货币环境、资本充足率与商业银行风险承担

发布时间：2018-03-07 02:32

本文选题：货币政策　切入点：资本充足率　出处：《金融研究》2012年07期 　论文类型：期刊论文

【摘要】：本文基于1998～2010年期间59家商业银行的微观数据,采用GMM动态面板估计方法实证检验了中国货币政策对银行风险承担的影响,验证了货币政策传导的银行风险承担渠道假说。实证结果显示:(1)货币政策与银行风险承担变量呈显著负相关关系,收入和估值效应、收益搜寻动机、竞争效应3种子机制均存在;(2)规模越大、资本越充足的银行,其风险承担行为对货币政策的敏感性越低;(3)与传统货币政策非对称性理论结论不同的是,扩张性货币政策对银行风险承担的激励作用强于紧缩性货币政策的约束作用。为避免银行体系风险的过度积聚,政策当局可考虑银行业资本充足状况与宏观经济环境,搭配使用传统货币政策与宏观审慎管理工具;加快利率市场化步伐,弱化国内银行的信贷扩张冲动,是提高货币政策调控有效性和实现金融稳定的必要途径。
[Abstract]:Based on the microcosmic data of 59 commercial banks from 1998 to 2010, this paper empirically examines the impact of Chinese monetary policy on the risk-taking of Chinese banks by using GMM dynamic panel estimation method. The empirical results show that there is a significant negative correlation between monetary policy and bank risk-bearing variables, income and valuation effects, income search motivation. The larger the scale and the more abundant the capital, the lower the sensitivity of risk-taking behavior to monetary policy, and the different from the conclusion of traditional asymmetric theory of monetary policy. In order to avoid excessive accumulation of risks in the banking system, the policy authorities may consider the capital adequacy of the banking sector and the macroeconomic environment, in order to avoid excessive accumulation of risks in the banking system. It is necessary to improve the effectiveness of monetary policy and realize financial stability by using traditional monetary policy and macroprudential management tools, speeding up the pace of interest rate marketization and weakening the credit expansion impulse of domestic banks.
【作者单位】：复旦大学金融研究院;
【基金】：国家自科基金(70903013,70973028) 上海市晨光计划项目(09CG05)的阶段性成果
【分类号】：F822.0;F832.33;F224

【参考文献】