货币政策对我国银行风险承担的影响研究
发布时间：2019-07-09 08:20
【摘要】：本轮金融危机爆发后，一些学者将危机归因于美联储实行的过于宽松的货币政策，他们认为，持续的低利率刺激了资产价格泡沫、信贷规模过度扩张，导致银行等金融机构的杠杆率越来越高，从而承担过多的风险，造成金融系统风险积聚，最终爆发危机。因此，金融危机后货币当局以及学者们开始重视货币政策对金融业稳定的影响。本文研究货币政策对我国银行风险承担的影响，对于维护金融业的稳定具有重要意义。 本文首先对银行风险承担的度量、银行风险承担的影响因素以及货币政策对银行风险承担影响的文献进行了回顾。其次，选取了银行破产风险Z-score、风险加权资产占比以及不良贷款率作为银行风险承担的代理变量，货币供应量M2的增速、一年期存款基准利率以及法定存款准备金率作为货币政策的代理变量，，选取我国14家上市银行2003-2012年的数据为研究样本，运用系统GMM方法实证检验了货币政策对我国银行风险承担的影响，并分析了宏观经济状况、银行业市场结构及银行特征变量等控制变量对银行风险承担的影响。第三，本文在验证了货币政策对我国银行风险承担影响的基础上，对货币政策的风险承担渠道的异质性进行检验，分析货币政策对银行风险承担的影响是否依赖于不同的资本充足率。最后，本文从货币当局制定和执行货币政策、搭配使用审慎监管以及商业银行应对风险方面提出了政策建议。 文章的结论主要有： （1）货币政策的银行风险承担渠道在我国是存在的，货币政策与银行风险承担之间呈现显著的负相关关系。宽松的货币政策会提高我国商业银行的风险承担意愿及水平，紧缩的货币政策会降低我国商业银行的风险承担意愿及水平。 （2）货币政策与银行风险承担关联的影响因素中，宏观经济环境越好，银行的风险承担越低；我国存在“竞争——稳定性”，市场竞争越激烈，银行的风险承担意愿越低；资本越充足、流动性比例越高的银行，其风险承担意愿及水平越低；银行的资产规模与其风险承担之间呈现负相关，但相关性较弱；银行的盈利性水平与风险承担之间关系具有不确定性。 （3）货币政策的银行风险承担渠道具有异质性。不同资本充足率银行的风险承担对于货币政策变动的反应不同，资本充足率越高的银行抵御货币政策冲击的能力越强，对货币政策变动的反应越不敏感。
[Abstract]:After the outbreak of the financial crisis, some scholars attributed the crisis to the Fed's overly loose monetary policy. They believed that the persistent low interest rates stimulated the asset price bubble, the excessive expansion of credit scale, resulting in higher and higher leverage ratio of banks and other financial institutions, thus taking on too many risks, resulting in the accumulation of risks in the financial system, and finally the outbreak of the crisis. Therefore, after the financial crisis, monetary authorities and scholars began to pay attention to the impact of monetary policy on the stability of the financial industry. This paper studies the influence of monetary policy on the risk taking of banks in China, which is of great significance to maintain the stability of the financial industry. First of all, this paper reviews the measurement of bank risk assumption, the influencing factors of bank risk assumption and the literature on the influence of monetary policy on bank risk bearing. Secondly, the bank bankruptcy risk Z score, the proportion of risk-weighted assets and the non-performing loan ratio are selected as the agency variables of bank risk taking, the growth rate of money supply M2, the benchmark interest rate of one-year deposit and Statutory deposit reserve ratio as the agency variables of monetary policy, and the data of 14 listed banks in China from 2003 to 2012 are selected as the research samples. This paper empirically tests the influence of monetary policy on bank risk undertaking in China by using systematic GMM method, and analyzes the influence of control variables such as macroeconomic situation, banking market structure and bank characteristic variables on bank risk undertaking. Thirdly, on the basis of verifying the influence of monetary policy on bank risk bearing in our country, this paper tests the heterogeneity of risk bearing channels of monetary policy, and analyzes whether the influence of monetary policy on bank risk bearing depends on different capital adequacy ratios. Finally, this paper puts forward some policy suggestions from the aspects of monetary authorities formulating and implementing monetary policy, using prudential supervision and commercial banks to deal with risks. The main conclusions of this paper are as follows: (1) the channel of bank risk bearing of monetary policy exists in our country, and there is a significant negative correlation between monetary policy and bank risk bearing. Loose monetary policy will improve the willingness and level of risk taking of commercial banks in China, and tight monetary policy will reduce the willingness and level of risk taking of commercial banks in China. (2) among the influencing factors of the relationship between monetary policy and bank risk taking, the better the macroeconomic environment, the lower the risk burden of banks; the "competition-stability" exists in our country, the fiercer the market competition, the lower the willingness of banks to take risks; the more adequate the capital and the higher the liquidity ratio, the lower the willingness and level of risk taking; There is a negative correlation between the size of banks' assets and their risk-taking, but the correlation is weak, and the relationship between the profitability of banks and risk-taking is uncertain. (3) the bank risk bearing channels of monetary policy are heterogeneous. Banks with different capital adequacy ratios have different responses to monetary policy changes. The higher the capital adequacy ratio, the stronger the banks' ability to resist the impact of monetary policy, and the less sensitive they are to monetary policy changes.
