我国货币政策的银行风险承担研究

发布时间：2018-01-01 03:03

本文关键词：我国货币政策的银行风险承担研究　出处：《山东大学》2015年硕士论文　论文类型：学位论文

【摘要】：近年来,有关货币政策传导机制的研究逐渐成为宏观经济学的一个热点问题,并且已经取得了一定的成果。但是,这些传统的分析研究主要集中在货币渠道和信贷渠道方面,它们往往忽略了风险因素在货币政策传导渠道中的作用。然而,2007年次贷危机引发的全球金融危机,使人们意识到风险因素的重要性,并开始关注银行风险承担与货币政策之间的关系,认真梳理关于货币政策银行风险承担渠道的理论体系。重新审视这一传导机制的重大现实意义之后,我们发现,它对于货币当局如何制定货币政策促进经济增长并维持金融系统的稳定性至关重要。因此,深入研究探讨货币政策的银行风险承担渠道十分有必要。货币政策的银行风险承担渠道虽然早在2008年就已提出,但其研究较为分散,至今仍没有形成完整的理论体系。为了厘清这一机制,本文首先对货币政策传导机制的理论体系进行梳理和提炼,并借鉴国内外有关于此的实证研究进行回顾和总结,为之后的实证分析打下坚实的基础。然后,本文以中国20家商业银行2004年到2013年的年度数据为样本,通过静态面板数据模型和PVAR模型进行实证分析,来检验不同工具类型货币政策的银行风险承担渠道在中国是否存在,并且对数量型工具和价格型工具对货币政策银行风险承担渠道的贡献度大小进行比较。最后,基于实证分析结果,本文提出相应的政策建议,为促进我国经济的增长和金融系统的稳定提供参考意见。按照前面的研究思路,本文的组织结构如下：第一章对本文的研究背景、研究意义、研究思路、内容安排以及主要创新和不足之处进行了介绍。第二章对国内外文献进行了综述,分为两个部分,第一部分,通过货币渠道,信贷渠道和银行风险承担渠道三种机制对相关理论进行了梳理,并总结了相关的实证分析。第二部分,研究了货币政策的银行风险承担渠道的影响因素。第三章通过静态面板数据模型对不同工具类型货币政策的银行风险承担渠道的存在性进行检验。第四章通过PVAR模型对不同工具类型的货币政策对银行风险承担渠道的贡献度进行实证分析。第五章对实证分析进行总结,并在此基础上提出相应的政策建议。本文的研究证实了无论在数量型工具的货币政策条件下,还是在价格型工具的货币政策条件下,我国货币政策的银行风险承担渠道均是存在的,即银行风险承担与货币政策有着显著的负相关关系,宽松的货币政策会促进我国的商业银行承担更多的风险,这说明了货币政策是非中性的。同时通过方差分解,我们发现,数量型工具比价格型工具对货币政策银行风险承担渠道的贡献度更大一些。此外,本文还对银行层面特征变量以及宏观环境变量对银行风险承担的影响进行了实证分析和说明,结果发现,银行风险承担与其资本水平和流动性水平显著负相关,与其效率水平和盈利性水平显著正相关,与规模水平的相关性不强；宏观层面因素对银行风险承担有着负相关的影响关系。无论是GDP增长率还是宏观经济预期指数的提高,都会使银行风险承担意愿降低,这与我们之前的设想恰恰相反,有待我们做进一步研究和论证。
[Abstract]:In recent years, the research on the transmission mechanism of monetary policy has become a hot issue in macroeconomics, and has achieved certain results. However, analysis of these traditional research mainly focused on the monetary channel and credit channel, they tend to ignore the risk factors in the transmission channel of monetary policy in effect. However, the subprime mortgage in 2007 the global financial crisis triggered by the crisis, to make people aware of the importance of risk factors, and began to focus on the relationship between bank risk and monetary policy, the monetary policy theory system about bank risk taking channel. After careful review, of great practical significance to re-examine the conduction mechanism we find it for the monetary authorities to develop the monetary policy to promote economic growth and maintain the stability of the financial system is crucial. Therefore, in-depth study of the monetary policy of the bank It is necessary to assume the risk channels. The bank risk-taking channel of monetary policy had been proposed in 2008, but the research is scattered, has not formed a complete theoretical system. In order to clarify this mechanism, firstly the theoretical system of monetary policy transmission mechanism was summarized and refined, from home and abroad have reviews and summarizes the empirical studies on the empirical analysis, to lay a solid foundation. Then, based on the annual data of Chinese 20 commercial banks from 2004 to 2013 as a sample, makes an empirical analysis using static panel data model and PVAR model to test different tool types of bank risk-taking channel of monetary policy in Chinese exists, and the size of quantitative tools and price instruments of monetary policy of bank risk taking channel contribution were compared. Finally, based on empirical The results of the analysis, this paper puts forward the corresponding policy recommendations, provide a reference for promoting the growth of China's economy and the stability of the financial system. According to the research above, this paper is organized as follows: in the first chapter, the research background, the research significance, research ideas, content arrangement and main innovations and shortcomings are introduced. In the second chapter. The domestic and foreign literature, is divided into two parts, the first part, through the monetary channel, credit channel and bank risk taking channel three mechanisms of related theories, and summarizes the relevant empirical analysis. The second part of the monetary policy of Bank risk factors of channel effect the third chapter. Through the static panel data model for different types of tools of monetary policy on bank risk taking channel of inspection. In the fourth chapter, through the PVAR model for different industry With the type of monetary policy on bank risk taking channel's contribution for empirical analysis. The fifth chapter summarizes the empirical analysis, and on this basis, put forward the corresponding policy recommendations. This study confirmed that both in the number of tools of monetary policy conditions, or in the price of tools of monetary policy under the condition of me the bank risk-taking channel of monetary policy are exist, namely bank risk and monetary policy have a significant negative correlation, loose monetary policy will promote China's commercial banks to take more risks, which indicates that monetary policy is non neutral. At the same time, through the variance decomposition, we find that the number of type than the price based tools of monetary policy of bank risk taking channel contribution to a greater degree. In addition, the bank level variables and macro environment variables on bank risk bearing The empirical analysis and explanation, take influence results, bank risk and capital levels and liquidity level is significantly negative correlation, significant positive correlation with levels of efficiency and profit level, and the scale and level of the correlation is not strong; the macro level factors have a negative impact on the relationship of bank risk. Both the growth of GDP the rate or macroeconomic index is expected to improve, will make the bank risk will reduce, which we previously envisaged on the contrary, we need to do further research and demonstration.

【学位授予单位】：山东大学
【学位级别】：硕士
【学位授予年份】：2015
【分类号】：F822.0

【参考文献】