董事会治理对银行稳健性的影响

董事会作为银行治理的重要组成部分,其有效运行与否直接影响着银行的效率和风险状况.本文首先依据IMF编制的金融稳健指标体系和中国人民银行提出的宏观审慎监管指标,构建了中国银行稳健性指标体系的核心指标组;然后将反映董事会特征的多个变量合成了董事会组织结构和董事会运作效率两个变量,对董事会治理效率采取了一种新的方式进行刻画;并以M2/ GDP、信贷增长率作为控制变量构建了PVAR模型进行中国银行董事会治理对银行稳健性的影响及冲击研究.结果显示,董事会组织结构和运作效率对银行稳健性的影响均是显著的.通过脉冲响应分析和方差分解发现,银行董事会组织结构会对银行稳健性在第一期产生较小的正向促进作用,但影响不具有长期性;银行董事会运作效率的变动对银行稳健性当期和未来产生正向促进作用,相对而言,影响具有长期性.     

外资战略投资对中国银行体系稳定性的影响——基于面板模型及改进的Z-Score法的实证分析

综合考量样本特征及研究目的,选取Panel Data模型,量化分析2009—2018年近十年间外资战略投资对我国银行体系稳定性的总体影响,并区分样本金融机构性质,细化研究外资战略投资对大型国有商业银行、股份制商业银行和城市商业银行三种类型的异质性影响。在衡量银行体系稳定性时,对Z-score法进行了改进,将风险因素纳入测度过程中。研究发现:(1)外资对银行体系稳定性影响总体利大于弊,且外资参股份额变动对城市商业银行的影响更为显著,股份制商业银行与国有大型商业银行影响依次递减;(2)国内生产总值增长有利于被参股银行的稳定性,银行业集中度、利率波动和汇率波动对银行体系的稳定性形成负向影响;(3)从影响程度来说,被参股的城市商业银行稳定性对国内生产总值增长率、银行业集中度和利率波动水平等变量变动相对更为敏感,股份制银行次之,国有商业银行最低,而对汇率波动水平变动的敏感度刚好相反。     

出口波动与GDP增长稳定性的实证研究

出口是长期以来中国经济增长的重要途径之一。实证分析发现,中国出口波动和GDP增长稳定性存在着长期的均衡关系,两者之间只存在单向Granger因果关系。根据脉冲响应函数和方差分解,GDP波动的45%可以由我国出口波动来解释,我国出口的外部冲击势必影响GDP,所以我国经济的发展模式不具有高效率和可持续性。我国应该在重视出口的基础上,运用好"第二双手",建立稳定市场结构,拉动内需。     

教育人力资本与区域经济增长的关系研究

目前国内关于人力资本对经济增长作用机制的研究,很少考虑空间依赖性引起的区域间的相互影响。文章引入空间变量,利用卢卡斯内生经济增长函数,构建空间面板回归模型,对1990-2006年我国30个省市自治区教育人力资本与区域经济增长之间可能存在的空间关系进行了实证研究,验证了空间依赖性的存在,证实了教育人力资本对区域经济增长具有推动作用,且空间面板回归模型较传统面板回归模型更好地诠释了教育人力资本与区域经济增长之间的关系。     

我国房价波动对货币政策有效性的影响研究——基于面板VAR模型的实证分析

文章采用2000年~2010年的31个省级面板数据,建立面板VAR模型,从价格效应和产出效应两个维度,实证研究房价波动对我国货币政策有效性的影响。结果表明,货币政策的价格效应显著且有约1年半时滞,而产出效应不显著;房价波动对货币供给量影响不显著;无论是短期还是长期内,房价波动对通货膨胀和经济增长均无显著影响。因此,我国央行不仅要充分考虑货币政策传导的滞后性,提高货币政策的前瞻性;同时要将房价、房价投资及销售等房地产市场数据纳入调控货币供给量的参照指标中。     

影子银行对不同类型商业银行经营稳定性的影响

本文首先对我国影子银行体系规模进行估算,然后构建我国商业银行稳健性指数,测度了我国16家上市商业银行的稳健性水平。在此基础上建立二次函数模型分别对影子银行规模与国有商业银行、股份制银行和城商行的稳健性之间的关系进行实证分析。结果发现,影子银行规模与国有商业银行和股份制银行的稳定性指数呈显著的U型关系,而与城商行的这一关系则不显著。从2012年开始,影子银行规模已经超出银行稳定性拐点,为此需要对影子银行采取适度监管政策,构建影子银行官方数据库,重构影子银行风险导向政府审计风险模型以及加强对商业银行表外业务的审计。     

财产性收入差距、市场化程度与经济增长的关系——基于城乡间的比较分析

缩小城乡财产性收入差距,是影响我国未来经济增长的一个重要因素。本文运用面板协整模型和面板误差修正模型发现:经济增长会抑制各地区的城乡财产性收入差距,市场化程度提高会加剧城乡财产性收入差距。但如果考虑市场化进程对经济增长的影响,则市场化程度的提高会抑制城乡财产性收入差距的扩大;经济增长和市场化初期会导致城乡居民财产性收入差距扩大,但只要经济增长和市场化进程持续,最终城乡居民财产性收入差距会缩小。     

