特许权价值、市场结构与银行风险承担

银行业的风险程度关系到整个经济体的稳定与发展,控制风险是银行经营的重要目标之一。目前对银行风险承担的研究主要从特许权价值和市场竞争的角度分别展开分析。本文以156家中国商业银行为研究对象,同时分析了银行特许权价值、市场竞争程度对银行风险的影响。通过实证分析,我们发现目前影响我国商业银行特许权价值的因素主要来自银行因素而非市场因素;在没有控制内生性的前提下,发现银行特许权价值有效地约束了银行风险,而市场竞争的加剧增加了银行风险行为;在控制银行风险和特许权价值内生性后,发现特许权价值对中国商业银行风险的约束效应基本不存在。因此,要维持银行业的稳定,需要规范银行的竞争行为,提高特许权价值的风险约束效应。     

中国银行特许权价值的风险自律效应研究

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。     

不完全隐性保险政策与银行业风险承担行为

现有文献往往都不对政府隐性保险的操作实践进行任何的区分,未能考察不同隐性保险方式对不同银行风险承担行为的不同作用机理。本文在一个两期经济的框架内,比较研究了不完全隐性保险和完全隐性保险的政策效果与环境依赖,研究了不完全隐性保险对银行业风险承担行为的影响,给出了不完全隐性保险对不同银行风险选择的激励条件和边界。不完全隐性保险对健康银行的风险选择具有屏蔽效应;在一定的条件下,不完全隐性保险能降低问题银行的风险承担激励,但其效果取决于受保险的消费者类型和实体经济的微观基础。当银行业现有的风险承担倾向较高时,政府不完全的隐性保险政策要优于完全的隐性保险政策。     

商业银行同业资产扩张与风险承担——基于中国银行业的实证研究

本文根据经济下行压力下中国上市银行2010年一季度至2013年一季度的经济金融数据,应用GMM面板估计法,考察了商业银行同业资产扩张对银行风险承担的影响。结果显示:同业资产扩张会显著地影响银行风险承担,且其影响程度与经济增长、社会融资结构以及银行市场结构密切相关;规模越大的银行,承担的风险越小;表征流动性的存贷比指标对银行风险承担行为的影响不显著;银行竞争程度越高,风险承担越低;社会融资结构的多样化也会降低银行风险承担。     

特许权价值与商业银行风险行为

特许权价值是商业银行风险行为的重要影响因素。本文以2008—2011年14家上市银行为样本,实证表明:特许权价值与商业银行风险行为显著负相关,说明商业银行为了保障特许权价值的长期持续性,会降低自身的风险承担。     

我国上市银行特许权价值风险自律效应的研究

银行特许权价值是银行作为一个特殊行业所赋予的一种获取未来租金收益的权力价值。本文在国内12家上市银行1997-2007年面板数据的基础上,采用税前利润法计算特许权价值,构建多元线性回归方程进行实证分析,结果发现现存的隐性存款保险削弱了特许权价值对商业银行的信用风险的约束作用,也就是说以政府的信用担保的全额保险,破坏了银行特许权价值对于银行信用风险的自律机制。     

我国上市银行特许权价值风险自律效应的研究

银行特许权价值是银行作为一个特殊行业所赋予的一种获取未来租金收益的权力价值。本文在国内12家上市银行1997-2007年面板数据的基础上,采用税前利润法计算特许权价值,构建多元线性回归方程进行实证分析,结果发现现存的隐性存款保险削弱了特许权价值对商业银行的信用风险的约束作用,也就是说以政府的信用担保的全额保险,破坏了银行特许权价值对于银行信用风险的自律机制。     

金融自由化、特许权价值与银行风险行为

随着银行业竞争的日益激烈,深入探讨金融自由化、特许权价值以及银行风险行为之间的关系显得愈来愈有必要.较多的国外文献已经证明三者之间存在着密切相关的联系.在面临全球化竞争时,通过研究三者的具体联系,更加清晰地认识特许权价值对于银行自身的风险约束作用,有效控制自身风险将会是我国银行业最基本的要求,更是非常关键的一步.     

