摘要
互联网金融发展对商业银行风险承担而言是一把“双刃剑”,一方面信息技术增强了风险防控能力,另一方面“劣币驱逐良币”效应倒逼商业银行追求高风险高收益。基于此,本文创新性地以新息随机游走、乔丹分解法和因子增广思想构建非线性结构模型来探索互联网金融发展对商业银行风险承担的异质性影响。研究发现:(1)互联网金融的发展会降低商业银行的信用风险和汇率风险,但会提高流动性风险和利率风险;对商业银行信用风险的影响幅度最强,对流动性风险和利率风险的影响幅度适中,对汇率风险影响幅度最小;对商业银行信用风险和流动性风险的影响在经济下行时期最强、在经济平稳时期适中、在经济上行时期最小,对利率风险和汇率风险的影响在经济平稳时期最强、在经济下行时期适中、在经济上行时期最小。(2)商业银行提高中间业务收入占比的结构转型,会削弱互联网金融对信用风险和汇率风险的降低程度,延长作用时间;会增强互联网金融对利率风险的提高程度,延长作用时间;会削弱互联网金融对流动性风险的提高程度,延长作用时间。提出了商业银行根据差异化风险特征来改变业务结构,进而降低商业银行风险承担水平的对策建设。
Internet finance is“a double-edged sword”for commercial banks’risk-taking.On the one hand,information technology enhances the ability of risk prevention and control,on the other hand,the effect of“bad currency expelling good currency”forces commercial banks to pursue high risk and high return.Based on this,this paper creatively constructs a nonlinear structural model with innovation random walking method,Jordan decomposition method and factor expansion to explore the heterogeneous impact of the development of internet finance on the risk-taking of commercial banks.The research finds that:(1)the development of internet finance will reduce commercial banks’credit risk and exchange rate risk,however,it will increase liquidity risk and interest rate risk.The impact is the strongest on the credit risk of commercial banks,moderate on liquidity risk and interest rate risk,and the smallest on exchange rate risk.The impact on the credit risk and liquidity risk of commercial banks is the strongest in the period of economic downturn,moderate in the period of economic stability,and the smallest in the period of economic rise.The impact on interest rate risk and exchange rate risk is the strongest in the period of economic stability,moderate in the period of economic downturn,and the smallest in the period of economic growth.(2)The structural transformation of commercial banks to increase the proportion of non-interest will weaken the reduction of credit risk and exchange rate risk by internet finance and prolong the action time.It will enhance the improvement of internet finance on interest rate risk and prolong the action time.It will weaken the improvement of internet finance on liquidity risk and prolong the action time.Finally,it is suggested that commercial banks should change the revenue structure according to the differentiated risk characteristics,so as to reduce the risk-taking level of commercial banks.
作者
郭净
刘兢轶
王丽媛
GUO Jing;LIU Jing-yi;WANG Li-yuan(Research Center of Finance Innovation and Risk Management,Hebei Finance University,Baoding 071051,China)
出处
《现代财经（天津财经大学学报）》
CSSCI
北大核心
2022年第12期63-76,共14页
Modern Finance and Economics：Journal of Tianjin University of Finance and Economics
基金
国家社会科学基金一般项目(22BTJ063)
河北金融学院金融创新与风险管理研究中心开放基金项目(JDKF2022007)。
关键词
互联网金融
商业银行
风险承担
业务结构
internet finance
commercial bank
risk-taking
business structure
作者简介
郭净,女,河北金融学院金融创新与风险管理研究中心教授,博士,主要从事金融创新、金融机构社会责任研究;刘兢轶,女,河北金融学院金融创新与风险管理研究中心副教授,主要从事商业银行金融创新、供应链金融研究;王丽媛,女,河北金融学院金融创新与风险管理研究中心讲师,在读博士,主要从事金融营销与投资者行为研究。
