杠杆率对上市商业银行系统性风险的影响研究
Research on the Influence of Leverage Ratio on Systemic Risk of Listed Commercial Banks
DOI: 10.12677/WER.2022.112018, PDF,   
作者: 彭 海：杭州电子科技大学经济学院，浙江 杭州
关键词: 系统性风险；杠杆率；SRISK指标；固定效应；分位数回归；Systemic Risk； Leverage Ratio； SRISK； Fixed Effect； Quantile Regression
摘要: 为了探究杠杆率对商业银行系统性风险的影响并分析杠杆率影响的传导路径，本文以11个上市商业银行从2010年初至2019年末的数据为样本，选择SRISK指标作为本文系统性风险度量指标，运用固定效应的面板数据分位数回归模型和中介效应模型，分析在不同风险水平下杠杆率对系统性风险的影响程度，以及杠杆率对系统性风险的影响链路。研究结果显示，杠杆率的提高会降低银行系统性风险，尤其在较高的风险水平下；杠杆率通过不良贷款比率和存贷款比率来对银行系统性风险产生激励效应。因此，提出建议如下：不可简单地直接放松或限制银行杠杆率；对杠杆率的监管力度需视情况而定；关注不良贷款比率和存贷款比率。
Abstract: To explore the influence of leverage ratio on systemic risk of commercial banks and analyze the transmission path of influence of leverage ratio, with data of 11 listed commercial banks from 2010 to 2019 as research samples in this paper, SRISK index is selected as the systematic risk measure-ment, both the quantile regression model and mediating effect model of fixed-effect panel data were used to analyze the influencing degrees of leverage ratio on systemic risk at different risk levels, and the link of leverage ratio on systemic risk was studied. The results show that the increase of leverage ratio will reduce the systemic risk of banks, especially under a higher risk level; leverage ratio has incentive effect on systemic risk of banks through NPL ratio and loan-deposit ratio. There-fore, some suggestions are put forward: It couldn’t to simply and directly relax or limit bank lever-age ratio; the regulatory intensity of leverage ratio depends on the circumstances; pay attention to non-performing loan ratio and deposit and loan ratio.
文章引用：彭海. 杠杆率对上市商业银行系统性风险的影响研究[J]. 世界经济探索, 2022, 11(2): 155-165. https://doi.org/10.12677/WER.2022.112018

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