商业银行市场竞争与风险行为关系研究
摘要
自20世纪70年代起，伴随世界经济、金融秩序的变化，西方各国开始逐步放松金融管制措施，拉开了金融自由化浪潮的帷幕。在这一时期，银行机构和金融市场的运作效率得到了极大的提升，但银行倒闭事件的频繁出现却也为金融系统的平稳发展蒙上了阴影。学术界和各国监管当局在追溯银行体系脆弱性根源的过程中，曾一度将银行竞争的兴起视为恶化机构风险，破坏行业稳定的源头。但随着研究的深入，该观点受到了越来越多的质疑。反对者认为市场竞争非但不会导致银行的风险承担，反而有助于其保持审慎和自律。尽管两派观点争执不下，但各国当局已自此充分认识到竞争对银行风险和系统安全的关键作用，并在对竞争政策的制定和执行上逐渐形成了谨慎严格的态度。
中国银行业市场化改革自20世纪80年代启动以来，通过对市场参与主体的培育和现代金融企业制度的确立，特别是进入新世纪后，凭借对外资银行的准入，国有银行产权改革的推进和人民币存、贷款利率市场化的深入，成功将市场竞争机制引入银行系统，建立及巩固了行业市场竞争格局。这在显著提升银行经营效率和行业内部活力的同时，却也使监管当局安全性监管目标的实现面临着更为严峻的考验。
为明晰中国银行业渐进化改革进程中商业银行市场竞争与风险行为的复杂关系，健全监管当局对新的竞争性环境下维护银行体系稳健的认知，并对其当前及下一阶段安全监管框架的构建形成参考，本文在传统银行竞争风险研究的基础上，结合中国银行业经营和改革实践，从“批发资金融资”、“风险转移”和“信贷甄别”等视角着眼，分别对存、贷款市场上市场竞争与银行风险的历史关系进行了回顾和检验，并对各自市场上两者关系的运行机制和临界条件展开了深入探究。
本文的主要创新性工作包括：
①结合国外经验启示和中国银行业融资实践，将为传统理论所忽视，但对中国银行业吸储行为有深刻影响的银行间市场批发资金融资引入经典存款竞争框架，通过对银行现实融资组合行为的数理建模，首先着重研究了存款利率市场化环境下，价格自由竞争对银行风险行为的内在影响机制。该工作相比目前国内学界在逻辑推论和仿真模拟层面上对中国未来利率市场化条件下存款竞争风险的预测，对这一问题提供了深入细微的洞察。本文其次通过对主要模型的简要扩展，补充分析了存款利率严格管制时期银行各种非价格和变相价格竞争行为对其风险行为的影响，以及存款利率制度转轨时期银行风险行为的变动机制。研究指出：当银行间市场约束不存在时，存款竞争对银行风险存在单向影响；而在银行间市场约束条件下，市场竞争会缓解高存款市场份额银行的风险激励，并刺激低存款市场份额银行的风险行为。该结论在零售存款利率自由浮动和利率上限管制环境下均成立。另外，在利率转轨过程中，利率上限的适度提高，并不会给银行体系带来额外风险，相反能有效减少银行的隐性支付和变相付息行为。
②针对传统研究在从“信贷甄别”视角对贷款市场竞争风险进行解读时，仅局限于对甄别投入变化对甄别结果准确性影响的研究所造成的分析和结论完整性的欠缺，本文将贷款价格竞争对借款人风险分布以及信贷甄别效率的内生影响纳入研究框架，通过对竞争性条件下甄别活动两类相反的风险效应的数理分析，厘清了贷款价格竞争与银行风险行为关系“信贷甄别”传导渠道的运行机制和边界条件。研究表明：对于执行事前信贷甄别的银行而言，市场竞争压力的风险影响取决于甄别投入效应（甄别投入对信息精度和甄别结果准确性的作用）与甄别效率效应（给定甄别投入，借款人风险构成对甄别难易度以及结果正确性的影响）的共同作用。前者会刺激银行的风险水平，而后者则有益于机构的风险平抑。当贷款需求价格弹性偏低时，甄别效率效应占优，竞争与银行风险反向关联。
③结合中国银行业利率市场化改革实践，分别对商业银行存、贷款市场竞争与风险行为的关系开展了实证研究，弥补了国内文献仅着眼于对银行综合市场竞争风险效应进行评价所产生的不足，对已有成果的分析和结论做出了扩充。在存款竞争风险实证研究部分，本文将银行间市场批发资金融资条件引入传统实证模型，在新的框架设计下通过对个体银行存款市场竞争压力的准确定量，实证检验了严格利率管制时期商业银行零售存款竞争、批发资金融资与风险行为的相互关系。主要研究结果发现：在严格利率管制时期，存款利率上限控制并未完全抑制银行的风险动机。各种非价格竞争和变相价格竞争行为仍在一定程度上损害了银行的稳定；在贷款竞争风险实证研究部分，针对商业银行在利率市场化进程中日趋重要的价格竞争行为，本文在对个体银行价格竞争压力进行精确测算，并对利率改革过程中市场价格竞争格局的演变路径展开详细分析的基础上，实证研究了信贷自主权下放以来商业银行价格竞争对其风险行为的影响。主要研究结果表明：当前在中国贷款市场上，由于价格竞争水平总体偏低，“风险转移效应”占据主导，价格竞争有助于缓解银行信贷风险。但是，由于资本要求监管的作用以及长期以来价格竞争影响力偏低的缘故，价格竞争对银行整体经营风险的控制无显著影响。
Since the1970s, along with changes of world’s economic and financial order,western countries began to loosen financial regulation gradually, and opened the curtainof the wave of financial liberalization. The operational efficiency of banking institutionsand financial markets has been greatly improved during this period, but the frequentoccurrence of bank failures has also cast shadow on the stable development of financialsystem. In the process of tracing sources of vulnerability of banking system, theacademia and regulatory authorities has once regarded the rise of competition amongbanks as the reason for the increase of risks and deterioration of industry stability.However, this point of view has been increasingly questioned with further research.Opponents argued that market competition not only will not result in the bank’s riskexposure, but also will help to maintain its prudence and self-discipline. Although bothsides haven’t reach consensus, the authorities have been fully aware of the critical roleplayed by competition on bank risk and system security, and gradually built up acautious attitude towards the formulation and implementation of competition policy.