【学位授予单位】：中国矿业大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F822.0;F832.33
本文编号：2512013
[Abstract]:After the outbreak of the financial crisis, some scholars attributed the crisis to the Fed's overly loose monetary policy. They believed that the persistent low interest rates stimulated the asset price bubble, the excessive expansion of credit scale, resulting in higher and higher leverage ratio of banks and other financial institutions, thus taking on too many risks, resulting in the accumulation of risks in the financial system, and finally the outbreak of the crisis. Therefore, after the financial crisis, monetary authorities and scholars began to pay attention to the impact of monetary policy on the stability of the financial industry. This paper studies the influence of monetary policy on the risk taking of banks in China, which is of great significance to maintain the stability of the financial industry. First of all, this paper reviews the measurement of bank risk assumption, the influencing factors of bank risk assumption and the literature on the influence of monetary policy on bank risk bearing. Secondly, the bank bankruptcy risk Z score, the proportion of risk-weighted assets and the non-performing loan ratio are selected as the agency variables of bank risk taking, the growth rate of money supply M2, the benchmark interest rate of one-year deposit and Statutory deposit reserve ratio as the agency variables of monetary policy, and the data of 14 listed banks in China from 2003 to 2012 are selected as the research samples. This paper empirically tests the influence of monetary policy on bank risk undertaking in China by using systematic GMM method, and analyzes the influence of control variables such as macroeconomic situation, banking market structure and bank characteristic variables on bank risk undertaking. Thirdly, on the basis of verifying the influence of monetary policy on bank risk bearing in our country, this paper tests the heterogeneity of risk bearing channels of monetary policy, and analyzes whether the influence of monetary policy on bank risk bearing depends on different capital adequacy ratios. Finally, this paper puts forward some policy suggestions from the aspects of monetary authorities formulating and implementing monetary policy, using prudential supervision and commercial banks to deal with risks. The main conclusions of this paper are as follows: (1) the channel of bank risk bearing of monetary policy exists in our country, and there is a significant negative correlation between monetary policy and bank risk bearing. Loose monetary policy will improve the willingness and level of risk taking of commercial banks in China, and tight monetary policy will reduce the willingness and level of risk taking of commercial banks in China. (2) among the influencing factors of the relationship between monetary policy and bank risk taking, the better the macroeconomic environment, the lower the risk burden of banks; the "competition-stability" exists in our country, the fiercer the market competition, the lower the willingness of banks to take risks; the more adequate the capital and the higher the liquidity ratio, the lower the willingness and level of risk taking; There is a negative correlation between the size of banks' assets and their risk-taking, but the correlation is weak, and the relationship between the profitability of banks and risk-taking is uncertain. (3) the bank risk bearing channels of monetary policy are heterogeneous. Banks with different capital adequacy ratios have different responses to monetary policy changes. The higher the capital adequacy ratio, the stronger the banks' ability to resist the impact of monetary policy, and the less sensitive they are to monetary policy changes.
【学位授予单位】：中国矿业大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F822.0;F832.33
【参考文献】
相关期刊论文 前10条
1 吴俊;康继军;张宗益;;中国经济转型期商业银行资本与风险行为研究——兼论巴塞尔协议在我国的实施效果[J];财经研究;2008年01期
2 曹艳华;;资本监管压力下的商业银行风险承担行为——基于不同性质商业银行(2004～2007)的比较研究[J];金融论坛;2009年05期
3 梁艳;李爽;;银行业竞争对银行风险承担的影响研究[J];当代经济管理;2012年01期
4 于一;何维达;;货币政策、信贷质量与银行风险偏好的实证检验[J];国际金融研究;2011年12期
5 雷震;彭欢;;我国银行业改革与存贷款市场结构分析——基于推测变分的结构模型[J];管理世界;2009年06期
6 陈玉婵;钱利珍;;货币政策与银行风险承担[J];金融论坛;2012年04期
7 方意;赵胜民;谢晓闻;;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[J];管理世界;2012年11期
8 谭政勋;;银行规模、货币政策与风险承担[J];金融论坛;2013年06期
9 张强;张宝;;货币政策传导的风险承担渠道研究进展[J];经济学动态;2011年10期
10 蒋瑛琨 ,刘艳武 ,赵振全;货币渠道与信贷渠道传导机制有效性的实证分析——兼论货币政策中介目标的选择[J];金融研究;2005年05期
本文编号：2512013
本文链接：https://www.wllwen.com/jingjilunwen/guojijinrong/2512013.html
