裴輝儒,趙婧.利率市場(chang)化與商業di)邢低(di)承苑feng)險——基于結構(gou)異質性視角的(de)實di)?fen)析[J].南京審計學院學報(bao),2021,(2):
利率市場(chang)化與商業di)邢低(di)承苑feng)險——基于結構(gou)異質性視角的(de)實di)?fen)析
  
DOI︰
中文關(guan)鍵詞(ci):  利率市場(chang)化  商業di)邢低(di)承苑feng)險  動(dong)態面板(ban)模型  結構(gou)異質性  利率風(feng)險  流動(dong)性風(feng)險  信用風(feng)險
英文關(guan)鍵詞(ci):interest rate liberalization  systematic risk of commercial banks  dynamic panel model  structural heterogeneity  interest rate risk  liquidity risk  credit risk
基金項目:國家自然科學基金項目(71704099);教育部(bu)人文社會科學項目(20YJA790040)
作者單(dan)位
裴輝儒,趙婧 陝西師範(fan)dong)da)學 國際商學院陝西 西安(an) 710119 
摘要點(dian)擊次(ci)數: 143
全文下載次(ci)數: 160
中文摘要:
      基于2009年第(di)1季度(du)至2020年第(di)1季度(du)我國14家上市商業di)械de)面板(ban)數據,采(cai)用動(dong)態面板(ban)模型實di)?煆榱死適諧chang)化對(dui)商業di)邢低(di)承苑feng)險的(de)影ba)歟 bing)從(cong)所有制屬性、經營規(gui)模、發(fa)展gou)銎詰deng)三個(ge)方(fang)面進行結構(gou)異質性分(fen)析。研究結果表(biao)明︰利率市場(chang)化明顯加劇了商業di)邢低(di)承苑feng)險,經過一系dao)械de)穩健性檢驗,上述結論依然成(cheng)立;在利率市場(chang)化進程的(de)沖(chong)擊之下,國有銀行、經營規(gui)模較大(da)的(de)商業di)幸約007年之後上市的(de)商業di)械de)系di)承苑feng)險受到(dao)的(de)影ba)旄geng)小。基于研究結論,對(dui)深化利率市場(chang)化改(gai)革、完善利率風(feng)險預警體系dang)忍岢chu)相應的(de)政策(ce)建議。
英文摘要:
      Based on the panel data of 14 listed commercial banks in China from the first quarter of 2009 to the first quarter of 2020, this paper empirically tests the impact of interest rate liberalization on the systemic risk of commercial banks by using dynamic panel model, and analyzes the structural heterogeneity from three aspects of attribute, size and development opportunity period. The results show that interest rate liberalization significantly exacerbates the systemic risk of commercial banks, which still holds water after a series of robustness tests.Under the impact of interest rate liberalization process, the systemic risk of state-owned banks, large-scale commercial banks and commercial banks listed after 2007 are less affected. Based on the research conclusions, this paper puts forward corresponding policy suggestions on deepening the reform of interest rate liberalization and improving the early warning system of interest rate risk.
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