| Since China initiated the reform of interest rate marketization in 1996,until the "last boot" landed in 2015,interest rate marketization has successfully "soft landing".The formation of the interest rate market-based pricing mechanism has straightened out the signal transmission of different capital markets,strengthened the regulatory effect of monetary policy,and accelerated the development of the RMB's internationalization.At the same time,the sinking of interest rate pricing power to commercial banks has also aggravated the inter-bank market.Competition in the deposit and loan market.Then,whether the reform of interest rate marketization and the intensified competition among banks have led to the increase of banks' risk-taking,and what micro-mechanism is based on the impact of interest rate marketization on bank's risk-taking?Clarifying this issue will help improve the effect of the central bank's risk supervision,choose an appropriate entry point for risk control,and more fully assess the role of interest rate market-oriented reforms.To this end,this article attempts to reveal interest rate marketization along the causal logic chain of "interest rate marketization reform-changes in commercial bank deposit and loan spreads-changes in commercial banks' risk-taking" based on various tools such as equilibrium analysis and empirical testing.The actual impact and micro-effect path of individual risk and systemic risk-taking of commercial banks.The first issue that this article focuses on is the impact of interest rate marketization on commercial banks' deposit-loan spreads.In this regard,this article first constructed a market maker model and found that interest rate reform has intensified competition in the deposit and loan market of commercial banks.When price-based instruments with floating interest rates become the main way of competition,it will cause the continuous narrowing of commercial bank deposit and loan spreads.,Its actual strength of influence depends on the actual monopoly power,average capital cost and transaction opportunities of commercial banks.On this basis,this article constructed a comprehensive interest rate marketization index to accurately describe the complete characteristics of my country's interest rate marketization process,and then empirically tested the impact of interest rate marketization on the net interest margin of commercial banks.The conclusion shows that the impact of interest rate marketization on net interest margins presents a phased characteristic of"expanding,then stabilizing,and finally narrowing".The inflection point of the inverted U-shaped curve transition corresponds to an interest rate marketization index of 0.757,and the corresponding time point is 2012.This shows that in the stage of "deposit control and loan liberalization",the reform of interest rate marketization has actually enlarged the net interest margin of banks.With the complete disappearance of interest rate control in the deposit market,the impact of interest rate marketization on the net interest margin has shifted from expanding to narrowing..At the same time,the impact of interest rate liberalization on bank net interest margins varies significantly among different types of banks.For the five major state-owned banks,under the impact of interest rate marketization,the net interest margin did not fall but rose instead,and there was a feature of continuous expansion.However,joint-stock banks and many city commercial banks lacked non-interest business capabilities and debt cost transfer capabilities.Under the impact of chemical transformation,the net interest margin began to enter a narrowing channel after a short period of expansion,and finally presented an inverted U-shaped trajectory of "expanding and narrowing".The second issue that this article focuses on is the impact of interest rate marketization on the individual risk-taking of commercial banks and its micro-mechanism.For this reason,this article first decomposes the path of interest rate marketization that affects individual risk-taking into "changes in interest rate spreads" and "credit selection".",and constructed the Cournot equilibrium model and the intertemporal credit selection model to demonstrate the micro-influence mechanism.The conclusion of equilibrium analysis shows that,with the different historical stages of interest rate reforms of "dual limit on deposit and loan interest rates,liberalization of loan interest rates,and liberalization of deposit and loan interest rates",the individual bank's individual risk exposure has also shown the characteristics of inverted U-shaped changes of "decreasing and increasing".Fully independent pricing of deposits and loans has actually led to the continuous increase of individual risk-taking by commercial banks.At the same time,under the constraints of unoptimistic price competition expectations,commercial banks have the blind impulse of credit scale and the preference of high-risk credit customers.This kind of "credit adverse selection" ultimately leads to interest rate marketization and also leads to individual risks of commercial banks through the "credit selection" path.Increase in commitment.The empirical test of interest rate marketization and individual banks' individual exposure has confirmed that the impact of interest rate marketization on individual exposures of banks does have non-linear characteristics,which supports the conclusion of the aforementioned equilibrium analysis.Specifically,the primary term of the interest rate marketization index is significantly negatively correlated with the non-performing loans of commercial banks,but the secondary term is significantly positively correlated.The role of individual risk-taking will transition from the "risk transfer" effect to the "concession value" hypothesis.At the same time,interest rate marketization is also significantly negatively correlated with the income volatility risk of commercial