存贷款季末“冲时点”：成因、途径与对策

在存款增速趋缓、贷款需求不足的背景下,“季末冲高”现象呈现出新特点。存贷款季末“冲时点”主要由经济波动、考核机制、贷款规模管理、银行报表修饰以及市场竞争压力等因素推动;它主要通过高息获取存款、存贷挂钩、运作理财产品、增加保证金存款以及季末突击放贷等途径实现;“冲时点”对银行经营管理、企业财务成本、货币政策研判、金融监管要求等有较大影响,需采取措施减少或避免“冲时点”现象,以促进银行业务合规稳健发展。     

Determinants of bank interest margins: Impact of maturity transformation

This paper explores the extent to which interest risk exposure is priced into bank margins. Our contribution to the literature is twofold: First, we extend the Ho and Saunders (1981) model to capture interest rate risk and expected returns from maturity transformation. Banks price interest risk according to their individual exposure separately in loan and deposit intermediation fees, but reduce (increase) these charges for loans (deposits) when positive excess holding period returns from long-term exposures are expected. Second, we test the model-derived hypotheses not only for the commonly investigated net interest margin but also for interest income and expense margins separately in a sample encompassing the German universal banking sector between 2000 and 2009. Our results suggest that banks price their individual interest rate risk and corresponding expected excess holding period returns via the asset side into the net interest margin. For liabilities, we find that interest rate risk exposure is only priced in by smaller, local banks.     

Managing the risk of loan prepayments and the optimal structure of short term lending rates

Loan pricing is an extremely important aspect of bank operations because loans are typically over two-thirds of bank assets. Many researchers have analyzed the theoretical and empirical impact of how different factors should and do affect fixed rate loan rates and loan prepayments. However, a theoretical decision making model for maximizing expected profit in a declining rate environment has not been developed. After describing the conditions for the optimal loan rate, we develop numerical solutions for it under varying conditions. The varying conditions include the trend in interest rates, volatility of interest rates, and loan maturity. We thank Yen Low and Hamed Bagherpour for their assistance.     

A factor analysis approach to measuring European loan and bond market integration

By using an existing and a new convergence measure, this paper assesses whether bank loan and bond interest rates are converging for the non-financial corporate sector across the euro area. Whilst we find evidence for complete bond market integration, the market for bank loans remains segmented, albeit to various degrees depending on the type and size of the loan. Factor analysis reveals that rates on large loans and small loans with long rate fixation periods have weakly converged in the sense that, up to a fixed effect, their evolution is driven by common factors only. In contrast, the price evolution of small loans with short rate fixation periods is still affected by country-specific dynamic factors. There are few signs that bank loan rates are becoming more uniform with time.     

Using Loan Rates to Measure and Regulate Bank Risk: Findings and an Immodest Proposal

There is strong evidence that the interest rates charged by banks on the flow of newly extended Commercial & Industrial (C&I) loans predict future loan performance and CAMEL rating downgrades by bank supervisors. While internal risk ratings have little explanatory power for future loan performance, they do help predict future CAMEL downgrades. These findings suggest that supervisors might consider using interest rates in the off-site surveillance of banks. At the same time, we propose that reformers consider basing capital requirements and deposit insurance premia on loan interest rates instead of (or in addition to) internal risk ratings and models.     

Banks' option to lend,interest rate sensitivity,and credit availability

Interest rate risk is a major concern for banks because of the nominal nature of their assets and the asset-liability maturity mismatch. This paper proposes a new way to derive a bank's interest rate sensitivity, by examining separately the effects of interest rate changes on existing loans(loans-in-place) and potential loans (loans-in-process). A potential loan is shown to be equivalent to an American option to lend, and is valued using option theory. An increase in interest rates generally has a negative effect on existing loans. However, if both deposit and lending rates rise by the same amount, the value of a potential loan generally increases. Hence a bank's lending slack (or ratio of loans-in-process to loans-in-place) will determine its overall interest rate risk. Empirical evidence indicates that low-slack banks indeed have significantly more interest rate risk than high-slack banks. The model also makes predictions regarding the effect of deposit and lending rate parameters on bank credit availability. Empirical tests with quarterly data are generally supportive of these predictions. This revised version was published online in June 2006 with corrections to the Cover Date.     

