基于风险视角的贷款行业集中度对银行收益的影响

发布时间：2018-10-18 12:23

【摘要】：银行在业务发展过程中可能更加注重单项业务收益与违约风险的匹配,而忽视了贷款业务过度集中的负面影响。本文利用国内银行季度数据研究贷款行业集中度对银行收益的影响并探讨银行风险在该影响机制中的作用,结果发现,贷款行业集中度对银行收益的边际影响是风险的二次函数。银行风险很低时,增加信贷占比较低行业的贷款投放会提高银行收益波动率,降低平均收益;银行风险很高时,由于代理监督机制激励不相容以及银行破产的社会成本极高,银行会将信贷资源集中于收益较高且稳定的行业来提升收益。只有风险处于中等水平时,分散配置才会有效发挥代理监督机制的作用,提高收益。样本期大多数银行风险处于中等水平,集中度增加会显著降低收益,但对国有银行的冲击较小。研究结论对优化银行贷款结构具有重要理论指导意义。
[Abstract]:In the process of business development, banks may pay more attention to the matching of individual business income and default risk, while ignoring the negative impact of excessive concentration of loan business. This paper makes use of the quarterly data of domestic banks to study the impact of loan industry concentration on bank returns and discusses the role of bank risk in the mechanism. The marginal effect of loan industry concentration on bank income is a quadratic function of risk. When the bank risk is very low, increasing the loan investment in the low credit industry will increase the fluctuation rate of the bank income and reduce the average income. When the bank risk is very high, because of the incompatibility of the agency supervision mechanism and the social cost of the bank bankruptcy, Banks focus their credit resources on higher and more stable sectors to boost returns. Only when the risk is in the medium level, the decentralized allocation can effectively exert the function of the agent supervision mechanism and improve the profit. In the sample period, the risk of most banks is at the medium level, the increase of concentration will significantly reduce the return, but the impact on the state-owned banks is relatively small. The conclusion is of great theoretical significance to optimize the structure of bank loans.
【作者单位】：交通银行博士后工作站;上海财经大学博士后流动站;
【分类号】：F830.42;F832.4

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