我国货币政策对商业银行风险承担行为影响研究

发布时间：2018-03-10 06:29

本文选题：货币政策　切入点：商业银行　出处：《首都经济贸易大学》2017年硕士论文　论文类型：学位论文

【摘要】：金融危机发生后,金融监管部门和经济学界开始极度关注整个银行业的稳定性。部分研究学者认为此次金融危机是由长期实施宽松的货币政策导致,资产价格持续上升、贷款规模迅速扩张、进而引起金融机构承担的风险不断集聚,造成整个金融市场崩溃,如股市或债市暴跌。央行的流动性管理目的在于服务最终调控目标,在宏观上需要与经济增长、通胀形势以及货币信贷投放相匹配,微观上则需要考虑金融市场波动、金融业务创新、财政收支变化、地方政府债券发行、金融监管新规等多种因素的影响和扰动。作为反思2008年国际金融危机教训的主要成果,全球主要经济体都在构建宏观审慎政策与货币政策相结合的框架,旨在维持货币价值稳定和金融稳定。良好的货币环境有助于宏观审慎政策降低系统性金融风险发生的可能性,宏观审慎政策也有利于货币政策进行有效调控,而两者相互补充和相互促进。利率是货币的价格,商业银行作为经营货币的主要金融机构,央行的货币政策调控措施必然会对银行业的风险承担产生重要影响。因此,货币政策在传导过程中对银行风险水平的影响,是商业银行在经营管理中应该重点关注的问题。然而纵观国内外相关货币政策传导渠道的研究成果,银行风险承担行为在银行风险管理的文献研究中较为缺乏。目前的银行经营管理策略大多数都着眼于银行自身微观指标的监控,却忽视了货币政策通过宏观货币政策环境对银行风险水平的作用渠道,而且一个完整的银行风险承担渠道包括货币政策对银行风险承担的影响和银行风险承担变化对贷款数量的影响两个阶段,而现有学者大多侧重于第一阶段的研究。本文选取2006-2015年14家上市银行的数据作为研究样本,从实证角度出发,利用不良贷款率、风险加权资产作为因变量,验证货币政策是否会对银行风险行为产生影响。实证结果表明:我国货币政策对金融机构的影响机制中确实存在银行风险承担渠道假说,并且货币政策的相关经济变量与银行的风险承担意愿存在着明显的反向变动关系,银行风险承担对其信贷投放有着显著的反向影响。最后结合实证结果分析控制变量如宏观经济状况、银行业的结构变量及银行特征变量等对银行风险承担的影响。
[Abstract]:After the financial crisis, financial regulators and economists began to pay great attention to the stability of the banking sector as a whole. Some researchers believe that the financial crisis was caused by the long-term implementation of loose monetary policies, and asset prices continued to rise. The rapid expansion of loans leads to a constant concentration of risks borne by financial institutions, leading to the collapse of the entire financial market, such as the stock or bond markets, where central bank liquidity management is designed to serve the ultimate regulatory objective. At the macro level, we need to match economic growth, inflation and money and credit. At the micro level, we need to consider fluctuations in financial markets, innovation in financial business, changes in fiscal revenues and expenditures, and issuance of local government bonds. As a major result of the reflection on the lessons of the international financial crisis in 2008, major economies around the world are building a framework for the integration of macroprudential and monetary policies. The purpose is to maintain the stability of monetary value and financial stability. A good monetary environment is conducive to reducing the possibility of systemic financial risks arising from macro-prudential policies, which are also conducive to effective monetary policy control. The interest rate is the price of money. As the main financial institution operating money, the monetary policy control measures of the central bank will inevitably have an important impact on the risk bearing of the banking industry. The influence of monetary policy on the risk level of banks in the transmission process is a problem that commercial banks should pay more attention to in the course of operation and management. However, the research results of the transmission channels of monetary policy at home and abroad are reviewed. The risk bearing behavior of banks is scarce in the literature of bank risk management. At present, most of the bank management strategies focus on the monitoring of banks' own micro indicators. But has neglected the monetary policy through the macroscopic monetary policy environment to the bank risk level function channel, Moreover, a complete channel for taking risks in banks includes two stages: the impact of monetary policy on banks' risk-taking and the impact of changes in bank risk-taking on the amount of loans. In this paper, the data of 14 listed banks from 2006 to 2015 are selected as the research samples, using non-performing loan ratio and risk-weighted assets as dependent variables from an empirical point of view. The empirical results show that there is a hypothesis of banking risk-bearing channel in the mechanism of monetary policy's influence on financial institutions. Moreover, there is an obvious reverse relationship between the relevant economic variables of monetary policy and the willingness of banks to take risks. Finally, the paper analyzes the influence of control variables such as macroeconomic conditions, banking structure variables and bank characteristics variables on the risk taking of banks.
【学位授予单位】：首都经济贸易大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F822.0;F832.33

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