批发融资会增强商业银行的杠杆顺周期性吗? ——基于140家商业银行的实证研究
投稿时间:2018-08-25  修订日期:2018-08-25  点此下载全文
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作者单位邮编
周晔 首都经济贸易大学 100070
基金项目:国家社科基金项目(15BJY171)“经济新常态下我国商业银行流动性风险的防控及监管效果研究”
中文摘要:对我国140家商业银行2006~2016年间面板数据的实证研究发现,商业银行杠杆变动具有明显的顺周期行为,但是批发融资会在一定程度上缓解商业银行的杠杆顺周期性,使杠杆率呈现逆周期效应。批发融资对杠杆顺周期性的缓释作用在资产规模较小,批发融资占比较高以及杠杆率水平较低时较为显著。研究还发现,2014年出台的《商业银行同业融资管理办法》在控制批发融资的同时,还在一定程度上限制了商业银行的逆周期缓释策略,增强了商业银行的杠杆顺周期行为。
中文关键词:顺周期性 杠杆率 批发融资
 
Does Wholesale Funding Alleviate the Leverage Procyclicality of Commercial Bank? ——Based on Analysis of 140 Commercial Banks
Abstract:The empirical based on panel data of 140 commercial banks in China from 2006 to 2016 shows that the leverage change of commercial banks has obvious pro-cyclical behavior, but wholesale funding can alleviate the leverage procyclicality of commercial banks to some extent, and even make leverage ratio present countercyclical effect. The slow-release effect of wholesale funding on leverage procyclicality is significant when the scale of assets is small, the proportion of wholesale funding is relatively high and the level of leverage is low. The study also found that the anti-cyclical slow-release strategy was effectively controlled by the 2014 policy of controlling interbank business, while the leverage of commercial banks increased in a pro-cyclical manner.
keywords:Procyclicality  Leverage  Wholesale funding
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