摘要
本文以2011—2018年83家商业银行年度数据,采用SFA-Tobit两步法,用残差值来衡量银行管理能力,参考Berger和Bouwman(2009)的做法,测算出我国银行表内外流动性创造能力,通过两阶段回归研究银行管理能力对其流动性创造和风险承受的影响。结果表明:第一,管理能力越强的银行,单位资产创造的流动性越多,承担的风险越多。不同性质银行的流动性创造存在一定差异,国有银行管理能力对表内外流动性创造的影响明显低于非国有银行,但风险承受能力却最强。第二,经济下行期,管理能力强的银行会降低风险暴露,将提高其流动性创造能力。
Based on the annual data of 83 commercial banks from 2011 to 2018,this study investigates the impact of managerial ability on banks’liquidity creation and risk-taking behavior by two-stage regression.Firstly,we find that stronger the management ability is,the more liquidity will be created and the higher the level of risk-taking will be.The influence of state-owned banks’management capabilities on the creation of on-balance sheet and off-balance sheet liquidity is significantly lower than non-state-owned banks.The management capabilities of small banks have a significantly lower impact on liquidity creation than large banks,while state-owned banks have the strongest risk-taking capabilities.Secondly,during times of economic downturn or financial crisis,however,the banks with strong management ability reduce liquidity creation as a way to de-leverage their balance sheets,increase capital and liquid assets,better deal with external shocks by deleveraging and reduce their vulnerability.Our findings can not only help commercial banks improve their management ability,but also provide a reference for regulatory agencies to propose more targeted regulatory policies during economic downturn or financial crisis.
作者
刘妍
宫长亮
曾刚
Liu Yan;Gong Changliang;Zeng Gang
出处
《金融学季刊》
2021年第4期198-224,共27页
Quarterly Journal of Finance
基金
辽宁省教育厅项目“我国银行及银行体系韧性研究”(项目编号:LN2020J22)
辽宁省教育厅项目“‘一带一路’倡议下新兴市场汇率风险管理研究”(项目编号:LN2020Q19)
东北财经大学校级项目“双支柱调控框架下我国银行体系的韧性研究”的资助
关键词
管理者能力
流动性创造
风险承担
经济下行
managerial ability
liquidity creation
risk-taking
economic downturn cycl
作者简介
通讯作者:刘妍,东北财经大学金融学院副教授,联系方式:刘妍,联系地址为辽宁省大连市东北财经大学金融学院,E-mail为liuyan197954@163.com;宫长亮,大连银行风险总监,高级经济师;曾刚,中国社会科学院国家金融与发展实验室副主任,教授、博士生导师
