张海军

摘 要：影响商业银行利差的因素也是影响商业银行利率定价的因素。理论层面将竞争因素引入Monti-Klein模型中，分析银行融资成本对存款和贷款利率的影响，研究认为银行的最优存贷利率不仅仅取决于边际成本，还取决于竞争对手的融资成本。实证层面通过构建Panel-VAR模型研究银行融资成本和垄断势力对净利差的影响，结果表明：银行的显性融资成本对净利差存在显著的负向影响，而隐性融资成本对银行的净利差存在着正向影响，大型银行追求最优利差过程中处于相对劣势地位。因此，应拓展非利息收入业务，完善利率定价机制，培育风险管理人才，以实现商业银行的可持续发展。

关 键 词：净利差；融资成本；Monti-Klein模型；Panel-VAR模型

中图分类号：F830.33 文献标识码：A 文章编号：2096-2517（2017）02-0039-07

Research on the Impact of Commercial Banks Financing Costs on Net Interest Rate

——An Empirical Study Based on PVAR Model

Zhang Haijun

（Fujian Normal University， Fuzhou 350108， China）

Abstract： Factors affecting commercial banks interest spread are also factors affecting commercial banks pricing of interest rate. At the theoretical level， the competition factor is introduced into the Monti-Klein model to analyze the impact of the banks financing cost on the deposit and the loan interest rate. The study concludes that banks optimal deposit and loan interest rate depends not only on the marginal cost but also on the financing cost of the competitors. The empirical results show that the cost of the banks explicit financing has a significant negative impact on the net profit margin， and the implied financing cost has positive impact on the net interest spread of the bank. Large banks are in a disadvantageous position while pursuing optimal interest spread. Therefore， it is necessary for commercial banks to expand non interest income， improve interest rate pricing mechanism， foster risk management personnel so as to achieve sustained development.

Key words： net spread； financing cost； Monti-Klein model； Panel-VAR model

一、引言

存贷利差是商业银行主要的利润来源，近年来我国商业银行的利差有一个明显先上升后下降的趋势， 拐点出现在2012年附近（见图1），这主要受贷款利率市场化进程加快的影响。从历次利率调整不难发现，商业银行对存款利率浮动上限的调整反应迅速，并且中小型商业银行在利率选择上傾向于“高息揽储” 策略， 大型银行则相对保守。 李宪铎（2014）认为，存款保险制度的推出决定了商业银行自负盈亏，商业银行存款端的竞争加剧，中小银行的存款利率将有可能高于行业平均水平，加大银行的融资成本负担[1]。但也有学者认为，利差缩小的趋势难以避免， 但受限于资产负债和融资成本的影响，短期内并不会引起价格战。……