【摘要】 2015年存贷比不得超过75%的监管规定取消后，中国商业银行存贷比持续攀升现象引发了存贷比监管改革如何影响银行风险的思考。本文选取2013-2018年124家中国商业银行的微观面板数据，结合连续型DID和中介效应模型进行研究，结果表明：第一，存贷比监管改革降低了银行风险承担，说明此项改革与“防范系统性风险”目标一致；第二，存款竞争和影子银行业务的风险转移以及资产收益的风险吸收是三个重要的传导渠道；第三，异质性分析发现存贷比监管改革主要降低了资产规模不小于2000亿元的非国有银行风险承担；第四，银行信贷风险管理能力具有显著的调节作用，当银行信贷风险管理能力较差时，存贷比监管改革对银行风险承担施加了负向影响，表明存贷比监管改革有进一步优化的空间。本文为不断完善我国银行业监管改革提供了一定参考。更多还原

【Abstract】 Financial regulatory reform and bank risk prevention consistently attract substantial attention and have become strong protectors of stable national economies and social development. Under these circumstances, a slight change in the loan-to-deposit ratio reform(LDR), as one of China’s major financial regulatory reforms, could affect the entire reform program. Since June 2015, both the loan-to-deposit ratio and the non-performing loan(NPL) ratio have been climbing in the banking industry following the State Council’s “Amendment to the Commercial Bank Law(Draft),” which formally abolishes the requirement that the loan-to-deposit ratio should not exceed 75%. According to statistics from the China Banking and Insurance Regulatory Commission, the deposit-to-loan ratio of the entire banking industry exceeded 75% as of 2019, while the NPL ratio increased from 1% in 2013 to 1.87% in 2019. Those data challenge the financial regulatory reform, raising the question of whether the regulatory reform conflicts with the goal of “guarding the bottom line of systemic risk”. Accordingly, our innovative focus is the relationship between LDR regulatory reform and bank risk-taking, which is a matter of both theoretical and practical significance.We primarily explore the net effects of LDR regulatory reform on bank risk-taking and the transmission mechanism using micro panel data of 124 Chinese commercial banks from 2013-2018 and a continuous difference-in-differences(DID) and mediating effects model, which uses the regulatory reform as a quasi-natural experiment. Our main conclusions are as follows. First, the LDR regulatory reform reduces bank risk-taking, which implies that regulatory reforms of the deposit-to-loan ratio are consistent with the goal of “preventing systemic risk”. Second, both the theoretical and practical evidence support our key points. On the one hand, the rising NPL ratio is not caused by the regulatory reform, but by the macroeconomic downturn; on the other hand, the LDR regulatory reform reduces bank risk-taking through the three channels of the risk transfer of deposit competition, the risk transfer of shadow banking business, and the risk absorption of asset returns. Third, based on our heterogeneity analysis, the LDR regulatory reform primarily reduces the risk-taking of non-state-owned banks with assets of more than 200 billion yuan. Fourth, the LDR regulatory reform has a negative effect on bank risk-taking, which shows poor credit risk management capabilities, indicating that there is room for further optimization of regulatory reform according to the moderating effect analyses.Our marginal contributions are as follows. First, we evaluate the net effect of the LDR regulatory reforms on bank risk-taking for the first time and reveal the logic behind it. At the theoretical level, we further analyze the mechanism using the three channels to provide more detailed theoretical support than in the past and, to a certain extent, fill the gap in the literature on the relationship between China’s LDR regulatory reforms and bank risk-taking. At the practical level, we provide evidence for the regulatory reform of China’s deposit-to-loan ratio. Second, compared to the dichotomous DID, using the continuous DID to assess the policy effect can not only overcome the sample self-selection bias caused by grouping but also accurately characterize the relationship between the two methods given that the regulatory reform is a “one-size-fits-all” policy. We also provide focal suggestions from the perspectives of both regulators and commercial banks.First, regulators should build a dynamic reporting system for business data under the existing liquidity supervision system and establish a scientific evaluation system based on credit risk management capability that avoids a “one-size-fits-all” policy.Second, banks should actively construct a financial technology platform and improve their credit risk management system. Third, banks should optimize their internal risk control framework and establish a liquidity risk management committee to enhance the self-discipline mechanism. Fourth, banks should actively engage in social responsibility and allow their good reputation to play an active role in absorbing medium-and long-term deposits to provide sufficient capital for loans. Fifth, banks should use financial instruments such as asset securitization to transform illiquid medium-and long-term loans into liquid, highly creditworthy bond-type securities in the financial market to improve asset liquidity.更多还原