A Study on the Profitability of the Commercial Bank in Terms of Interest Rate Marketization : Based on FMOLS Model

다국어 초록 (Multilingual Abstract)

Purpose – As an important participant in the financial markets, the commercial bank will be impacted by the interest rate marketization. Owing to the special condition of China, this paper tries to explore the impact of operating mechanisms between interest rate marketization and the profitability of the commercial Bank.
Research design, data and methodology – This paper applies time series data from 2005 to 2016. Due to the short period of time series, autocorrelation often occurs. Therefore, the fully modified least squares(FMOLS) will be used to conduct an empirical analysis. The reason is that it can move off the autocorrelation between variables and disturbance term. And FMOLS also can make estimated cointegrating parameters closed to normal distribution. More importantly, in order to avoid spurious regressions, the Augmented Dickey-Fuller Test will be used to verify the stationarity of all variables. The total return of asset is treated as the profitability of commercial bank. The net interest spread is treated as a measurement of interest rate marketization. Both are regarded as dependent variables. The non-interest income or gross revenues and impaired loans or gross loans are treated as independent variables. The sixteen representative listed commercial banks are divided into three categories (state-owned, share-holding and city-owned) to conduct an estimation.
Results – Via empirical analysis, the findings show that the net interest spread has a positive effect on the profitability of the commercial bank. More specifically, 1% increase in the net interest spread will lead 0.157% increase in the profitability of state-owned commercial bank, 0.269% increase in the profitability of share-holding commercial bank and 0.263% increase in the profitability of city-owned commercial bank. If regarding the sixteen listed commercial city as a whole, 1% increase in the net interest spread will lead 0.267% increase in the profitability of the commercial bank.
Conclusions – As the interest rate marketization, the importance of interest rate on the profitability of commercial bank has become more and more significant. The empirical evidences also prove that the net interest spread can bring about the change of the commercial bank’s profitability. Therefore, policy-makers of commercial banks should fully understand the operating mechanism between them.

목차 (Table of Contents)

• Abstract
• 1. 서론
• 2. 선행연구
• 3. 연구방법론
• 3.1. 금리 시장화의 과정
• 3.2. 상업은행의 수익현황
• 3.3. 금리 시장화가 상업은행 수익성에 미치는 영향
• 4. 연구결과
• 4.1. 변수
• 4.2. 모형의 설정
• 4.3. 분석결과
• 5. 결론 및 시사점
• References