Auditor size, tenure, and bank loan pricing

Using a large sample of U.S. bank loan data from 1996 to 2008, we investigate the relation between two auditor characteristics, namely, auditor size and tenure, and loan interest rates. Our results show the following: First, we find that the loan interest rate is significantly lower for borrowers with prestigious Big 4 auditors than for borrowers with non-Big 4 auditors. Second, we find that auditor tenure is negatively associated with the loan interest rate, suggesting that a long client–auditor relationship lowers the loan borrowing cost. Third, we find that the negative association between auditor size and loan rate is more pronounced for transaction-based term loans than for relationship-based revolving loans. Fourth, our sub-period tests show that our results are driven by the post-Sarbanes–Oxley Act period. Our study provides direct evidence that auditor size and tenure are incremental credit risk-reducing factors in the bank loan market.     

关于我国利率和利率传导关系的思考

当前我国银行体系利率大致可分为货币市场利率和信贷市场利率,其中由央行指定的利率主要有存贷款基准利率、再贴现率等。在货币市场上,隔夜同业拆借利率具有基准利率的地位。在信贷市场上,在特定时期,保持适当的存贷款利差具有积极意义。由于一些阻碍信贷市场与货币市场统一的制度安排的存在,这两个市场间的利率传导呈现出一定的不对称性。为推进利率市场化,进一步完善我国利率体系,下一步应逐步弥合市场分割,加强货币市场基准利率建设,培育商业银行利率定价能力。     

Bank Competition with Financing and Savings Substitutes

This paper models the banking competition in loan and deposit markets on two levels. We measure the competition among different banks and among banks and non-bank financing and saving alternatives. We estimate a model of demand, cost, and market equilibrium equations for differentiated products by using data from the confidential reports that Spanish banks provide to the Bank of Spain during the period from 1988 to 2003. This database contains information on the effective interest rates on new loans and deposits, and the expected loan losses obtained from the Spanish Credit Register. The estimated price elasticities show that the products offered by different banks are close substitutes, which puts pressure on the banks’ profits margins. However, the substitutability between bank and non-bank products is much lower than the substitutability among products offered by different banks. The results also show that Spain’s entrance into the Eurozone did not cause a structural change in the demand and cost conditions of Spanish banks. The banks financed most of the imbalances between bank loans and domestic deposits before the crisis through the interbank market.     

Deposit interest rates, asset risk and bank failure in Croatia

Financial deregulation, while beneficial in the long-term, seems to be linked to instability. Intense competition for deposits appears to be an ingredient in instability. We examine the aftermath of deregulation in Croatia, which included rapid growth of both deposits and deposit interest rates, followed by numerous bank failures.

Using panel regression techniques, we find evidence of “market-stealing” via high deposit interest rates. We connect high deposit interest rates to bank failure using logit models. High deposit interest rates were a reliable signal of risk-taking. When supervisory capabilities and powers are weak, deposit interest rate regulation may be worth considering.     

Interbank competition and information production: Evidence from the interest rate difference

In this paper, using firm-level cross-sectional data in the US, we report that interest rates on loans extended by inside banks are significantly lower than those on loans extended by outside banks for younger firms in concentrated loan markets, while such loan rate differences are not clearly observed in competitive loan markets. The analytical model presented in this paper predicts that an inside bank is more likely to quote rates lower than those of outside banks to capture a customer in order to gain time to establish exclusive access to the customer’s private information, counting on the consequent future rent from informational advantages over rival banks, if the inside bank intends to acquire private information about the borrower’s creditworthiness. In light of this prediction, we conclude that the above empirical finding is consistent with the hypothesis that increased competition discourages banks from collecting borrower-specific private information.     

存贷款利差结构变化对利率市场化改革的启示

本文从商业银行存贷款实际利差结构变化的角度出发,分析影响实际利差变动的主要因素,并据此评估利率市场化对商业银行经营带来的冲击。分析认为,商业银行可能采取非理性价格竞争手段扩大市场份额,并通过增加信贷规模方式来应对利率市场化导致的利差收窄。对此,中央银行应尽快建立存款保险制度,并加强通过间接手段来影响市场利率的能力。     

Financing bank stock ownership: A question of conflict of interest

The bank stock loan conflict of interest question arises when compensating balances are intermingled with a bank's correspondent balances for the benefit of those bank stockholders seeking a bank stock loan. This study attempts to determine if this practice exists usign two-stage least square regression analysis and cross-sectional data obtained from one-bank holding company applications in the Tenth Federal Reserve District. Our results suggest that bankers with established correspondent banking relationships capitalize on their correspondent balances to obtain favorable interest rates on bank stock loans.     

Why do bank-dependent firms bear interest-rate risk?

I document that floating-rate loans from banks, particularly important for bank-dependent firms, drive most variation in firms’ exposure to interest rates. I argue that banks prefer to supply floating-rate loans, due to their finite ability to transform short-duration deposit liabilities into long duration assets. Three key findings support this argument: banks with more floating-rate liabilities make more floating-rate loans, hold more floating-rate securities, and quote lower prices for floating-rate loans. Intermediary funding structures therefore help determine what types of contracts non-financial firms use. Banks transmit rising policy rates to firms by contractually raising interest rates on existing loans, not just by reducing the supply of new loans.     

