非利息收入对中国商业银行风险的影响研究——基于面板门限回归模型的实证分析

摘要

Based on the annual panel data of 65 Chinese commercial banks from 2008 to 2013,this paper establi-shes a panel threshold regression model to explore the impact of non-interest income on the risk of Chinese com-mercial banks.Empirical results show that there exist two thresholds,i.e.8517.088 million and 64397.482 milion,depending on the size of each bank's assets.T he sample of banks could be divided into three catego-ries:large,medium and small.For large banks,expansion of non-interest business can effectively reduce the risk of banks;for medium-sized banks and small banks,expansion of non-interest business will increase the risk of banks.Compared with small banks,there is a relatively less negative effect on medium-sized banks, thus the negative impact of non-interest income on the risk of Chinese commercial banks gradually declines as the bank scale increases.%文章选取中国65家商业银行2008~2013年年度面板数据,以银行资产水平为门限,建立面板门限回归模型,探究非利息收入对中国商业银行风险的影响.实证结果显示,非利息收入对中国商业银行风险的影响存在两个门限值(8517.088亿,64397.482亿),将银行按资产规模分成大、中、小3类,对于大规模银行,非利息业务的扩张能够有效降低其风险;对于中小规模银行,非利息业务的拓展增加了银行的风险.但是中等规模银行与小规模银行相比,非利息收入对银行风险的负向影响程度相对较小,进而验证了非利息收入对中国商业银行风险的负向影响随着规模增加而逐渐减小.