banks.That is,interest has an ironing effect on the income volatility of commercial banks,but the ironing effect still has an inverted U-shaped transformation.Intensified price competition drives commercial banks to implement relative The radical and blind credit expansion ultimately reduced the stability of commercial banks' interest income.In addition,the impact of interest rate liberalization on commercial banks" credit default risks and income fluctuation risks is significantly different among different types of banks.The reform of interest rate liberalization will lead to continuous declines in the credit default risks and non-performing loan rates of large state-owned banks,but it will affect the shareholding system.Banks and city commercial banks have an influencing mechanism of"first suppress and then rise".Large state-owned banks can steadily release the cost pressure of the deposit market by relying on their advantageous market position,and the effect of credit transfer can continue to play.However,many small and medium-sized banks have to choose radical strategic preferences,making the credit transfer effect gradually substitute for the credit selection effect.In the end,large state-owned banks are"more competitive and more stable",while joint-stock banks and city commercial banks have fallen into a "more competitive and more vulnerable" deadlock in the market.At the same time,changes in interest rate spreads did partially mediate the impact of interest rate marketization on individual risk exposure of commercial banks.In the commercial bank default risk model,more than 75%of the impact of interest rate marketization on individual risks of commercial banks was released by the path of interest rate changes.In the income volatility risk model,the impact released through this path exceeds 95%,which means that the impact of interest rate marketization on the individual risk exposure of commercial banks is mainly released through changes in interest rates.The third issue that this article focuses on is the impact of interest rate marketization on commercial banks' systemic risks and the micro-mechanisms.For this reason,this article decomposes the impact of interest rate marketization on commercial banks' systemic risks into "changes in interest rate spreads" and "diversity".Investment" and demonstrated the existence of the above-mentioned micro-path through the construction of a balance sheet model and a Cournot equilibrium model.The conclusion shows that the impact of interest rate fluctuations and narrowing of interest spreads on banks has a continuous accumulation of systemic risks.Among them,lower interest rates increase systemic risks through changes in on-balance sheet liabilities,while rising interest rates will also aggravate systemic risks through competitive effects.Although the diversified investment of commercial banks is in line with the maximization of local asset returns,it will minimize the risk of deviation.With the support of lower credit spreads,the diversified investment strategy of banks will not amplify their own risk levels,but will lead to The level of systemic risk in the banking system has risen.Corresponding empirical tests have found that interest rate marketization is significantly positively correlated with commercial banks' systemic risks.This accumulation of risks is formed in the following ways:First,the narrowing of deposit and loan spreads raises individual risks of commercial banks.Systemic risk increments have been formed in the aggregate dimension;second,commercial banks have a willingness to"externalize individual risks" by increasing the correlation with other banks' risk assumptions and lower the risk of bankruptcy,which will accelerate the tendency of commercial banks' individual risks to become systemic.Transformation of risks;The third is to choose "diversified" operations to achieve the construction of new profitable businesses.However,blind and excessive diversification helps to reduce the individual risk exposure of banks,but the systemic risks of the banking system have been amplified.In addition,the deposit-loan spread has also become an intermediary variable for the marketization of interest rates affecting systemic risk-taking,with the intermediary effect reaching 63.29%.Finally,this article proposes relevant policy recommendations for strengthening the efficiency of individual and systemic risk management from two dimensions:the individual perspective of commercial banks and the regulatory perspective of the central bank.Competitive behavior of commercial banks shifts from price competition to service competition,accelerates business innovation,and strengthens individual risk management capabilities.At the same time,the implementation of measures such as the central bank's optimization of regulatory strategies,improvement of systemic risk early warning and evaluation platforms,and optimization of the deposit insurance system can indeed be effective Mitigating the risk impact of interest rate market reforms will also help interest rate reforms finally achieve a complete soft landing".The innovations of this paper are embodied in:First,it is based on a modified market maker model to achieve an equilibrium analysis of the changes in commercial bank spreads under the impact of interest rates;the second is based on the intermediary effect model,which portrays interest rates from the perspective of "interest spread changes" The impact mechanism and impact transmission process of marketization on individual and systemic risk-taking of commercial banks;third,from a heterogeneous perspective,based on inter-group estimation,described the differentiated competitive strategies of different types of commercial banks under the impact of interest rate marketization And heterogeneous influence,thus providing heterogeneous and targeted strategies for future risk supervision. |
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