负利率对银行净息差影响机制研究——基于欧洲主要上市银行的经验证据

净息差是反映银行经营效率的重要指标,负利率政策的实施对银行业净息差产生了显著的负面影响。基于2004—2017年欧洲负利率地区102家主要上市银行的年度非平衡面板数据,本文对负利率环境下银行净息差的调整机制进行了深入研究。研究结果表明:(1)政策利率降低(提高)会带动银行净息差下降(上升);(2)负利率环境下,银行净息差对政策利率调整,尤其是利率下调的敏感性明显增强;(3)不同特质性银行净息差对政策利率调整的敏感性存在明显差异,规模较大、国际化程度较高银行的净息差对政策利率变动的敏感性较低,以利息收入、零售业务为主银行的净息差对政策利率变动较为敏感。本文的研究丰富了负利率政策传导机制及影响领域的相关成果,探讨了负利率环境下不同特质性银行行为调整差异,为商业银行做好负利率环境下的息差管理提供了客观依据。

Impacts of Negative Interest Rate Policies on Banks' Net Interest Margin:Evidence from Major European Listed Banks

By the end of 2017, nine countries and zones, whose combined GDP was more than 30% of the world total, had adopted a negative interest rate policy (NIRP). These countries and zones have a common feature: their financial sectors are all bank-dominated, with bank revenues heavily relying on net interest income (NII). Since the implementation of NIRP, the banks' net interest margins (NIMs) have dropped significantly. European banks' share of NII has decreased by 5%, and their NIMs have decreased by 10 basis points. The NII of Japan's banking sector has decreased by 9%, and its NIM has dropped by 0.1%.
Bank behaviors under different monetary stances are subject to heated debate. Since the wide implementation of NIRP, much attention has been drawn to its transmission mechanism. However, due to a lack of data, very few academic studies have examined the effects of NIRP on banks' NIMs. Practically, there has recently been significant progress in Chinese banks' international banking activities. It has been difficult for Chinese banks to maintain a stable performance in NIRP zones. This study examines banks' NIM-adjusting behaviors under NIRP, especially the different behaviors of banks with specific features. It enriches the theoretical understanding of the transmission mechanism of NIRP and its micro-impacts on banks. In addition, it provides solid references for banks' NIM management under an NIRP environment.
Building on Busch and Memmel (2017), this study develops a model to explain how banks' NIMs respond to adjustments in policy rates. Due to mismatches between maturity of assets and liabilities, banks' NIMs tend to show a positive co-movement with policy rates. Under NIRP, the positive relation is greatly strengthened due to a flatter yield curve and the price sticky feature of retail deposits. This study also explains why, under NIRP conditions, banks with larger sizes and higher levels of internationalization are less responsive to policy changes, whereas banks with higher shares of retail business and banks that are more reliant on NII are more responsive. Following our theoretical analysis, we carry out an empirical study to test our hypothesis. The empirical study is based on annual unbalanced panel data of major listed European banks and uses a dynamic panel model and one-step system generalized moments method (GMM) estimation. The dataset includes 102 listed commercial banks from 18 European countries. Given the substantial changes in accounting standards after the wide implementation of IFRS 9 (on January 1, 2018), this study focuses on the 2004 to 2017 period. All of the sample banks are headquartered in NIRP areas. By the end of 2017, the total assets of the sample banks made up more than 70% of the total banking assets in these 18 European countries. All of the bank-level data are drawn from the SNL database. The macro-level data such as policy interest rates are obtained from corresponding central bank websites.
The results show that an increase (decrease) in policy rate leads to an increase (decrease) in banks' NIMs. Under NIRP, the above-mentioned sensitivity is significantly enhanced, especially when interest rates decrease. Banks with different specific features response differently to changes in policy rates. Specifically, larger banks and banks with higher levels of internationalization are less affected by adjustments in policy rates, whereas banks with higher percentages of retail business and interest income are more likely to be affected by changes in policy interest rate.
To address the adverse impacts of NIRP, European and Japanese banks are trying to increase non-bank and non-interest income to compensate for the loss caused by decreased NIMs. They are also reducing assets in NIRP areas by expanding overseas businesses, enhancing cost management by cutting staff and streamlining physical outlets, encouraging digital and scientific transformations to improve efficiency, and conducting mergers and acquisitions to improve competitiveness.
Chinese bank branches operating in NIRP areas have limited access to non-interest income due to regulatory limitations. Their main strategy is to refine their portfolio allocations, which includes increasing inter-bank and bond financing in NIPR areas on the liability side, which allows them to enjoy the low cost of financing and increase the sensitivity of liability cost to the policy rate. On the asset side, they can enhance cooperation with branches outside NIRP areas to increase the proportion of loans outside these areas. They could also flexibly adjust the pricing and re-pricing strategies on both sides by absorbing fixed rate, long-term liabilities and extending floating rate assets with short re-pricing periods.