金融创新和商业银行风险承担①.PDFVIP

金融创新与商业银行风险承担① 刘京军 黎智滔 (中山大学岭南学院与中山大学转型与开放经济研究所，广州，510275) 内容提要：金融创新是新兴市场经济国家金融改革和发展的重要手段，在改善金融服务 和提高市场效率的同时，金融创新也扩大了风险来源和种类。伴随互联网金融扩张发展的货 币市场基金是金融创新的代表性产品，本文基于货币市场基金的相关数据构造了协议存款利 率考察其对商业银行风险承担的影响。研究结论显示：(1)在控制了宏观经济和银行特征等 变量后，货币市场基金的协议存款利率对银行风险承担有显著为正的影响，多项稳健性检验 仍支持该结论；(2)其次发现对于规模小、资本不够充足的银行，其风险承担受货币市场基 金的协议存款利率的敏感性更高；在宽松的货币政策环境下，银行风险承担受协议货币市场 基金的存款利率的敏感性更高；(3) 基于存款和贷款结构的分析，发现逐利效应，以及个人 存款转移的现象。本文以货币市场基金为突破口考察金融创新对传统商业银行的影响及其作 用机制，为考察金融创新的风险效应提供了一个新的视角。 关键词：金融创新、商业银行风险承担、货币市场基金 JEL 分类号：E44，G21，L14 Financial Innovation and Bank Risk-taking Abstract ：As an important method of emerging markets to financial reformation and development, financial innovation improves the service and market efficiency, as well as brings new risk. With the spread of “Internet Finance”, money market funds have become a representative of innovative financial product In China. Based on money market funds data, we constructed the agreement deposit rates(ADR) to investigate the influence to bank risk-taking. The results show that :(1) when controlling variables of macro-level and features of bank, ADR has significant positive effect on bank risk-taking ,and this conclusion remains in several robustness tests; (2) for banks which have smaller size, less adequate of capital, the sensibility between ADR and bank risk-taking is higher, and so it is when in the loose monetary policy; (3) based on analysis of loan and deposit structure, we found “Profit Effect” and the transfer of individual deposit. Taken the money market funds as the point of breaking-through, this paper studied the impact and mechanism of financial innovation to traditional commercial banks, and provided a new perspective in innovative financial risk research. Keywords ：Financial innovat