【摘要】 运用2013—2019年我国商业银行的微观数据,实证研究商业银行发行或有资本债券对银行系统性风险的影响,并进而考察其作用机制。研究结果显示,发行或有资本债券显著提高了我国商业银行的系统性风险,且存在以资本充足率和杠杆率为渠道的显著中介效应。进一步按银行规模分组研究发现,中小规模银行发行或有资本债券通过加大杠杆率而提高了系统性风险,大规模银行发行或有资本债券对系统性风险则无显著影响,因此全样本分析中发行或有资本债券对系统性风险的影响主要源于中小规模银行。基于银行盈利能力和银行关联性的异质性分析表明,盈利性更强的银行发行或有资本债券倾向于提高系统性风险;银行间负债更多的银行发行或有资本债券则对系统性风险的影响更小。更多还原

【Abstract】 Based on the firm-level data of Chinese commercial banks from 2013 to 2019, we empirically investigate the impact of contingent convertible bond issued by Chinese commercial banks on their systemic risk, and the inherent mechanisms are then explored. Empirical results indicate that the issuance of contingent convertible bond significantly increases the systemic risk in Chinese commercial banks, and there is a significant mediation effect that this functions by influencing banks’ capital adequacy ratio and leverage ratio. Grouped by bank size, it is found that the issuance of contingent convertible bond by small and medium-sized banks increases systemic risk by increasing their leverage ratio, while that by large banks has no significant impact on their systemic risk. Therefore, the impact of issuing contingent convertible bonds on systemic risk identified in the full sample mainly comes from small and medium-sized banks. Heterogeneous analysis based on bank profitability and bank connectedness shows that banks with stronger profitability tend to increase systemic risk by issuing contingent convertible bonds on a larger scale, while the impact is smaller for banks with more inter-bank liabilities.更多还原