利率并轨政策对银行稳健性的冲击-《南京师大学报》（社会科学版）

文章信息/Info

Keywords:: convergence of rates; market competition; bank stability; interest rate marketization reform

摘要:: 贷款市场报价利率(LPR)改革是我国促进利率并轨、深化利率市场化的重要举措。由于利率市场化具有“双刃剑”政策效应,在改善货币政策传导效果的同时,利率并轨也会加剧同业竞争,对银行经营发展带来影响和冲击。因此,在新的政策框架下研究利率并轨对银行竞争和稳健性的影响,具有十分重要的理论和现实意义。本文基于2011年1季度至2019年3季度累计35个季度的时间序列数据,构建了向量误差修正模型(VECM),围绕宏观政策、中观行业、微观主体等层面,分析利率并轨、市场竞争、银行收益和风险稳健性之间的影响作用关系。理论研究和实证检验表明:利率并轨具有宏观先导作用,是市场竞争、收益稳健、风险稳健的格兰杰原因; 市场竞争对收益和风险稳健的负面影响效应要大于正面促进作用; 收益和风险压力变化滞后于市场竞争,对市场竞争压力的变化缺少解释能力; 利率并轨对收益稳健、风险稳健的负面冲击周期长、影响程度大。在研究结论基础上,本文从政策推动、竞争决策、科学定价、风险防控等角度,为应对利率并轨冲击、保障银行稳健发展提出了政策建议。

Abstract:: Loan Prime Rate(LPR)pricing mechanism reform is an important step of the interest rate marketization reform in China, leading to the convergence of lending rates. Due to the “double-edged sword” effect of interest rate marketization reform, convergence of rates would not only promote the effect of monetary policy, but also exacerbate the competition and challenge for commercial banks. Therefore, it would be significant to study the influence of the convergence of rates on commercial banks. Based on the banking data between the first quarter of 2011 to the third quarter of 2019, this paper uses vector error correction model to analyze the relationship among the convergence of rates, market competition, and bank stability from macroscopic, mesoscopic and microscopic views. The research shows that, the convergence of rates is the granger cause of market competition, and bank stability; the influence of market competition is negative to bank stability; the change of the pressure from return and risk management is not the granger cause of market competition; the influence from convergence of rates to bank stability has a long duration, which leads to a complicated environment for commercial bank. In order to manage the challenge of convergence of rates, this paper offers proposals on the reform strategy, policy decision, pricing management and risk management.

备注/Memo:: 李北伟,管理学博士,吉林大学管理学院教授、博士生导师(长春130022); 耿爽,吉林大学管理学院博士研究生。本文系国家自然科学基金项目“石油价格冲击下的国际粮食波动对我国粮食价格的影响与政策选择研究”(71373100)、吉林省科技厅科技引导计划软科学项目“吉林省科技金融发展效率的测算及影响因素分析”(20180418092FG)的研究成果。LI Beiwei, PhD in Management, is Professor at School of Management, Jilin University(Changchun 130022); GENG Shuang is PhD Candidate at School of Management, Jilin University(Changchun 130022).