生产性服务业集聚的空间效应研究———基于空间面板数据模型

通过选择中国３１个省、自治区和直辖市的生产性服务业的数据,通过估算莫兰指数Ｉ,进而构建空间面板数据模型,研究生产性服务业在省域空间内的集聚度和生产性服务业内各行业对经济增长的贡献。研究结果显示,生产性服务业各项变量存在着明显的空间集聚效应,在空间方面显示出了一定的经济资源竞争关系。在对经济增长的贡献方面,批发零售、交通运输、仓储与邮政业对经济增长的拉动作用最为明显,而金融业受危机影响作用略为减弱,房地产业则作用最小。     

中国生产性服务业集聚的空间效应研究——基于空间面板数据模型

通过选择中国31个省、自治区和直辖市的生产性服务业的数据,通过估算莫兰指数I,进而构建空间面板数据模型,研究生产性服务业在省域空间内的集聚度和生产性服务业内各行业对经济增长的贡献。研究结果显示,生产性服务业各项变量存在着明显的空间集聚效应,在空间方面显示出了一定的经济资源竞争关系。在对经济增长的贡献方面,批发零售、交通运输、仓储与邮政业对经济增长的拉动作用最为明显,而金融业受危机影响作用略为减弱,房地产业则作用最小。     

政策优惠、经济环境影响FDI的动态效应与区域差异——兼论我国内外资企业所得税并轨

本文构建了政策优惠指数,利用我国省际面板数据,考察了政策优惠、经济环境等因素吸引FDI的动态效应和地区差异。结果表明政策优惠对FDI的影响显著,但相对经济规模、市场经济程度等经济环境因素,其影响作用较低且不断减弱,这种影响效应存在动态时滞性和区域差异性。本文还从内资企业的国际竞争力、区域经济增长、国际收支和人民币升值压力四个角度论述了政策优惠的"负效应",说明了我国两税改革的必要性和时效性。     

The impact of bank competition and concentration on bank risk-taking behavior and stability: Evidence from GCC countries

This paper presents a comprehensive assessment of the impact of competition on bank fragility pre and post financial crisis period in the GCC banking market as measured by bank risk-taking behavior and bank stability during the period 1998–2016. Our results indicate that a higher level of bank competition and the greater degree of concentration adds to financial fragility. The findings further shows that during the 2008 crisis, lower bank competition maintain the stability of GCC banks. We also find that lower level of competition and lower concentration in the banking market increases the risk-taking behavior of the low capitalized, low liquid and small banks which add to fragility in the banking system. Our findings suggest that countries with greater capital stringency, greater supervisory power, greater market discipline, and private monitoring, with explicit deposit insurance schemes, higher shareholder protection, and higher legal efficiency decrease banks’ risk-taking and increase their stability. We also find that greater regulatory restrictions and higher creditor protection decrease banks’ stability and increase risk in concerned countries. We find support for both competition-fragility and competition-stability hypotheses in the GCC banking market. The results also confirm that the use of a single measure of competition is insufficient to assess the role of competition in banking stability.     

Are universal banks bad for financial stability? Germany during the world financial crisis

This case study explores the contribution of universal banking to financial stability in Germany during the recent financial crisis. Germany is a prototype for universal banking and has suffered from a rather small number of banking crises in the past. We review the banking literature and analyze the major institutional and regulatory features of the German financial system to establish a nexus between universal banking and stability. We focus on the following questions. First, which banks failed and did they because they were universal or because of other reasons? Second, which types of distress beside outright bank failures resulted from the crisis and how did German universal banks dealt with them? We show that only few German banks failed and these banks did so not because they were universal banks but because they were publicly owned. Most banks instead contributed to reduce the impact of the recent crisis.     

Contagion risk in the Czech financial system: A network analysis and simulation approach

This paper examines the potential for contagion within the Czech banking system via the channel of interbank exposures of domestic banks, enriched by a liquidity channel and an asset price channel, over the period March 2007 to June 2012. A computational model is used to assess the resilience of the Czech banking system to interbank contagion, taking into account the size and structure of interbank exposures as well as balance sheet and regulatory characteristics of individual banks in the network. The simulation results suggest that the potential for contagion due to credit losses on interbank exposures was rather limited. Even after the introduction of a liquidity condition into the simulations, the average contagion was below 3.8% of the remaining banking sector assets, with the exception of the period from December 2007 to September 2008. Activation of the asset price channel further increases the losses due to interbank contagion, showing that the liquidity of government bonds would be essential for the stability of Czech banks in stress situations. Finally, the simulation results for both idiosyncratic and multiple bank failure shocks suggest that the potential for contagion in the Czech banking system has decreased since the onset of the global financial crisis.     