Since the launch of market-oriented reform of Chinese banking in the1980s,through the cultivation of market participants and the establishment of modern financialenterprise system, especially by permitting the entry of foreign banks, along withpromoting the property rights reform of state-owned banks as well as facilitating theRMB deposit and loan interest rate marketization after entering the new century, Chinahas successfully introduced the competition mechanism into banking system, shapedand consolidated the industry market competition landscape as well, which hassignificantly increased the efficiency of banking operation and industry internal vitality,but also let the regulatory authorities face severer test to achieve the goal of safetysupervision.
In order to clarify the complex relationship between market competition and riskbehavior of commercial banks in the process of Chinese banking reform, and improvethe regulatory authorities’ insight into the maintenance of a healthy banking systemunder the new competitive environment, as well as give reference to the establishmentof a safety regulatory framework in the current and next phase, this paper, from theperspective of “wholesale funding”,“risk transfer”, and “credit screening”, reviews andexamines the historical relationship between banking competition and bank risk, and generally studies its operational mechanism and critical condition in the deposit andloan market respectively, on the basis of traditional “banking competition-risk” researchand the practices of Chinese banking operation and reform.
The main innovation of this work include:
①Combined with foreign empirical studies and financing practice of Chinesebanking, the paper introduces interbank wholesale funding, which was ignored bytraditional theory but with a profound impact on Chinese banks’ deposit-taking behavior,into classical deposit competition framework, and first studies the influence mechanismof price competition on banks’ risk behavior in the forthcoming environment of depositinterest rate marketization, through modeling banks’ financing portfolio behavior.Compared to the logical inference and mathematical simulation by current domesticscholars for the risk of deposit competition under the condition of interest ratemarketization, this work provides stringent and in-depth insight into this issue. Througha simple extension of the main model, the paper then puts forward supplementaryanalysis for the impact of competition in the form of non-price and disguised-pricecompetitive behavior on banks’ risk during the period of strict interest rate control, aswell as the changing pattern of banks’ risk behavior in the process of deposit ratetransition. The results show that: when there is no interbank market constraint, depositcompetition has one-way effect on bank risk, while under the constraint, marketcompetition will ease the risk incentives of banks of high deposit market share andstimulate the risk behavior of the ones of low market share. The conclusion is robust tothe set of both free interest rate and interest rate ceiling. In addition, in transitionprocess, the moderate liberalization of deposit rate will not bring extra risk to thebanking system, on the contrary reduce the implicit and disguised interest payment ofbanks.