数字技术驱动下商业银行数字化转型与特许权价值

随着金融自由化的逐步推进,商业银行特许权价值下降趋势明显,而在数字技术的赋能下,银行数字化转型为缓解特许权价值下滑提供了全新路径。本文基于2007-2021年中国商业银行的年度数据,实证考察数字化转型对银行特许权价值的影响效果及作用路径。研究发现,数字化转型可以显著促进银行特许权价值提升,降低风险承担是数字化影响银行价值的渠道机制。进一步分析表明,数字化转型对银行特许权价值的影响效应会由于银行管理水平、行业竞争程度及银行股权性质的不同产生差异化表现。     

中国商业银行特许权价值:1994-2003

商业银行特许权价值(FV)与银行的冒险动机密切相关,FV高的银行因珍惜其FV,避免破产并被吊销执照,会自动采取审慎的经营战略,反之,FV低的银行冒险动机强烈,发生银行失败的可能性更大。本文以改进的方法度量了1994—2003年中国14家商业银行的FV,并对此面板数据进行多元线性回归,分析其主要影响因素,进而提出了提高中国FV的对策建议,以强化中国商业银行稳健经营的动机,增强其竞争力。     

限额存款保险与中国银行业的市场约束

一般认为,限额存款保险制度让存款人的资产部分地暴露于风险之中,从而市场约束虽然比无保险状态下较弱但仍然有效,因此世界上实行存款保险制度的国家多采用限额保险。本文认为,中国银行业特殊的股权结构,以及长期以来政府对大银行的资金支持形成了存款人规模偏好和银行大而不倒(too big to fail)的预期;这一预期特征必将异化市场约束,进而导致银行陷入无序的规模竞争并激励其风险承担;如果单纯实施限额存款保险制度,非但不能修正中国商业银行市场约束的异化问题,而且将强化公众的大而不倒预期,使市场约束面临更严重的扭曲。     

Effects of Deposit Insurance Reform on Moral Hazard in US Banking

In cross sections of US banks before the deposit-insurance system was reformed in the early 1990s, bank risk-taking was positively associated with bank size and negatively associated with the value of bank charters and bank capital. These empirical associations have an easy theoretical interpretation. Bank size is positively related, while charter value and capital are negatively related, to the moral hazard associated with flat insurance premiums and other aspects of a laxly administered system. Hence the observed associations of risk-taking with size, charter value, and capital reflected the expected positive relation between moral hazard and risk-taking. We test the hypothesis that the three associations became weaker after reform. In the case of unsystematic risk, we find no evidence of significant changes for any of the three. In the case of systematic risk, we find that risk-taking associated with lower charter values and larger size is indeed significantly weaker after reform. Risk-taking associated with capital ratios is also weaker after reform, though not significantly so. Since systematic risk is undoubtedly the more appropriate measure, reform seems to have reduced moral hazard.     

股权结构对财险公司风险承担行为影响的实证研究

本文从理论层面上剖析了公司股权结构对风险承担的影响及具体作用机理,然后基于2002～2018年我国77家财险公司的非平衡面板数据构建联立方程模型,利用三阶段最小二乘法(3SLS)进行参数估计.研究发现,股权结构对我国财险公司的风险承担行为存在显著影响.具体而言,股权集中度对承保风险存在显著正向影响,表现出“侵占效应”;...     

An Analysis of Bank Charter Value and Its Risk-Constraining Incentives

Valuable bank charters have been hypothesized to provide bank managers self-regulatory incentives to constrain their risk taking. However, this paper presents evidence that charter value itself may derive from high-risk activities, indicating that minimizing risk taking also would limit the value of the charter. During economic expansions, bank charter values increase to reflect growth opportunities. In turn, high-charter-value banks gain easier access to equity capital sources for expansion. The result is a positive relationship between charter value and capital ratios during expansions. However, this relationship may invert during economic contractions. Panel regressions demonstrate that the charter value and bank leverage relationship is sensitive to market conditions.     

