暨南学报(哲学社会科学版)

作者：廉永辉

单位：首都经济贸易大学金融学院讲师,研究方向:金融风险管理。

关键词：批发融资,系统性风险,银行资本,市场流动性

基金：国家自然科学基金项目“债券投资如何影响商业银行系统性风险——基于系统性风险‘冲击—传染’二元生成机制的视角”(批准号:71903136)。

本文应用我国2007—2019年32家上市银行季度数据,实证检验批发融资对银行系统性风险的影响。结果发现,批发融资降低了商业银行个体风险,但增加了银行个体与系统的关联性,综合效应提升了银行系统性风险。进一步分析发现,市场流动性冲击能够加强批发融资对银行个体与系统关联性的提升作用,从而增加批发融资的系统性风险效应;银行资本比率能够增强批发融资对银行个体风险的缓释能力、减弱批发融资对银行个体与系统关联性的提升作用,从而降低批发融资的系统性风险效应;此外,银行资本也有助于减轻流动性冲击对批发融资系统性风险效应的加剧作用。"/>template{display:none;}.mag-rich-xref-fn { cursor: pointer;}//长视频$(document).ready(function(){if($("#showLongArticleVideo") && $("#showLongArticleVideo").length && $("#showLongArticleVideo").length>0){mag_ajax_update({ele_id:'showLongArticleVideo',url:mag_currentQikanUrl() + "/CN/article/showLongArticleVideo.do?id="+$("#articleId").val()});}});$(document).ready(function(){window.metaData = {"journal":{"issn":"1000-5072","qiKanMingCheng_CN":"暨南学报（哲学社会科学版）","id":2,"qiKanMingCheng_EN":"Jinan Journal"},"fundList_cn":["国家自然科学基金项目“债券投资如何影响商业银行系统性风险——基于系统性风险‘冲击—传染’二元生成机制的视角”(批准号:71903136)。"],"article":{"keywordList_cn":["批发融资","市场流动性","系统性风险","银行资本"],"juan":"42","zhaiyao_cn":"本文应用我国2007—2019年32家上市银行季度数据,实证检验批发融资对银行系统性风险的影响。结果发现,批发融资降低了商业银行个体风险,但增加了银行个体与系统的关联性,综合效应提升了银行系统性风险。进一步分析发现,市场流动性冲击能够加强批发融资对银行个体与系统关联性的提升作用,从而增加批发融资的系统性风险效应;银行资本比率能够增强批发融资对银行个体风险的缓释能力、减弱批发融资对银行个体与系统关联性的提升作用,从而降低批发融资的系统性风险效应;此外,银行资本也有助于减轻流动性冲击对批发融资系统性风险效应的加剧作用。","endNoteUrl_en":"https://jnxb.jnu.edu.cn/skb/EN/article/getTxtFile.do?fileType=EndNote&id=6401","reference":"","bibtexUrl_cn":"https://jnxb.jnu.edu.cn/skb/CN/article/getTxtFile.do?fileType=BibTeX&id=6401","abstractUrl_en":"https://jnxb.jnu.edu.cn/skb/EN/Y2020/V42/I5/94","qi":"5","id":6401,"nian":2020,"bianHao":"2020-5-94","zuoZheEn_L":"LIAN Yonghui","juanUrl_en":"https://jnxb.jnu.edu.cn/skb/EN/Y2020","shouCiFaBuRiQi":"2020-09-23","qiShiYe":"94","qiUrl_cn":"https://jnxb.jnu.edu.cn/skb/CN/Y2020/V42/I5","lanMu_cn":"经济·管理","pdfSize":"711","zuoZhe_CN":"廉永辉","risUrl_cn":"https://jnxb.jnu.edu.cn/skb/CN/article/getTxtFile.do?fileType=Ris&id=6401","title_cn":"批发融资增加了银行系统性风险吗？——基于系统性风险分解的视角","jieShuYe":"108","keywordList_en":["bank capital","market liquidity","systemic risk","wholesale funding"],"endNoteUrl_cn":"https://jnxb.jnu.edu.cn/skb/CN/article/getTxtFile.do?fileType=EndNote&id=6401","zhaiyao_en":"Based on the quarterly data of 32 listed banks in China from 2007 to 2019, this paper empirically tests the impact of wholesale funding on bank systemic risk and its components. The results show that wholesale funding reduces banks’ individual risk, but increases the correlation between the individual and the system, and has a positive comprehensive effect on the banks’ systemic risk. In addition, the further analysis suggests that liquidity shock can strengthen the role of wholesale funding in promoting the correlation between individual and banking system, thus increasing the systemic risk effect of wholesale funding. The banks’ capital ratio can enhance the ability of wholesale funding to mitigate banks’ individual risk, and weaken the ability of wholesale funding to enhance the correlation between individual and banking system, to reduce the systemic risk effect of wholesale funding. In addition, bank capital also helps to mitigate the aggravating effect of liquidity shocks on the systemic risk effect of wholesale funding.","bibtexUrl_en":"https://jnxb.jnu.edu.cn/skb/EN/article/getTxtFile.do?fileType=BibTeX&id=6401","abstractUrl_cn":"https://jnxb.jnu.edu.cn/skb/CN/Y2020/V42/I5/94","zuoZheCn_L":"廉永辉","juanUrl_cn":"https://jnxb.jnu.edu.cn/skb/CN/Y2020","lanMu_en":"","qiUrl_en":"https://jnxb.jnu.edu.cn/skb/EN/Y2020/V42/I5","zuoZhe_EN":"LIAN Yonghui","risUrl_en":"https://jnxb.jnu.edu.cn/skb/EN/article/getTxtFile.do?fileType=Ris&id=6401","title_en":"Does Wholesale Funding Increase Commercial Banks’ Systemic Risk?: A Perspective of Systemic Risk Decomposition","hasPdf":"true"},"authorNotes_cn":["廉永辉,首都经济贸易大学金融学院讲师,研究方向:金融风险管理。"]};if(window.metaData && (!window.metaData.authorNotesCommon_cn && !window.metaData.authorNotesCorresp_cn && window.metaData.authorNotes_cn)){window.metaData.authorNotesCommon_cn = window.metaData.authorNotes_cn;}if(window.metaData && (!window.metaData.authorNotesCommon_en && !window.metaData.authorNotesCorresp_en && window.metaData.authorNotes_en)){window.metaData.authorNotesCommon_en = window.metaData.authorNotes_en;}var _nlmdtdXml = $("#article_nlmdtdXml").val();var magDir = _nlmdtdXml.replace(/\/[^\/]+$/,'');window.metaData.magDir = magDir;new mag_vue({ el: '#metaVue', //dataUrl: mag_currentQikanUrl() + '/EN/article/getRichHtmlJson.do?articleId='+$("#articleId").val(), data:window.metaData, loading:true, doTextFun:function(text){ return doDataJsonText(text); 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来源：2020年第5期

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