摘要 本文首先采用动态模型并利用我国城市商业银行2013—2018年数据实证研究信用风险的影响因素,同时在考虑流动性、信用风险、盈利绩效潜在的内生关系环境下,以联立方程模型方法分别研究非利息业务、管理效率、宏观因素等对上述经营指标的影响机制。研究表明,信用风险存在时间序列上的黏性,同时盈利和流动性都对城商行信用风险有显著负向影响,且在增加模型控制变量的基础上证实了负向效应的稳健性。在联立方程模型中,流动性对城商行信用风险、盈利都有显著负向影响,盈利对流动性的影响较微弱。同时,探讨了非利息业务、管理效率、宏观因素等对城商行经营指标的作用机制,其中信用风险方程与动态模型的结论大体吻合,表明研究结论对不同模型有很强的稳健性。最后,文章基于我国银行体系特征引入经营风险指标,通过动态面板模型验证了流动性、信用风险及其联合作用对城商行经营风险的显著效应,同时可参考模型的一阶条件,优化调整城商行的流动性与信用风险。 This paper uses a dynamic model firstly and analyze the factors affecting credit risk using data of Chinese commercial banks between 2013-2018.At the same time,we consider the potential endogenous relationships of liquidity,credit risk,and profit performance by using a simultaneous equation model and study the impact mechanism of non-interest business,management efficiency,macro factors on the above operating indicators.Studies have shown that credit risk is sticky in time series,and that both profitability and liquidity have a significant negative impact on the credit risk of city commercial banks.The robustness of the negative effect is confirmed on the basis of increasing the control variables of the model.In the simultaneous equation model,liquidity has a significant negative impact on the credit risk and profitability of city commercial banks,and the impact of profit on liquidity is weak.At the same time,non-interest business,management efficiency,macro factors have been found to affect bank operations.The mechanism of the indicator in the credit risk equation and the dynamic model generally agree,indicating that the conclusion has a certain degree of robustness.Finally,the article introduces operational risk indicators based on the characteristics of Chinese banking system.The dynamic panel model is used to verify the effects of liquidity,credit risk,and their combined effects on the operational risk of city commercial banks.At the same time,the first-order conditions of the model can be used to optimize and adjust the Liquidity and credit risk.
机构地区 北京外国语大学国际商学院
出处 《江苏商论》 2021年第5期48-55,共8页 Jiangsu Commercial Forum
关键词 城商行流动性 信用风险 动态模型 联立方程模型 city commercial bank liquidity credit risk profit performance dynamic model simultaneous equation model
分类号 F830 [经济管理—金融学]
