摘要
基于构建的创新性指标——同业监管套利指标,利用2007年至2019年我国16家上市银行数据,检验了不同货币政策环境下同业监管套利的形成机制及其对银行资产结构的影响。研究结果表明:紧缩的货币政策是同业监管套利的主要驱动力,一方面,紧缩的货币政策在降低信贷业务收益水平的同时提高了同业业务的收益水平,促使两类业务形成套利空间;另一方面,紧缩的货币政策加剧了银行的信贷约束。在逐利动机与信贷约束的共同作用下,银行有动机调整资产结构,将部分资金由信贷业务转入同业业务,造成银行信贷业务的顺周期收缩与同业业务的逆周期扩张。这提示政策当局密切关注同业业务收益与信贷业务收益变动,加强影子银行宏观审慎监管,谨防银行资金因监管套利过度流入同业业务相关的影子银行。
Based on an innovative regulatory indicator—interbank regulatory arbitrage index,this paper investigates formation mechanism of inter-bank regulatory arbitrage under different monetary policy environments and its impact on bank asset structure,by utilizing data of 16 listed banks in the period 2007-2019.The results show that tightening monetary policy is the main driving force of interbank regulatory arbitrage.On the one hand,tight monetary policy reduces the yield of credit business and improves the yield of interbank business,which promotes the formation of arbitrage space of interbank business.On the other hand,tight monetary policy has intensified credit constraints of banks.Under the joint action of profit chasing motivation and credit constraint,banks have the incentive to adjust asset structure and transfer part of funds from credit business to interbank business,resulting in the procyclical contraction of bank credit business and the counter cyclical expansion of interbank business.This suggests that policy authorities should pay close attention to the changes of interbank business income and credit business income,strengthen the macroprudential supervision of shadow banking,and guard against excessive inflow of bank funds into shadow banks related to interbank business due to regulatory arbitrage.
作者
孔丹凤
陈志成
Kong Danfeng;Chen Zhicheng(School of Economics,Shandong University,Jinan 250100,P.R.China)
出处
《山东大学学报（哲学社会科学版）》
CSSCI
北大核心
2021年第5期84-96,共13页
Journal of Shandong University(Philosophy and Social Sciences)
基金
国家自然科学基金面上项目“通货膨胀持续性、最优货币政策与通货膨胀目标制”(71373145)
山东省社科规划研究重点项目“增值税减税、财政货币政策协调与中小微企业发展”(21BJJJ04).
关键词
信贷业务
同业业务
监管套利
银行资产结构调整
Credit business
Interbank business
Regulatory arbitrage
Bank asset structure adjustment
作者简介
孔丹凤,山东大学经济学院教授,博士生导师(济南250100,danfengkong@sdu.edu.cn);陈志成,山东大学经济学院博士研究生(济南250100,1250257082@qq.com).
