货币政策传导渠道对商业银行风险影响实证分析

发布时间：2018-12-17 04:06

【摘要】：通过研究价格型和数量型两种货币政策工具对商业银行整体所面临的信用和流动性两类风险的作用效果表明,宽松的价格型货币政策在考虑经济波动时会总体上降低信用风险,经济周期波动因素使其增加了信用风险,且不考虑经济波动时也会不显著地增加信用风险;其扩张能直接显著增加商业银行流动性风险,在考虑经济周期时其作用却表现出不显著。数量型货币政策的扩张只能单独显著影响商业银行的信用风险,而不会依赖经济周期对信用风险发挥作用;但无论是否考虑经济周期的影响,其扩张都会加大商业银行的流动性风险。同时文章还验证了两种货币政策传导渠道对两类风险的冲击效应,结论是:价格型货币政策扩张不会立即显著影响信用风险,但会迅速增加流动性风险;数量型货币政策扩张会同时增加信用风险和流动性风险。研究表明,我国监管部门可以依据商业银行信用风险和流动性风险的状况以及宏观经济周期波动,分别采取不同货币政策类型进行对冲操作,从而达到有效降低金融体系风险的政策目标。
[Abstract]:By studying the effects of price and quantitative monetary policy tools on the credit and liquidity risks faced by commercial banks as a whole, it is shown that the loose price monetary policy will reduce the credit risk in general when considering the economic fluctuation. The factors of economic cycle fluctuation increase the credit risk, and the credit risk will not be significantly increased when the economic fluctuation is not taken into account. Its expansion can directly increase the liquidity risk of commercial banks, but it does not play a significant role when considering the economic cycle. The expansion of quantitative monetary policy can only significantly affect the credit risk of commercial banks, but not rely on the economic cycle to play a role in credit risk. However, whether or not the impact of the economic cycle is taken into account, its expansion will increase the liquidity risk of commercial banks. At the same time, the paper also verifies the impact effect of the two kinds of monetary policy transmission channel on the two kinds of risks. The conclusion is: the price monetary policy expansion will not affect the credit risk significantly immediately, but will increase the liquidity risk rapidly; Quantitative monetary policy expansion will increase both credit risk and liquidity risk. The study shows that China's regulators can take different types of monetary policy hedging operations according to the credit risk and liquidity risk of commercial banks as well as macroeconomic cycle fluctuations. In order to achieve the effective reduction of financial system risk policy objectives.
【作者单位】：武汉大学经济与管理学院;
【基金】：国家自然科学基金“基于流动性视角的资产定价模型重构研究(71471117)”
【分类号】：F822.0;F832.33

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