②In respond to the deficiency brought up by the limited focus on the impact ofscreening investment on the accuracy of screening result by traditional studies whichview the “loan market competition-bank risk” relationship from “credit screening”perspective, this paper introduces the endogenous impact of loan price competition onrisk distribution of borrowers and credit screening efficiency into analysis framework,and makes clear the operational mechanism and critical condition of the transmissionchannel of “credit screening” for the relationship between loan price competition andbank risk, through the mathematical analysis of two opposite risk effects of screening activity under the competitive condition. The results show that: for banks whichimplement ex-ante screening, the risk effect of competitive pressure depends on thetrade-off of the screening investment effect, which refers to the impact of screeninginvestment on the precision of information and screening results, and the screeningefficiency effect, which cares the impact of risk distribution of borrowers on thedifficulties of screening and correctness of screening outcome under given level ofscreening investment. The former effect will stimulate banks’ risk level, while the latterwill benefit institutions’ stability. When the price elasticity of loan demand is low, thescreening efficiency effect dominates, i.e., competition and bank risk negativelycorrelates.
③In accordance with reform practice of interest rate marketization of Chinesebanking, this paper empirically studies the relationship between risk behavior andmarket competition in deposit and loan market respectively, that remedies theinadequacy of current domestic research which solely focus on the overall effect ofcompetition on bank risk, and extends the existing analysis and conclusion. In theempirical work on the deposit competition risk, the paper introduces the interbankwholesale funding condition into traditional empirical model, and examines theinterrelationship among retail deposit competition, wholesale funding and risk behaviorunder strict interest rate control, by precisely measuring the competitive pressure ofindividual bank from deposit market in the new framework design. The results mainlyshow that: in the time of strict interest rate regulation, the interest rate ceiling controlcouldn’t completely curb the risk motivation of banks, as a variety of non-price anddisguised-price competition, to some extent, still undermine banks’ stability. In theempirical work on the risk of loan competition, in view of the banks’ price competitivebehavior has become increasingly important in the process of loan interest ratemarketization, the paper estimates the price competitive pressure of individual bankaccurately, and examines the effect of loan price competition on risk behavior ofcommercial banks ever since the deregulation of credit autonomy, on the basis of adetailed analysis of the evolutionary path of status of market price competition in theprocess of interest rate marketization. The findings mainly show that: currently, in thelending market of China,“risk transfer effect” dominates as the overall level of pricecompetition is low, i.e., price competition help relieve the credit risk of banks. While at the same time, price competition has no significant effect on the control of banks’overall operational risk, owing to the capital requirement and limited influence of pricecompetition for a long time.
中国银行业市场化改革自20世纪80年代启动以来，通过对市场参与主体的培育和现代金融企业制度的确立，特别是进入新世纪后，凭借对外资银行的准入，国有银行产权改革的推进和人民币存、贷款利率市场化的深入，成功将市场竞争机制引入银行系统，建立及巩固了行业市场竞争格局。这在显著提升银行经营效率和行业内部活力的同时，却也使监管当局安全性监管目标的实现面临着更为严峻的考验。
