“有为政府”与“有效市场”:银行监管与市场约束组合的有效性检验

摘要/Abstract

摘要： 银行监管与市场约束是维持银行审慎经营的重要条件,二者不同方式组合的有效性如何？基于这一问题,本文选取2007—2021年248家商业银行数据,实证检验银行监管与市场约束的不同组合对银行风险承担的影响。研究发现:资本监管与数量型市场约束、流动性监管与价格型市场约束的组合产生相互削弱的作用;资本监管与价格型市场约束、流动性监管与数量型市场约束的组合产生相互支撑的作用,能够更好地抑制银行风险承担。相较于非存款债权人,存款人的市场约束与银行监管组合的效果更明显。银行监管与市场约束的组合通过促进银行信息披露、降低银行杠杆风险发挥作用。在不同的监管压力与市场约束压力下,高监管压力与市场约束的组合对银行风险承担的影响更显著,高数量型市场约束压力和低价格型市场约束压力与资本监管的组合对银行风险承担的影响更显著。

关键词: 资本监管, 流动性监管, 市场约束, 银行风险承担

Abstract: Banking regulation and market constraints are the main pillars for maintaining the sound operation of the banking sector at the present time, as well as an important guarantee for preventing and resolving major financial risks. Studying the effectiveness of the combination of regulatory policies at different levels and creditor market constraints in different ways is of great significance for maintaining the stability of the banking system. Based on the panel data of 248 commercial banks from 2007 to 2021, this paper empirically tests the impact of different combinations of bank regulation and market constraints on bank risk-taking. It is found that the combinations of capital regulation with quantitative market constraints and liquidity regulation with price market constraints produce mutual weakening effects, and the combinations of capital regulation with price market constraints and liquidity regulation with quantitative market constraints produce mutual supportive effects, which are able to better curb bank risk. The combination of market constraints and bank regulation is more effective for depositors than for non-deposit creditors. The combination of bank regulation and market constraints achieves its effectiveness by promoting bank disclosure and reducing bank leverage risk. Under different regulatory and market constraint pressures, the combination of high regulatory pressure and market constraints has a more significant effect on bank risk-taking, and the combination of high quantitative market constraints and low price market constraint pressures and capital regulation has a more significant effect on bank risk-taking.
The innovation of this paper is that it explores a variety of combinations of different channels of bank regulation and different ways of market discipline and different subjects of market discipline. Little existing literature focused on the combination of different channels of bank regulation with different ways of market discipline. This paper considers two channels of bank regulation: capital regulation and liquidity regulation. The paper also considers the distinction between market discipline from depositors, market discipline from non-deposit creditors, quantitative market discipline, and price market discipline. We provides a comprehensive and in-depth look at the impact of multiple combinations of two types of bank regulation and four types of market discipline on bank risk-taking, in order to deepen the research on the effectiveness of bank regulatory and market discipline.
Based on theabove findings, combined with the reality of China's bank regulatory system and creditor market constraints, this paper puts forward three policy suggestions: First, optimize the combination of bank regulation and market constraints to enhance the robustness of bank operations. In the specific implementation of regulatory policy, the specific situation of bank creditor market constraints should be combined to make an effective combination, giving full play to the effectiveness of bank regulation and market constraints. Second, the adjustment of bank capital structure should be consistent with the level of its supervision and the intensity of market constraints, and information disclosure should be made in a timely manner. The adjustment of capital structure in the actual operation process of banks should be timely in line with the requirements of regulatory policies and market constraints, and the informationdisclosure should also be conducted timely, so as to facilitate the combination of capital regulation and market constraints to better inhibit bank risks. Third, Aaccording to the actual level of regulatory pressure and market constraints faced by banks, make full use of the optimized coordination of bank regulation and market constraints under different pressures, and dynamically coordinate the combination of bank regulation and market constraints according to the actual changes in regulatory pressure and market constraints faced by banks.

Key words: Capital Regulation, Liquidity Regulation, Market Discipline, Bank Risk-taking

中图分类号:

F832.33

丁鑫, 马玥, 陈珏津. “有为政府”与“有效市场”:银行监管与市场约束组合的有效性检验[J]. 财经论丛, 2024, 40(2): 36-48.

DING Xin, MA Yue, CHENG Juejin. “Effective Government and Efficient Markets”: A Test of the Effectiveness of a Combination of Bank Regulation and Market Discipline[J]. Collected Essays on Finance and Economics, 2024, 40(2): 36-48.

