货币政策的银行风险承担传导渠道及其异质性的实证研究

发布时间：2018-01-01 23:00

本文关键词：货币政策的银行风险承担传导渠道及其异质性的实证研究　出处：《吉林大学》2017年硕士论文　论文类型：学位论文

【摘要】：2008年金融危机时期,各国政府当局通过采取降息降准等的政策手段在恢复经济发展的同时也催化了资产价格泡沫的产生以及刺激了证券化信贷产品风险的加剧,过度的杠杆率攀升导致了银行等金融机构积聚了高度的风险。长期过度宽松的货币政策被学者们当成导致本次金融危机爆发的重要缘由之一。至此,政府相关部门开始重点审视货币政策,重视关于货币政策对银行风险承担影响的研究。本文检验了货币政策对银行风险承担意愿的影响以及银行规模和银行特征指标变动对货币政策的银行风险传导渠道的影响,进一步验证了我国该渠道的存在性及其异质性,对于我国金融系统的长期稳定性具有一定的意义。在对银行风险承担变量、货币政策的银行风险承担传导渠道以及银行风险承担渠道的异质性等的相关文献进行了回顾的基础上,本文基于2007—2014年时期我国43家商业银行的年度平衡面板数据,用资产风险承担代理变量和负债风险承担代理变量来代替银行的风险承担变量,来分别检验货币政策的银行资产风险承担传导渠道和负债风险承担传导渠道的存在性及其异质性,以完善对货币政策及金融稳定性相关问题的探讨及加强对相关问题的重视程度,为我国实现货币政策与宏观审慎管理制度的协调一致提出建议,为我国商业银行异质性实施动态化和差别化的审慎监管提供支持。本文采用了Arllano and Bond(1991)所提出来的GMM一阶差分动态面板估计方法进行实证分析。最后,本文针对宏观审慎管理与货币政策相协调以及银行风险对货币政策冲击的反应方面对货币政策制定相关政府部门和银行提出了政策性建议。主要结论有:(1)货币政策对银行风险承担具有显著的影响,宽松的货币政策(低利率或高货币供应量)会引起商业银行加权风险资产比例上升,非存款负债比例下降。为了进一步验证实证结果是否稳健,文章最后以银行不良贷款率作为银行风险承担的代理变量对模型进行稳健性检验,发现结果仍然显著。(2)规模越大的商业银行,其加权风险资产比例越低,非存款负债比例越高,即资产风险承担越低,负债风险承担越高;资本充足率越高、流动性越大的银行,其加权风险资产比例和非存款负债比例都越低,即资产风险承担和负债风险承担都越低;商业银行盈利能力与资产风险承担负相关,与负债风险承担负相关但都不完全显著;非利息收入占比与资产风险承担有负相关但不显著,与负债风险承担存在显著正相关关系;成本收入比对风险承担影响较小且显著水平低。从宏观经济变量的角度来看GDP增长率和资本市场状况对银行风险承担具有较为显著的负面影响。(3)货币政策对银行风险承担的影响会因为资本充足率水平和资产规模不同的变动而发生变化。并且从总体上来说,资本充足率和银行规模对货币政策的风险承担传导渠道具有负影响。
[Abstract]:During the 2008 financial crisis, the authorities adopted the policy rate cut RRR means in the recovery of economic development at the same time is also a catalyst of creating asset price bubbles and securitization of credit products increased the risk of stimulation, excessive leverage rose to banks and other financial institutions have accumulated a high risk. Excessive loose monetary the policy by scholars as one of the important reasons leading to the outbreak of the financial crisis. So far, the relevant government departments began to focus on the review of monetary policy, emphasize the research on monetary policy to bear impact on bank risk. This paper examines the impact of monetary policy will take the risk of the bank and the bank size and bank characteristics change channel bank risk conduction on monetary policy, further verifies the existence of heterogeneity in this channel, for China's financial system Has certain significance of long-term stability of the system. In the bear variables on bank risk, the review of the basic literature assume the monetary policy transmission channel bank risk and bank risk taking channel heterogeneity and so on, in the 2007 - 2014 period of 43 Commercial Banks in China based on the panel data of the annual balance of assets, risk take the risk and debt risk proxy proxy variables to replace the bank's commitment variables, existence and heterogeneity of monetary policy to examine the risk of bank assets and liabilities risk borne transmission channels of transmission channels, to improve the study of monetary policy and financial stability issues and strengthen the degree of attention to the relevant problems, for coordinate the implementation of monetary policy and macro Prudential Management System of China's favorable suggestions for heterogeneity of China's commercial banks to implement dynamic Prudential Regulation and differentiation support. This paper uses the Arllano and Bond (1991) proposed a GMM order difference dynamic panel estimation methods for empirical analysis. Finally, based on macro Prudential Management and coordination of monetary policy and the impact of bank risk on the monetary policy response to the relevant government departments and banks the policy suggestions for the formulation of monetary policy. The main conclusions are: (1) monetary policy has a significant effect on bank risk-taking, loose monetary policy (low interest rate or high money supply) will cause the commercial bank risk weighted assets proportion, non deposit liabilities ratio decreased. In order to further verify the empirical results are robust. The robustness test of the model variables in the end of the paper, the bank non-performing loan ratio as the bank risk, found the result remains significant. (2) the greater the size of the business The bank, the ratio of risk weighted assets is lower, the higher the proportion of non deposit liabilities, asset risk is lower, the higher debt risk; capital adequacy ratio is higher, the greater the flow of bank, the ratio of risk weighted assets and non deposit liabilities ratio is lower, namely asset risk and debt risk take all the lower; commercial bank profitability assumes negative correlation with risk assets, bear the negative correlation but not completely with significant debt risk; the proportion of non interest income and asset risk bear the negative correlation but not significant, assume there is significant positive correlation with the debt risk; cost income ratio has little effect and significant risk low level. From the perspective of macroeconomic variables GDP growth rate and capital market conditions have a negative influence significantly on bank risk. (3) effect of monetary policy on bank risk-taking because of capital In addition, the capital adequacy ratio and the size of banks have a negative impact on the transmission channel of monetary policy risk taking.

【学位授予单位】：吉林大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F822.0;F832.33

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