同步性、隐性保险与商业银行市场约束——来自中国上市商业银行的经验证据

本文采用Demirgüc-Kunt&Huizinga(2004)的研究模型,验证了在中国上市商业银行中是否存在市场约束效应以及同步性和隐性保险对市场约束的影响。研究发现了中国上市商业银行存在市场约束的证据,表现为银行风险增加时,存款增长率降低,说明风险越大的银行越难吸收到存款;而且银行股价的同步性越低这一相关关系的敏感度越高,说明银行向市场披露的自身信息越多,市场约束的效果越明显;而政府的支持则会降低存款增长率与风险关系的敏感度,证明了隐性保险的存在会减弱存款人风险监督的激励。

Synchronicity,Implicit Guarantee and Market Discipline: Empirical Evidence Based on Listed Commercial Banks in China

Using the model of Demirgüc-Kunt & Huizinga(2004),we test the existence of market discipline among listed banks in China,and the influence of synchronicity and implicit guarantee on market discipline.Evidence of market discipline is found in our study in that the higher the risk a bank exposed,the lower the growth rate of its deposit,which means that depositors will extract deposit when bank risk rises.We further find that synchronicity dampens the sensitivity of deposit to risk,meaning that the less a bank's information disclosed into market,the less sensitive market discipline will be.At last,we find that government support weakens the sensitivity of deposit to risk,meaning that the implicit guarantee of government undermines the monitor incentives of depositors.