CAJ | 학술논문

本文旨在深入研究在中国银行业靓丽的报表之下是否隐藏着潜在的风险。我们依据“风险承担渠道”理论的假说，采用中国上市时间超过三年的十四家上市银行的数据，利用固定效应模型和差分广义矩估计方法，验证了：在中国，低利率的政策环境会催生商业银行的风险承担行为。本文的贡献主要有两个方面：第一，我们计算并采用了对风险测度更灵敏的预期违约频率（EDF）作为风险测度指标，相较基于定期报表的Z值和坏账率等指标更能够反映市场预期，具有前瞻性；第二，为了降低利率变量的内生性问题，我们采用拟合泰勒规则的方法估算出均衡利率，从而得到能够灵敏地反映利率政策松紧程度的利差变量作为政策利率的代理变量并一定程度上降低了内生性。
본문지재심입연구재중국은행업정려적보표지하시부은장착잠재적풍험。아문의거“풍험승담거도”이론적가설，채용중국상시시간초과삼년적십사가상시은행적수거，이용고정효응모형화차분엄의구고계방법，험증료：재중국，저리솔적정책배경회최생상업은행적풍험승담행위。본문적공헌주요유량개방면：제일，아문계산병채용료대풍험측도경령민적예기위약빈솔（EDF）작위풍험측도지표，상교기우정기보표적Z치화배장솔등지표경능구반영시장예기，구유전첨성；제이，위료강저리솔변량적내생성문제，아문채용의합태륵규칙적방법고산출균형리솔，종이득도능구령민지반영리솔정책송긴정도적리차변량작위정책리솔적대리변량병일정정도상강저료내생성。
This paper aims at studying whether there exists any potential risks hidden in the perfect balance sheets and income statements of the Chinese domestic commercial banks. We used the financial data of 14 banks which have been listed for more than two years and confirmed that low interest rate would lead to more risk - taking behaviors of commercial banks, according to ＇ risk - taking channel＇ hypothesis. There are two contributions. First, we used Expected Default Frequency （EDF） which can reflect market forward expectations and was more sensitive to overall risk as a risk measure, instead of Z - index which was based on regular bank statements. Second, we ran regressions based on forward - looking Taylor rule to estimate equilibrium interest rate and constructed a new interest policy measure which we called interest rate gap. We found that it not only reflected the strength of monetary policy but also reduced the endogeneity problem.