货币政策的银行风险承担分析——兼论货币政策与宏观审慎政策协调问题

发布时间：2018-05-16 10:25

本文选题：货币政策 + 银行风险承担　；参考：《管理世界》2012年11期

【摘要】：本文通过利用我国72家商业银行2003～2010年面板数据研究了货币政策的银行风险承担问题。实证结果表明:(1)我国的货币政策影响了银行的风险承担,且资本充足率在其中起重要作用。在资本充足率高时,货币政策与银行风险承担呈负向关系;随着银行资本充足率的降低,风险转移效应逐渐增强,货币政策与银行风险的负向关系逐渐减弱,甚至会转为正向关系。(2)资本充足率主要影响风险转移效应,且影响呈非线性关系,其对负相关效应几乎无影响。(3)货币政策与宏观审慎政策是互补还是替代关系,不仅依赖于经济运行状况,也依赖于银行的资本充足率。本文的实证结果对于不同的银行风险承担变量、不同的资本充足率分位数、静态面板与动态面板均表现出高度的稳健性。基于实证结果,本文详细分析了货币政策与宏观审慎政策的协调问题。
[Abstract]:By using the panel data of 72 commercial banks in China from 2003 to 2010, this paper studies the bank risk bearing problem of monetary policy. The empirical results show that China's monetary policy affects the risk-taking of banks, and the capital adequacy ratio plays an important role in it. When the capital adequacy ratio is high, there is a negative relationship between the monetary policy and the risk bearing of the bank, and with the decrease of the capital adequacy ratio, the risk transfer effect increases gradually, and the negative relationship between the monetary policy and the bank risk gradually weakens. The capital adequacy ratio mainly affects the risk transfer effect, and the influence is nonlinear, which has little effect on the negative correlation effect. (3) whether the monetary policy and the macroprudential policy are complementary or substitute. It depends not only on the performance of the economy, but also on the capital adequacy ratio of the banks. The empirical results of this paper show a high degree of robustness for different bank risk-bearing variables, different capital adequacy quantiles, static panels and dynamic panels. Based on the empirical results, this paper analyzes the coordination of monetary policy and macroprudential policy in detail.
【作者单位】：南开大学经济学院金融学系;
【基金】：南开大学基本科研业务费专项资金项目《中国宏观审慎政策与金融稳定》(NKZXA1111)的资助
【分类号】：F822.0;F832.1;F224

【参考文献】