货币政策、信贷质量与银行风险偏好的实证检验

发布时间：2018-03-20 00:36

本文选题：货币政策　切入点：风险偏好　出处：《国际金融研究》2011年12期 　论文类型：期刊论文

【摘要】：传统的货币理论忽视了货币政策与银行风险的关系,而次贷危机唤起了理论界对这种风险效应的思考。本文采用1999~2009年中国50家商业银行数据,考察货币政策对银行信贷质量与风险偏好的影响。研究发现,扩张性的货币政策会刺激银行风险,风险的动态性将其延续到货币政策的紧缩阶段,削弱货币政策的理论效力。不同银行会对货币政策冲击做出异质反应,资本充足率高、收入多元化的银行以及近年来发展迅速的城市商业银行更重视信贷质量,但却在风险效应中表现更为激进,这种异质反应进一步阻碍了货币政策效果的实现。上述结论说明,货币政策制定中应考虑这种风险效应的影响,并对不同风险特征的银行实施差别化监管。
[Abstract]:The traditional monetary theory ignores the relationship between monetary policy and bank risk, while the subprime mortgage crisis evokes the theoretical circle to think about the risk effect. This paper uses the data of 50 commercial banks in China from 1999 to 2009. This paper investigates the influence of monetary policy on bank credit quality and risk preference. It is found that expansionary monetary policy will stimulate bank risk, and the dynamic nature of risk will extend it to the stage of monetary policy tightening. Undercutting the theoretical effectiveness of monetary policy. Different banks respond to monetary policy shocks in a heterogeneous manner, with high capital adequacy, diversified income and, in recent years, urban commercial banks paying more attention to the quality of credit. However, it is more radical in the risk effect, which further hinders the realization of the monetary policy effect. The above conclusion shows that the impact of this risk effect should be considered in the monetary policy formulation. And different risk characteristics of banks to implement differential supervision.
【作者单位】：北京科技大学经济管理学院;
【基金】：何维达教授主持的国家社科基金重大项目“经济全球化背景下中国产业安全研究”(批准号:10zd&029)阶段性成果
【分类号】：F822.0;F832.4;F832.2;F224

【参考文献】