CAJ | 학술논문

本文根据2004-2011年我国4家国有大型银行、12家股份制商业银行、66家城市商业银行和33家外资银行的面板数据，通过设计变量和测量模型，对我国商业银行资产负债的依存度及其影响因素进行了实证研究。研究结果表明，我国商业银行整体的资产负债依存度在2004-2011年呈现出了先降后升的u型走势。其中，中资银行的u型走势较为明显，波动较大；外资银行资产负债依存度走势平稳，波动较小。在影响因素方面，流动性比率、ROE的波动率、衍生金融资产占比、表外资产占比、非利息收入占比等指标对资产负债依存度影响显著；而资本充足率、资产规模等指标的影响并不显著，但与资产负债依存度的正向关系有逐渐增强的趋势。
본문근거2004-2011년아국4가국유대형은행、12가고빈제상업은행、66가성시상업은행화33가외자은행적면판수거，통과설계변량화측량모형，대아국상업은행자산부채적의존도급기영향인소진행료실증연구。연구결과표명，아국상업은행정체적자산부채의존도재2004-2011년정현출료선강후승적u형주세。기중，중자은행적u형주세교위명현，파동교대；외자은행자산부채의존도주세평은，파동교소。재영향인소방면，류동성비솔、ROE적파동솔、연생금융자산점비、표외자산점비、비이식수입점비등지표대자산부채의존도영향현저；이자본충족솔、자산규모등지표적영향병불현저，단여자산부채의존도적정향관계유축점증강적추세。
Base on the panel datum of 4 state-owned banks, 12 joint-equity commercial banks, 66 municipal commercial banks and 33 foreign Banks from 2004 to 2011, this paper studies the assets-liabilities dependency and its influencing factors through designing variables and empirical models. The result shows that assets-liabilities de-pendency of all banks in China presents a U-shaped trend during 2004 -2011. Chinese-funded banks presents more obvious U-shaped trend with high volatility than foreign banks. Assets-liability dependency of foreign banks moves smoothly with less volatility. The result also shows that, the factors which significantly influence the assets-liability dependency include ： liquidity ratios, volatility of ROE, derivative financial assets proportion, off-balance-sheet assets proportion, non-interest income ratio. Factors which do not have significant influence on assets-liability dependency include： capital adequacy rate and bank scale, however, they are becoming more positively correlated with assets-liability dependency.