年报风险信息披露与银行贷款利率

既有文献较少从银行视角关注年报风险信息披露的经济后果。银行更有能力解读年度风险信息,银行利益也更直接受到年报风险信息的影响,银行贷款利率更能体现年报风险信息披露的经济后果。本文基于2008-2017年单笔银行贷款利率数据的研究发现:总体上我国年报风险信息披露降低了银行贷款利率,说明我国年报风险信息披露更符合趋同观假说。中介效应检验发现:我国年报风险信息披露通过提高信息透明度,降低银行风险感知水平进而降低了银行贷款利率,即信息质量和风险是我国年报风险信息披露影响银行贷款利率的不完全中介。进一步分析发现:我国年报风险信息披露与银行贷款利率的负相关关系主要体现在货币政策紧缩组、非国有企业组以及公司治理水平较高组。本文首次研究银行贷款利率与年报风险信息披露的关系,有助于丰富风险信息披露文献和银行贷款文献。     

Deposit competition and loan markets

Less-intense competition for deposits, by mitigating banks’ incentive to take excessive risks, is traditionally believed to lead to lower non-performing loan (NPL) ratios and more-stable banks. This paper revisits this proposition in a model with borrower moral hazard in which banks’ NPL ratios depend endogenously on their loan pricing. In relatively uncompetitive loan markets, less-fierce competition for deposits (i.e., lower deposit rates) leads to lower loan rates and, thus, safer loans. In more-competitive markets, the opposite can occur: As banks’ deposit-repayment burdens decline, they become less eager to risk-shift; this softens competition for risky loans, leading to higher loan rates and, ultimately, riskier loans. Overall, the model predicts a hump-shaped relationship between banks’ pricing power in deposit markets and their NPL ratios.     

Bank spread with uncertain deposit level and risk aversion

This paper derives a model of the banking firm under uncertainty and risk aversion. The selection of the bank's optimal spread between loan and deposit rates is emphasized. The model's results provide some implications for bank asset quality, capital regulation and deposit insurance. For example, it is shown that increases in the level of equity capital tend to increase the bank's spread under DARA. This implies an improvement in bank asset quality. On the other hand, as the deposit supply function becomes more volatile, the bank's spread narrows, which implies a decline in the quality of the bank's assets.     

The Value of Deposit Insurance in the Presence of Interest Rate and Credit Risk

In this paper we employ the theory of the term structure of interest rates and the pricing of interest contingent contracts to determine the fair value of insurance for depository institutions. The balance sheet of a bank is taken to consist of long and short positions in various fixed income securities. Deposit insurance for the bank is a put option on the value of the assets. The value of deposits, assets, the implied exercise price of the put and the value of the put are all determined simultaneously as part of the same valuation solution. The approach is developed initially for a single‐state term structure. It is extended to incorporate credit risk on bank assets.
The most important policy implication is that for a bank whose assets are longer term than its liabilities and whose borrowers are not excessively leveraged the properly calculated, risk‐adjusted deposit insurance premia are increasing functions of the level of interest rates. Sensitivity analyses also treat such factors as the bank's deposit to asset ratio, duration gap, interest volatility, the volatility of assets backing the bank loans, and the bank's borrowers' debt to equity ratio.     

Does bank lending affect output? Evidence from the U.S. states

This paper uses a panel of state-level data to test whether changes in bank loan supply affect output. Since the U.S. states are small open economies with fixed exchange rates, state-specific shocks to money demand are automatically accommodated, leading to changes in lending if banks rely on deposits as a source of funding. Using these shocks as an instrumental variable, I find that shocks to money demand have large and statistically significant effects on the supply of bank loans, but loans have small, often negative and statistically insignificant effects on output.     

企业发债和贷款期限的差异化:基于增量法的实证研究

已有文献主要从资产负债表法来实证研究企业负债期限结构的影响因素,本文以我国企业在1998～2008年企业发行的各类债券和银行贷款为研究对象,运用增量法从企业财务特征和债务契约属性等方面对企业增量债务期限的影响因素进行实证研究,采用了GMM计量方法,并通过对比分析筛选出了影响企业发债和贷款期限差异化的关键因素。研究表明:企业规模越大,利润率越高,具备担保,信用评级和授信比率越高,其债务期限越长。企业若选择发债,债务期限会延长,而选择银行贷款则企业债务期限会缩短。