参考文献

[1]杨谊, 蒲勇健, 陆玉. 我国银行官方监管目标与市场约束的实证研究[J]. 管理世界, 2009, (1): 168-169.
[2]张强, 李立华, 佘桂荣. 银行监管中的最优市场约束研究[J]. 中南财经政法大学学报, 2009, (4): 64-69, 144.
[3]顾海峰, 马聪. 政府监管、市场约束与银行风险承担——来自中国178家商业银行的证据[J]. 金融经济学研究, 2020, (1): 117-130.
[4]Demirgüç-Kunt A., Huizinga H. Market Discipline and Deposit Insurance[J]. Journal of Monetary Economics, 2004, (2): 375-399.
[5]Stiglitz J. E., Andrew W. Credit Rationing in Market with Imperfect Information[J]. American Economic Review, 1981, 71(3): 393-410.
[6]Berger A. N., Herring R. J., Szeg G. P. The Role of Capital in Financial Institutions[J]. Journal of Banking and Finance, 1995, 19(3): 393-430.
[7]Hossain M. Z., Khan M. A., Sadique M. S. BaselⅢ and Perceived Resilience of Banks in the BRICS Economies[J]. Applied Economics, 2017, 35(2): 1-14.
[8]Jacques K., Nigro P. Risk-based Capital, Portfolio Risk, and Bank Capital: A Simultaneous Equations Approach[J]. Journal of Economics and Business, 1997, 49(6): 533-547.
[9]苏帆, 于寄语, 熊劼. 更高资本充足率要求能够有效防范金融风险吗？——基于双重差分法的再检验[J]. 国际金融研究, 2019, (9): 76-86.
[10]Shrieves R. E., Dahl D. The Relationship between Risk and Capital in Commercial Banks[J]. Journal of Banking and Finance, 1992, 16(2): 439-457.
[11]顾海峰, 张亚楠. 金融创新、信贷环境与银行风险承担——来自2006—2016年中国银行业的证据[J]. 国际金融研究, 2018, (9): 66-75.
[12]胡援成, 王星宇. 存款保险制度、银行资本监管与风险承担行为——来自中国银行业的经验证据[J]. 江西财经大学学报, 2021, (3): 14-28.
[13]Wei X., Gong Y., Wu H. M. The Impacts of Net Stable Funding Ratio Requirement on Banks' Choices of Debt Maturity[J]. Journal of Banking and Finance, 2017, 82(9): 229-243.
[14]Zhang J., He L., An Y. Measuring Banks' Liquidity Risk: An Option-Pricing Approach[J]. Journal of Banking and Finance, 2020, 111: 105703.
[15]庄毓敏, 张祎. 流动性监管、银行稳健性与货币政策传导[J]. 中国工业经济, 2022, (6): 5-23.
[16]Berger A. N. Market Discipline in Banking[C]. Proceedings of a Conference on Bank Structure and Competition, Federal Reserve Bank of Chicago, 1991, 419-439.
[17]Oana P., Radu V. Experimental Evidence on Bank Runs with Uncertain Deposit Coverage[J]. Journal of Banking and Finance, 2019, 106(9): 214-226.
[18]Jensen M. C., Meckling W. H. Theory of the Firm: Managerial Behavior, Agency Costs and Ownership Structure[J]. Journal of Financial Economics, 1976, 3(4): 305-360.
[19]Peria M. S. M., Schmukler S. L. Do Depositors Punish Banks for Bad Behavior?Market Discipline, Deposit Insurance, and Banking Crises[J]. Journal of Finance, 2001, 56(3): 1029-1051.
[20]刘雷. 金融监管结构会影响市场约束吗？——基于HLM模型的跨国实证研究[J]. 国际金融研究, 2017, (6): 85-96.
[21]黎灵芝, 胡真, 邓坤. 存款竞争、市场约束与银行风险行为[J]. 金融论坛, 2014, (10): 56-63.
[22]许友传. 信息披露、市场约束与银行风险承担行为[J]. 财经研究, 2009, (12): 118-128.
[23]许友传, 何佳. 隐性保险体制下城市商业银行的市场约束行为[J]. 财经研究, 2008, (5): 40-51.
[24]孟艳. 市场约束与我国银行监管的有效性[J]. 中国金融, 2007, (17): 36-37.
[25]Decamps J. P., Rochet J. C., Roger B. The Three Pillars of Basel II Optimizing the Mix[J]. Journal of Financial Intermediation, 2004, 13(2): 132-155.
[26]黄蕙. 银行市场约束与银行监管的权衡与选择研究——对我国银行外部监管效应的论证[J]. 财经研究, 2006, (11): 76-87.
[27]张强, 佘桂荣. 银行监管的市场约束理论进展[J]. 金融研究, 2006, (10): 98-105.
[28]Agoraki M. K., Delis M. D., Pasiouras F. Regulations, Competition and Bank Risk-taking in Transition Countries[J]. Journal of Financial Stability, 2011, 7(1): 38-48.
[29]王宗润, 万源沅, 周艳菊. 隐性存款保险下银行信息披露与风险承担[J]. 管理科学学报, 2015, (4): 84-97.