银行净息差的影响因素研究

1. Report Industry Investment Rating - The industry investment rating is Neutral (expected to perform within ±5% of the CSI 300 Index in the next 6 months) [100] 2. Core Viewpoints of the Report - The essence of the bank's net interest margin is the return on capital investment, with a cycle of 5 - 9 years. The main influencing factors are technology, capital, labor, corporate organizational efficiency, and the whole - society distribution relationship. In the long run, improving social distribution relations, increasing the KTI value - added ratio, and enhancing the unit output of labor through education to increase the proportion of high - value - added KTI services are effective. Monetary policy can significantly improve the real - economy's capital cost in the short cycle and boost the bank's net interest margin, but it won't affect the long - term trend [3][70]. - Economic short - cycle fluctuations can temporarily increase the bank's net interest margin under the following conditions: continuous 200BP reduction in policy rates, bottoming - out and recovery of both the real - estate and export - manufacturing sectors, and continuous improvement of leading indicators such as PPI turning positive and M1 year - on - year growth exceeding nominal GDP growth and maintaining this for at least one quarter [70][72][73] - Since 2020, the policy rate has been transmitted efficiently to the bank's asset side but poorly to the liability side, mainly due to the rigidity of deposit prices. To achieve "neutral" interest rate cuts, it is necessary to reduce the proportion of time deposits, crack down on high - interest deposit - soliciting, formulate a scientific loan - scale assessment mechanism, and maintain a necessary interest - rate cut rhythm [4][80][91] 3. Summary According to the Directory 3.1 What is the Essence of the Bank's Net Interest Margin? - The net interest margin is the ratio of a bank's net interest income to all interest - earning assets, a key indicator of a bank's profitability. It can be regarded as the return on debt - type capital investment. In a country, the trends of equity and debt investment returns are consistent [13] - The yields of Chinese and US government bonds are basically synchronized with ROIC, reflecting a country's capital return. Currently, China's government bond pricing matches the fundamentals, while US government bonds are attractively valued relative to the fundamentals [17] 3.2 What Factors Are Related to the Bank's Net Interest Margin? 3.2.1 Cycle - The cycle of the bank's net interest margin may be 5 - 9 years. Since 2006 in China and 1992 in the US, the net interest margin has been in a long - term downward trend. The net interest margin cycle in the US is about 6 - 9 years, and in China, it is about 5 - 7 years. In the past 20 years, China's net interest margin has rebounded in 2004 - 2008, mid - 2009 to Q3 2012, and Q1 2017 to 2019 [20][24] 3.2.2 Long - term Influencing Factors - The bank's net interest margin is related to technology, labor combination, and the whole - society organizational efficiency. China has an advantage in KTI manufacturing, while the US leads in KTI services. To improve the social investment return rate, it is necessary to increase the proportion of the KTI industry and the share of service - sector KTI [25][31] 3.2.3 Relationship with Fundamentals - Empirically, the correlation between the net interest margin and economic fundamentals is not significant. Economic expansion does not necessarily lead to an increase in the net interest margin. In the economic crisis, macro - policies can drive the net interest margin to bottom out and rebound [32][37] 3.2.4 Relationship with Policy Rates - In the US, before 2015, the net interest margin was often opposite to the policy rate; after 2015, they were in the same direction. In China, the net interest margin and the policy rate generally move in the same direction, but due to policy intensity and structural factors, the net interest margin has been difficult to rebound since 2020 [40][43][47] 3.2.5 Relationship with Prices - In the US, the net interest margin is inversely related to CPI and leads CPI by 2 - 4 quarters. In China, the net interest margin is positively related to PPI and has a certain leading effect. Since 2020, the decoupling of the net interest margin and PPI is due to supply - side impacts, uneven profit improvement among different sectors, and structural factors affecting the transmission of bank liability prices [48][50][55] 3.2.6 Impact of Land Finance and Export - Manufacturing Chains - In China, real - estate investment and export - manufacturing investment are positively correlated with the net interest margin. Real - estate investment and export - manufacturing investment can lead the net interest margin, but since 2020, due to real - estate de - leveraging, the net interest margin has continued to decline [65] 3.2.7 Relationship with M1 - M1 is an early leading indicator of the economy and may have a leading effect on the bank's net interest margin. However, the rebound of M1 from 2022 - 2023 did not achieve this effect. The absolute level of M1 year - on - year growth is more important, and whether M1 can exceed nominal GDP is a key indicator [69] 3.3 How to Achieve "Neutral" Interest Rate Cuts? - Since 2020, the policy rate has been transmitted efficiently to the bank's asset side but poorly to the liability side, mainly due to the rigidity of deposit prices. The reasons for deposit price rigidity include the trend of time - deposit conversion, price - transmission blockages, and the more rigid deposit costs of large - scale banks [80][81][90] - To achieve "neutral" interest rate cuts, it is necessary to reduce the proportion of time deposits, crack down on high - interest deposit - soliciting, formulate a scientific loan - scale assessment mechanism, and maintain a necessary interest - rate cut rhythm [91][92]