为明晰中国银行业渐进化改革进程中商业银行市场竞争与风险行为的复杂关系，健全监管当局对新的竞争性环境下维护银行体系稳健的认知，并对其当前及下一阶段安全监管框架的构建形成参考，本文在传统银行竞争风险研究的基础上，结合中国银行业经营和改革实践，从“批发资金融资”、“风险转移”和“信贷甄别”等视角着眼，分别对存、贷款市场上市场竞争与银行风险的历史关系进行了回顾和检验，并对各自市场上两者关系的运行机制和临界条件展开了深入探究。
本文的主要创新性工作包括：
①结合国外经验启示和中国银行业融资实践，将为传统理论所忽视，但对中国银行业吸储行为有深刻影响的银行间市场批发资金融资引入经典存款竞争框架，通过对银行现实融资组合行为的数理建模，首先着重研究了存款利率市场化环境下，价格自由竞争对银行风险行为的内在影响机制。该工作相比目前国内学界在逻辑推论和仿真模拟层面上对中国未来利率市场化条件下存款竞争风险的预测，对这一问题提供了深入细微的洞察。本文其次通过对主要模型的简要扩展，补充分析了存款利率严格管制时期银行各种非价格和变相价格竞争行为对其风险行为的影响，以及存款利率制度转轨时期银行风险行为的变动机制。研究指出：当银行间市场约束不存在时，存款竞争对银行风险存在单向影响；而在银行间市场约束条件下，市场竞争会缓解高存款市场份额银行的风险激励，并刺激低存款市场份额银行的风险行为。该结论在零售存款利率自由浮动和利率上限管制环境下均成立。另外，在利率转轨过程中，利率上限的适度提高，并不会给银行体系带来额外风险，相反能有效减少银行的隐性支付和变相付息行为。
②针对传统研究在从“信贷甄别”视角对贷款市场竞争风险进行解读时，仅局限于对甄别投入变化对甄别结果准确性影响的研究所造成的分析和结论完整性的欠缺，本文将贷款价格竞争对借款人风险分布以及信贷甄别效率的内生影响纳入研究框架，通过对竞争性条件下甄别活动两类相反的风险效应的数理分析，厘清了贷款价格竞争与银行风险行为关系“信贷甄别”传导渠道的运行机制和边界条件。研究表明：对于执行事前信贷甄别的银行而言，市场竞争压力的风险影响取决于甄别投入效应（甄别投入对信息精度和甄别结果准确性的作用）与甄别效率效应（给定甄别投入，借款人风险构成对甄别难易度以及结果正确性的影响）的共同作用。前者会刺激银行的风险水平，而后者则有益于机构的风险平抑。当贷款需求价格弹性偏低时，甄别效率效应占优，竞争与银行风险反向关联。
③结合中国银行业利率市场化改革实践，分别对商业银行存、贷款市场竞争与风险行为的关系开展了实证研究，弥补了国内文献仅着眼于对银行综合市场竞争风险效应进行评价所产生的不足，对已有成果的分析和结论做出了扩充。在存款竞争风险实证研究部分，本文将银行间市场批发资金融资条件引入传统实证模型，在新的框架设计下通过对个体银行存款市场竞争压力的准确定量，实证检验了严格利率管制时期商业银行零售存款竞争、批发资金融资与风险行为的相互关系。主要研究结果发现：在严格利率管制时期，存款利率上限控制并未完全抑制银行的风险动机。各种非价格竞争和变相价格竞争行为仍在一定程度上损害了银行的稳定；在贷款竞争风险实证研究部分，针对商业银行在利率市场化进程中日趋重要的价格竞争行为，本文在对个体银行价格竞争压力进行精确测算，并对利率改革过程中市场价格竞争格局的演变路径展开详细分析的基础上，实证研究了信贷自主权下放以来商业银行价格竞争对其风险行为的影响。主要研究结果表明：当前在中国贷款市场上，由于价格竞争水平总体偏低，“风险转移效应”占据主导，价格竞争有助于缓解银行信贷风险。但是，由于资本要求监管的作用以及长期以来价格竞争影响力偏低的缘故，价格竞争对银行整体经营风险的控制无显著影响。
Since the1970s, along with changes of world’s economic and financial order,western countries began to loosen financial regulation gradually, and opened the curtainof the wave of financial liberalization. The operational efficiency of banking institutionsand financial markets has been greatly improved during this period, but the frequentoccurrence of bank failures has also cast shadow on the stable development of financialsystem. In the process of tracing sources of vulnerability of banking system, theacademia and regulatory authorities has once regarded the rise of competition amongbanks as the reason for the increase of risks and deterioration of industry stability.However, this point of view has been increasingly questioned with further research.Opponents argued that market competition not only will not result in the bank’s riskexposure, but also will help to maintain its prudence and self-discipline. Although bothsides haven’t reach consensus, the authorities have been fully aware of the critical roleplayed by competition on bank risk and system security, and gradually built up acautious attitude towards the formulation and implementation of competition policy.
Since the launch of market-oriented reform of Chinese banking in the1980s,through the cultivation of market participants and the establishment of modern financialenterprise system, especially by permitting the entry of foreign banks, along withpromoting the property rights reform of state-owned banks as well as facilitating theRMB deposit and loan interest rate marketization after entering the new century, Chinahas successfully introduced the competition mechanism into banking system, shapedand consolidated the industry market competition landscape as well, which hassignificantly increased the efficiency of banking operation and industry internal vitality,but also let the regulatory authorities face severer test to achieve the goal of safetysupervision.