《社会保险法》的价值取向与制度反思

《社会保险法》是涵盖养老、医疗、失业、工伤、生育五大社保险种综合性的统一法律。支撑该法律制度的价值基础包括社会安全、社会连带、社会公平以及人权保障等。《社会保险法》构建了适度普惠型的社保体系,强化了用人单位缴纳保险费的义务,凸显了社会保险中的国家责任,加大了社会保险基金的监管力度。然而,在统筹层次、期待权保障与信赖利益保护、基金安全、社会保险给付争议的解决途径等制度构建方面,仍有进一步提升的空间。     

Risk-Taking Behavior and Capital Adequacy in a Mixed Banking System: New Evidence from Malaysia Using Dynamic OLS and Two-Step Dynamic System GMM Estimators

This study is the first attempt to investigate the relationship between the level of risky assets and capital level in a mixed Malaysian banking system covering 83 months starting December 2006. The results of dynamic ordinary least squares indicate positive relationship between capital ratio (CAR) and risk-weighted asset ratio (RWA) in the long run. Furthermore, the causality analysis based on panel vector error correction model (VECM) and two-step dynamic system generalized method of moments indicates unidirectional causality from CAR to RWA. Our results further suggest that higher capital growth and capital buffer provide an extra cushion for the Malaysian banks to pursue relatively riskier financial activities, and the nature of risk-taking behavior of Islamic banks follows that of the conventional banks.     

Deposit Insurance, Capital Adequacy Requirements and Interest Rate Dynamics

This paper examines the long run interaction among deposit insurance, bank deposit rates and capital adequacy requirements. Using analysis similar to the price discrimination model of Lott and Roberts (1991) we find that a competitive environment among banks would link the spread between insured and uninsured deposit rates to the size of the insurance premium. We also find that banks that choose to operate at the regulatory minimum capital level, would increase asset risk with increased capital requirements if (1) the implicit interest paid to insured and uninsured depositors is equally sensitive to changes in risk and capital adequacy and (2) the insurance premium is independent of the level of risk and capital adequacy. Under the present risk-based premium structure, asset risk has the potential to decline when the regulatory agency raises capital requirements. Finally, we examine the time series behavior of insured and uninsured interest rates to see if it is consistent with our theoretical model. We find that insured and uninsured rates, along with deposit insurance premiums, are cointegrated series as suggested by our model.     

Deposit Insurance, Capital Regulations, and Financial Contagion in Multinational Banks

Abstract:  Banking sector globalization has caused an expansion in foreign-owned bank assets. In this paper we analyse the effects of a MNB's liability structure upon its investment in a foreign country. We develop a model in which capital adequacy requirements introduce some deliberate underinvestment which counters deposit insurance-induced overinvestment. Diversification is unattractive with fixed bank capital requirements, because it reduces the expected value of the deposit insurance net. This effect applies in multinational banks (MNBs), where shocks to the home country economy alter the value of the deposit insurance net and hence affect overseas lending incentives. Thus, MNBs act as a channel for financial contagion. We discuss the policy implications of our results.     

中国银行业的增量改革：原因、前景及其对策

银行作为一种经营一般等价物的特殊企业,既有追求利润最大化的一般要求,同时又肩负促进经济增长、维护社会金融秩序稳定的责任.随着我国经济发展和对外开放的不断深入,银行业正经历着一场深刻的制度变迁.其中,除了国有商业银行产权改革,最重要的是一大批新兴股份制商业银行的蓬勃兴起.这些新兴的银行"增量"在促进经济增长的同时,也促进了银行业制度存量的改革,具有深远的意义.