CAJ | 학술논문

本文运用中国16家上市商业银行2008—2013年的数据，通过联立方程组模型以及内生转换模型探讨去除商业银行存贷业务与表外业务的内生性影响。结果发现．净息差与表外业务的关系与传统理论吻合．为负相关。联立方程组模型并不能挖掘出导致样本发生选择性偏误的内生因素，而内生转换模型通过将表外业务的发达程度分为高、低两个体制，Ho—Saunders的净息差定价方程在高体制中更显著．并要求更小的风险回报．说明商业银行通过表外业务的扩展．不仅平滑了利润．而且对冲净息差定价中的非系统性风险。但是不同性质的商业银行在运营抉择时所产生的样本自选择性偏误对净息差定价方程的影响不一。
본문운용중국16가상시상업은행2008—2013년적수거，통과련립방정조모형이급내생전환모형탐토거제상업은행존대업무여표외업무적내생성영향。결과발현．정식차여표외업무적관계여전통이론문합．위부상관。련립방정조모형병불능알굴출도치양본발생선택성편오적내생인소，이내생전환모형통과장표외업무적발체정도분위고、저량개체제，Ho—Saunders적정식차정개방정재고체제중경현저．병요구경소적풍험회보．설명상업은행통과표외업무적확전．불부평활료리윤．이차대충정식차정개중적비계통성풍험。단시불동성질적상업은행재운영결택시소산생적양본자선택성편오대정식차정개방정적영향불일。
Based on the panel data of 16 Chinese listed commercial banks from 2008 to 2013, this paper empirically tests the endogeneity between net interest margin （NIM） and off-balance sheet activities by using simultaneous equation models and endogenous switching model. The results are as followed： by eliminating the endogeneity, the NIM is properly priced. Moreover, simultaneous equation model can not dig out the factors which cause sample-selection bias, while the endogenous switching model shows that in the high diversity regime, NIM is more significantly regressed and less sensitive to risk factors, which means off-balance sheet activities speed up the banks＇ diversification, thus reducing the idiosyncratic risk of the NIM＇ s pricing model. But the sample-selection bias caused by the decision made by commercial banks, affect the NIM pricing equation differently.