我国商业银行风险承担对货币政策的实证研究

发布时间：2018-06-24 02:14

本文选题：货币政策 + 风险加权资产率　；参考：《天津财经大学》2014年硕士论文

【摘要】：2008年金融危机之后,银行的风险承担意愿开始受到学术界的广泛关注,它不仅涉及到货币政策的传导机制,而且对研究货币政策与金融稳定之间的关系具有重要意义。商业银行作为对资金进行优化配置和独立承担风险的个体,对货币政策效应起着举足轻重的作用。自2008年全球性金融危机之后,2010年出版的《巴塞尔协议Ⅲ》更加关注银行业的风险问题,明确银行风险承担意愿对货币政策传导过程的影响机理。因此,疏通传导渠道、掌握金融动态变化趋势将有利于进一步促进社会经济的可持续发展。文章在研究了各国学者关于银行风险承担意愿的不同学术观点之后,指出其中值得学习的地方和存在的局限性。首先,文章对风险、银行风险、银行风险承担等相关概念进行解释说明,并就文章研究所用到的货币政策理论进行了初步整理,提出主要观点,为实证研究做好理论铺垫。其次,从银行风险承担渠道和作用机制着手,重点分析和解释了风险承担渠道的四种作用机制,并结合我国实际情况,论证我国商业银行存在风险承担渠道；然后,选取货币供应量M2、同业拆借利率和风险加权资产率作为代理变量,收集我国16家上市银行的月度数据为样本数据,并将样本数据进行金融危机前后两个时间段的分割,同时构建2个时间序列模型VAR模型,分析变量之间的脉冲响应函数图和方差分解表进一步得出各变量之间的动态关系,对比分析这两个模型之间的不同之处。文章的研究结论如下：我国商业银行存在风险承担渠道,并且在金融危机前后表现各异,金融危机前,扩张性的货币政策会诱使银行在短期内大规模进行风险资产投资；金融危机后,短期内扩张性的货币政策效果不佳,银行风险承担意愿下降。在前文的分析和研究基础之上,文章从货币政策工具、中央银行的独立性、利率市场化和金融监管的角度为货币当局、商业银行等各个部门提出相关建议。并指出本文的研究不足之处。
[Abstract]:After the 2008 financial crisis, the risk bearing willingness of the bank began to receive extensive attention from the academic circle. It not only involves the transmission mechanism of monetary policy, but also is of great significance to the study of the relationship between monetary policy and financial stability. Policy effect plays an important role. Since the 2008 global financial crisis, the Basel Protocol III, published in 2010, pays more attention to the risk of the banking industry and makes clear the mechanism of the impact of the risk willingness of the bank on the transmission of monetary policy. Therefore, it will be beneficial to dredge the channel and grasp the trend of the financial dynamic change. Step by step promotes the sustainable development of the social economy. After studying the different academic views on the risk bearing willingness of the banks, the article points out the places and limitations which are worth learning. First, the article explains the related concepts of risk, bank risk, bank risk bearing and so on, and is used in the research of the article. The theory of monetary policy is preliminarily arranged and the main points of view are put forward to lay the theoretical foundation for the empirical research. Secondly, from the bank risk undertaking channels and the mechanism of action, the four mechanisms of risk bearing channels are analyzed and explained, and the risk bearing channels of China's commercial banks are demonstrated in combination with the actual situation in China. Then, we select the M2, the interbank lending rate and the risk weighted asset ratio as the proxy variables, collect the monthly data of the 16 listed banks in our country as the sample data, and divide the sample data into the two time periods before and after the financial crisis, and construct the 2 time series model VAR model, and analyze the impulse response function between the variables. The chart and variance decomposition table further draw the dynamic relationship between the variables, compare and analyze the differences between the two models. The conclusion of the article is as follows: the commercial banks of our country have the risk bearing channels, and their performance is different before and after the financial crisis. Before the financial crisis, the expansive monetary policy will induce the bank to be large in the short term. After the financial crisis, the short-term expansive monetary policy effect is not good and the risk bearing of the bank is reduced. On the basis of the analysis and research of the previous article, the article is from the monetary policy tool, the independence of the central bank, the interest rate marketization and the financial supervision, and the monetary authorities, commercial banks and other departments. The door puts forward relevant suggestions and points out the deficiency of this research.
【学位授予单位】：天津财经大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.33;F822.0

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