Foreign experience shows that interest rate liberalization is often accompanied by banking crisis.With the deep-ening interest rate liberalization in our country,how to effectively control the risk level of banks has become a common con-cern of theoretical research.Based on 2004-2015 micro data of 130 commercial banks in China,this paper empirically tests the relationship among China′s interest rate liberalization,bank micro characteristics and risk-taking by using the method of dynamic panel estimation of GMM.The results show that interest rate liberalization has a U-shaped relationship with banks′risk-taking;the risk-taking level of state-owned banks is low,and interest rate liberalization will increase the risk-taking of joint-stock banks; the higher the capital adequacy ratio and the lower the loan-to-deposit ratio,the lower the risk-taking level.But with the deepening of interest rate liberalization,the effect of high capital adequacy ratio and low de-posit-to-loan ratio on banks′risk-taking reduction will be weakened; in the sample of local banks, banks that do not choose to operate across the region have lower risk-taking.However,with the deepening of interest rate liberalization,the cross-regional operation of local banks will weaken the role of increasing banks′risk-taking.The above research results show that regulators need to be aware of the aggravation of the banking risks caused by interest rate liberalization,and build a more effective regulatory index system based on the different micro characteristics of banks.%国外经验表明,利率市场化过程常伴随着银行业危机的发生.随着我国利率市场化改革的不断深入,银行如何有效控制自身风险水平已成为理论研究关注的问题.本文利用2004-2015年我国130家商业银行的微观数据,采用GMM动态面板估计的方法实证检验中国利率市场化改革、银行微观特征与风险承担之间的关系.结果显示:利率市场化与银行风险承担呈现出U型关系;国有银行风险承担水平较低,利率市场化会加剧股份制银行的风险承担;资本充足率越高、存贷比越低的银行,其风险承担水平越低.但随着利率市场化的深入,高资本充足率、低存贷比对于降低银行风险承担的作用会减弱;在地方性银行样本中,没有选择跨区经营的银行,其风险承担水平较低.但是随着利率市场化的深入,地方性银行跨区经营对于增加银行风险的作用会减弱.上述研究结果表明监管机构需警惕利率市场化带来的银行业风险加剧,根据银行不同微观特征构建更为有效的监管指标体系.
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