In order to clarify the complex relationship between market competition and riskbehavior of commercial banks in the process of Chinese banking reform, and improvethe regulatory authorities’ insight into the maintenance of a healthy banking systemunder the new competitive environment, as well as give reference to the establishmentof a safety regulatory framework in the current and next phase, this paper, from theperspective of “wholesale funding”,“risk transfer”, and “credit screening”, reviews andexamines the historical relationship between banking competition and bank risk, and generally studies its operational mechanism and critical condition in the deposit andloan market respectively, on the basis of traditional “banking competition-risk” researchand the practices of Chinese banking operation and reform.
The main innovation of this work include:
①Combined with foreign empirical studies and financing practice of Chinesebanking, the paper introduces interbank wholesale funding, which was ignored bytraditional theory but with a profound impact on Chinese banks’ deposit-taking behavior,into classical deposit competition framework, and first studies the influence mechanismof price competition on banks’ risk behavior in the forthcoming environment of depositinterest rate marketization, through modeling banks’ financing portfolio behavior.Compared to the logical inference and mathematical simulation by current domesticscholars for the risk of deposit competition under the condition of interest ratemarketization, this work provides stringent and in-depth insight into this issue. Througha simple extension of the main model, the paper then puts forward supplementaryanalysis for the impact of competition in the form of non-price and disguised-pricecompetitive behavior on banks’ risk during the period of strict interest rate control, aswell as the changing pattern of banks’ risk behavior in the process of deposit ratetransition. The results show that: when there is no interbank market constraint, depositcompetition has one-way effect on bank risk, while under the constraint, marketcompetition will ease the risk incentives of banks of high deposit market share andstimulate the risk behavior of the ones of low market share. The conclusion is robust tothe set of both free interest rate and interest rate ceiling. In addition, in transitionprocess, the moderate liberalization of deposit rate will not bring extra risk to thebanking system, on the contrary reduce the implicit and disguised interest payment ofbanks.
②In respond to the deficiency brought up by the limited focus on the impact ofscreening investment on the accuracy of screening result by traditional studies whichview the “loan market competition-bank risk” relationship from “credit screening”perspective, this paper introduces the endogenous impact of loan price competition onrisk distribution of borrowers and credit screening efficiency into analysis framework,and makes clear the operational mechanism and critical condition of the transmissionchannel of “credit screening” for the relationship between loan price competition andbank risk, through the mathematical analysis of two opposite risk effects of screening activity under the competitive condition. The results show that: for banks whichimplement ex-ante screening, the risk effect of competitive pressure depends on thetrade-off of the screening investment effect, which refers to the impact of screeninginvestment on the precision of information and screening results, and the screeningefficiency effect, which cares the impact of risk distribution of borrowers on thedifficulties of screening and correctness of screening outcome under given level ofscreening investment. The former effect will stimulate banks’ risk level, while the latterwill benefit institutions’ stability. When the price elasticity of loan demand is low, thescreening efficiency effect dominates, i.e., competition and bank risk negativelycorrelates.
③In accordance with reform practice of interest rate marketization of Chinesebanking, this paper empirically studies the relationship between risk behavior andmarket competition in deposit and loan market respectively, that remedies theinadequacy of current domestic research which solely focus on the overall effect ofcompetition on bank risk, and extends the existing analysis and conclusion. In theempirical work on the deposit competition risk, the paper introduces the interbankwholesale funding condition into traditional empirical model, and examines theinterrelationship among retail deposit competition, wholesale funding and risk behaviorunder strict interest rate control, by precisely measuring the competitive pressure ofindividual bank from deposit market in the new framework design. The results mainlyshow that: in the time of strict interest rate regulation, the interest rate ceiling controlcouldn’t completely curb the risk motivation of banks, as a variety of non-price anddisguised-price competition, to some extent, still undermine banks’ stability. In theempirical work on the risk of loan competition, in view of the banks’ price competitivebehavior has become increasingly important in the process of loan interest ratemarketization, the paper estimates the price competitive pressure of individual bankaccurately, and examines the effect of loan price competition on risk behavior ofcommercial banks ever since the deregulation of credit autonomy, on the basis of adetailed analysis of the evolutionary path of status of market price competition in theprocess of interest rate marketization. The findings mainly show that: currently, in thelending market of China,“risk transfer effect” dominates as the overall level of pricecompetition is low, i.e., price competition help relieve the credit risk of banks. While at the same time, price competition has no significant effect on the control of banks’overall operational risk, owing to the capital requirement and limited influence of pricecompetition for a long time.
引文
①对各种非正式和正式结构方法的详细阐述，可参见Bikker和Haaf（2002）。
①详细改革内容参见付景远和宋士云（2010）。
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