货币政策对商业银行风险承担的非对称影响研究

发布时间：2018-01-02 12:36

本文关键词：货币政策对商业银行风险承担的非对称影响研究　出处：《天津财经大学》2015年硕士论文　论文类型：学位论文

【摘要】：席卷全球的金融危机以来,关于银行信贷风险防范和信贷质量问题越来越受到监管部门和各业内人士的关注。一直以来,货币政策都是世界各地政府控制经济和宏观调控的重要手段,人们普遍认为金融危机的一个重要原因在于由于美国长期以来的低利率与宽松的货币政策,由此产生的“银行风险承担渠道理论”也开始成为学者研究讨论的重点。在我国,货币政策对商业银行风险水平是否产生影响,以及如何产生影响都是亟待讨论的问题。这直接关系到金融行业甚至整个实体经济的稳定发展。本文首先是对商业银行风险承担理论和货币政策非对称性理论进行了总结和概括,系统的阐述了货币政策对银行风险承担水平的影响。其次,基于2005年-2013年我国各大上市商业银行的面板数据,运用广义矩估计方法,对商业银行风险承担渠道理论进行了实证检验。进一步通过建立VAR模型验证了货币政策对银行风险承担的非对称性影响。实验结果表明：风险渠道理论在我国银行业市场基本成立,货币政策主要通过估值机制和逐利机制对我国商业银行风险承担产生影响,竞争机制作用不明显,这也与我国银行业自身特点有关。宏观经济情况、银行业竞争情况和银行自身情况均对银行风险产生影响。货币政策对宏观经济带来的影响效果具有非对称性特征,扩张的货币政策作用明显且时效性强,紧缩的货币政策影响范围较小且具有一定时滞性。银行业竞争和银行资本水平也会在不同程度上影响这种非对称性。实证结论提示我们,货币管理当局、监管部门和商业银行都应当重视货币政策实施对银行业带来的冲击,谨慎使用货币政策调节工具。同时在银行风险管理的过程中应充分考虑货币政策因素,提高风险管理能力。三方共同努力,实现货币政策调节与金融业稳定之间的平衡,促进金融业平稳有序发展。
[Abstract]:Since the global financial crisis, the bank credit risk prevention and credit quality issues have been more and more concerned by the regulators and the industry. Monetary policy is an important means for governments all over the world to control the economy and macro-control. It is generally believed that an important reason for the financial crisis lies in the low interest rates and loose monetary policies of the United States for a long time. Therefore, the theory of "the channel of banking risk-bearing" has also become the focus of scholars' research and discussion. In China, monetary policy has an impact on the risk level of commercial banks. And how to produce the influence is an urgent problem to be discussed. This is directly related to the stable development of the financial industry and even the whole real economy. This paper first introduces the theory of risk-bearing of commercial banks and the asymmetric theory of monetary policy. It's a summary and a summary. Secondly, based on the panel data of the major listed commercial banks in China from 2005 to 2013, we use the generalized moment estimation method. This paper empirically tests the theory of risk-taking channel of commercial banks, and further verifies the asymmetric influence of monetary policy on the risk-taking of banks through the establishment of VAR model. The experimental results show that:. Risk channel theory is basically established in China's banking market. Monetary policy mainly through the valuation mechanism and the mechanism of profit banding on the risk of commercial banks in China, the role of the competition mechanism is not obvious, which is also related to the characteristics of the banking industry in China. Macroeconomic situation. The effects of monetary policy on macro-economy are asymmetric, and the effect of expanding monetary policy is obvious and time-effective. The impact of tight monetary policy is relatively small and has a certain delay. Banking competition and bank capital level will also affect this asymmetry in varying degrees. The empirical results suggest that monetary management authorities. Regulators and commercial banks should pay attention to the impact of the implementation of monetary policy on the banking industry, carefully use monetary policy adjustment tools. At the same time, we should fully consider the monetary policy factors in the process of bank risk management. Improve the ability of risk management, make joint efforts to achieve the balance between monetary policy regulation and financial industry stability, and promote the smooth and orderly development of the financial industry.
【学位授予单位】：天津财经大学
【学位级别】：硕士
【学位授予年份】：2015
【分类号】：F822.0;F832.33

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