Structural changes,competition and bank stability in Malaysia’s dual banking system

This paper assesses Malaysia’s competition landscape and its risk implications subsequent to conventional banking consolidation and Islamic banking penetration in the aftermath of the 1997/1998 Asian financial crisis. Employing a panel sample of conventional and Islamic commercial banks, it arrives at the following conclusions. First, the consolidation exercise, which has led to a significant reduction in the number of domestic commercial banks, has not stifled banking competition. Second, the paper provides empirical support for the competition-stability relationship, particularly for the conventional banking sector. Islamic banking sector risk appears to be neutral to market competition or market power, although there is limited evidence that it increases with overall market concentration. Finally, the analysis uncovers the risk-increasing effect of the Islamic banking market structure on the conventional banking sector. By contrast, conventional banking market concentration tends to reduce the credit risk of Islamic banks.     

What drives credit risk in the Indian banking industry? An empirical investigation

Using a two-step system GMM approach on a unique bank-level dataset for the period 1998/99–2013/14, this paper tries to explore the key determinants of credit risk in the Indian banking industry. The main premise of this paper is that, along with regulatory and institutional factors, both macroeconomic and bank-specific variables influence the formation of credit risk in a banking system, and their influences vary across ownership groups. The empirical findings suggest that lower profitability, more diversification in the banking business, the large size of banks and a higher concentration of banks in lending increase the probability of defaults in India. We find a significant degree of persistence in credit risk, and the observed persistence is higher in the gross non-performing loans (NPLs) specification relative to what has been observed in the net NPLs specification. In the case of public sector banks, NPLs are more sensitive to internal bank-specific factors, while for private and foreign banks, macroeconomic and industry-related factors play a significant role in determining credit risk. Our results are robust for different panel data estimation models and sub-samples of ownership groups. The findings of this paper provide important insights into the formation of default risk in the banking system of an emerging market economy.     

Does the bank risk concentration freeze the interbank system?

Probably, one test of the stability of the banking system is to evaluate how risky assets are distributed across banks’ portfolios and the implications for the contagion via interbank relations. This paper explores theoretically a bank sector with risks concentration and the functioning of interbank markets. It employs a simple model where banks are exposed to both credit and liquidity risk that suddenly correlate over the business cycle. We show that risk concentration makes interbank market breakdowns more likely and welfare monotonically decreases in risk concentration.     

Efficiency in Islamic and conventional banking: an international comparison

The paper investigates the efficiency of a sample of Islamic and conventional banks in 10 countries that operate Islamic banking for the period 1996–2002, using an output distance function approach. We obtain measures of efficiency after allowing for environmental influences such as country macroeconomic conditions, accessibility of banking services and bank type. While these factors are assumed to directly influence the shape of the technology, we assume that country dummies and bank size directly influence technical inefficiency. The parameter estimates highlight that during the sample period, Islamic banking appears to be associated with higher input usage. Furthermore, by allowing for bank size and international differences in the underlying inefficiency distributions, we are also able to demonstrate statistically significant differences in inefficiency related to these factors even after controlling for specific environmental characteristics and Islamic banking. Thus, for example, our results suggest that Sudan and Yemen have relatively higher inefficiency while Bahrain and Bangladesh have lower estimated inefficiency. Except for Sudan, where banks exhibits relatively strong returns to scale, most sample banks exhibit very slight returns to scale, although Islamic banks are found to have moderately higher returns to scale than conventional banks. While this suggests that Islamic banks may benefit from increased scale, we would emphasize that our results suggest that identifying and overcoming the factors that cause Islamic banks to have relatively low potential outputs for given input usage levels will be the key challenge for Islamic banking in the coming decades.     

“网银”对我国商业银行发展的作用

"网银"是电子银行业务的重要代表,它是商业银行为适应互联网时代客户不断提高的要求而产生的新型金融服务方式。发展网银已经成为商业银行应对金融全球化扩展的必要手段,本文客观分析网银在我国银行业发展中的重要作用。     

Deposit structure,market discipline,and ownership type: Evidence from Indonesia

In this paper, we extend the literature on the discipline imposed by depositors on banks by disentangling the impact of macro risk and micro risk. We also take advantage of a unique dataset in which depositors are split into different categories of deposit size in different types of banks (bank ownership structure). We consider the Banking Stability Index, which is used by the Indonesia Deposit Insurance Corporation as a dashboard to monitor banking stability at the country level as well as individual stability measures such as the Z-score. Using monthly data from 2005 to 2013, our findings show that both macro and micro levels of risk are considered by depositors to discipline banks. Large uninsured depositors are more effective at disciplining banks, highlighting the credibility of the insurance system that is in place. Bank ownership type also matters in explaining the difference in market discipline by depositors.     

Investor protection,regulation and bank risk-taking behavior

This paper examines whether the influence of investor protection on banks’ risk is channeled through banking regulation, and vice-versa, using panel data from a sample of 567 European and US banks for the 2004–2015 period. As banking regulatory factors, we consider capital stringency, activity restrictions and private monitoring, whereas as investor protection factors, we consider the level of shareholder and creditor protection. We find that banking regulation moderates the positive direct influence of investor protection on banks’ risk, while investor protection reinforces the negative direct influence of banking regulation on risk. Moreover, we show that the negative effect of national regulations on banks’ risk is more pronounced during systemic crisis years. Finally, taking into account market competition, we argue that private monitoring only has a direct effect on banks’ risk, whereas the effects of capital stringency and activity restriction are channeled through market competition.