体系。目标层为信息科技综合风险水平，准则层由固有风险及控制有效性组成，固有风险下设外生因素等4个一级评价指标，控制有效性准则层下设信息科技治理、信息科技风险管理等8个一级评价指标，二级指标由自然灾害、系统故障、制度不健全、信息科技治理岗位划分及职责等85个指标组成。
［关键词］ 商业银行；信息科技风险；信息安全；评价指标筛选
［Abstract］ On the basis of the analysis of related literature, this paper proposes an index system for the evaluation of commercial bank’s information technology risks, and designs a questionnaire with Likert Seven Scale. By the variation coefficient method and gray correlation analysis, the initial evaluation index system is revised and finally a four-layer evaluation index system is formed, which consists of target layer, criterion layer, first-level evaluation index, and second-level evaluation index. The target layer consists of indexes representing the level of comprehensive risks of information technology. The criterion layer consists of indexes representing inherent risks and control effectiveness. The inherent risks are evaluated by 4 first-level evaluation indexes, such as exogenous factor, etc. The control effectiveness are evaluated by 8 first-level evaluation indexes, including the management and risk control of information technology, etc. The second-level evaluation index consists of 85 indexes, such as natural disaster, system failure, imperfect rules, post classification and responsibilities of the management of information technology, etc.
［Key words］ commercial bank; information technology risk; information security; selection of evaluation index