中国银行特许权价值的风险自律效应研究

魏琪; 曾胜

中国银行特许权价值的风险自律效应研究

引用本文：魏琪，曾胜.中国银行特许权价值的风险自律效应研究[J].财经理论与实践,2016,(1):19-25

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作者	单位
魏琪，曾胜	（重庆工商大学财政金融学院，重庆400067）

中文摘要:将银行破产风险分解为经营不确定性与风险覆盖能力、杠杆风险与资产组合风险，建立动态面板模型并采用2003~2013年中国上市银行的数据和系统广义矩估计方法，分析特许权价值激励银行降低风险承担的途径和方式。研究发现：我国银行特许权价值具有抑制银行风险的自律效应，银行为避免过高风险而遭受监管惩罚或丧失市场资源，保持特许经营条件和优势，将进行积极的风险管理；特许权价值的风险自律效应主要通过促使银行提升风险覆盖能力、降低资产组合风险和杠杆风险来实现。

中文关键词:特许权价值银行风险 GMM估计

Study on Self-discipline Effect of Bank Franchise Value in China

Abstract:This paper decomposes bank's bankruptcy risk into operation uncertainty and risk coverage, leverage risk and portfolio risk, constructs a dynamic panel model, and uses system GMM method and China's listed commercial bank data from 2005 to 2013 to study the way that the franchise value stimulates banks to reduce risk. The result shows that the franchise value of China's banks have the self-disciple effect--banks will manage risk actively in order to avoid punishment by regulatory authorities or loss of customer resources because of high risk, keep its franchising conditions and advantages. The self-discipline effect of the bank franchise value is mainly achieved through motivating banks to increase risk coverage, reduce portfolio risk and leverage risk.

keywords:bank franchise value bank risk GMM

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