利率市场化下商业银行存贷款利差趋势分析

The Analysis of Commercial Bank Deposit and Lending Spreads Trend Analysis under the Interest Rate Liberalization

摘要: 本文基于中国利率市场化进程不断深化的背景，参照有关文献对利率市场化进程测度进行指标构建，使用50家商业银行2008~2016年的面板数据对商业银行利差的变动趋势及相关影响因素进行分析。并在此基础上对比分析了不同类型银行对利率市场化变动的敏感程度。实证结果显示，随着利率市场化进程的逐步加深，商业银行的利差变动呈逐渐缩窄态势。除此之外，中间业务盈利能力、银行管理质量与商业银行利差成负相关关系；风险厌恶程度、信用风险、交易规模与商业银行利差成正相关关系。地方性银行相比于大型国有、股份制银行对利率市场化变动更敏感。最后，本文针对商业银行如何面对利率市场化下利差逐渐缩减的趋势给出了建议。

Abstract: Based on the background of the deepening of interest rate liberalization process in China, this pa-per constructs indicators for the measurement of interest rate liberalization process with reference to relevant literatures, and analyzes the variation trend and related influencing factors of interest rate spread of commercial banks with the panel data of 50 commercial banks from 2008 to 2016. On this basis, the sensitivity of different types of banks to the changes of interest rate liberalization is compared and analyzed. The empirical results show that with the gradual deepening of the interest rate liberalization process, the spread of commercial banks gradually narrowed. In addition, profitability of intermediary business and quality of bank management are negatively correlated with the Interest Rate Spread of commercial banks. The degree of risk aversion, credit risk and transaction size are positively correlated with the Interest Rate Spread of commercial banks. Compared with large state-owned and joint-stock banks, local banks are more sensitive to the changes of interest rate liberalization. Finally, this paper gives some suggestions on how commercial banks should face the trend of interest rate liberalization.