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77002008年国际金融危机后，中国银监会把债权激励作为银行业薪酬制度改革的重要方向。理论上讲，债权激励存在防范风险、稳定金融的作用；而现实中，债权激励是否降低了银行系统性风险，其影响机制如何？文章利用CoVaR方法，测度了中国上市银行的系统性风险，构建非观测效应面板模型分析了债权激励影响银行系统性风险的直接与间接效应。研究发现：（1）债权激励能够显著降低银行系统性风险，存在直接影响效应。（2）债权激励对银行系统性风险的间接影响效应有两种渠道：其一，通过缓解期限错配，弱化银行间借贷关联，抑制银行系统性风险；其二，提高非利息收入（尤其是手续费及佣金收入）占比，强化银行的收入稳定性，达到降低银行系统性风险的目的。而衍生金融工具对银行系统性风险的影响存在不确定性，原因在于监管部门和银行业对衍生金融工具的使用过于谨慎。文章的结论对于中国银行业薪酬激励方案改革、优化审慎监管方向、防范银行系统性风险具有重要的政策意义。
债权激励降低了银行系统性风险吗？
摘要
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引用本文
黄秀路, 葛鹏飞. 债权激励降低了银行系统性风险吗？[J]. 财经研究, 2018, 44(1): 47–60.
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