货币政策对银行风险承担的综合效应分析——兼论化解银行风险的货币政策选择

发布时间：2018-03-29 21:12

本文选题：银行风险承担　切入点：综合效应　出处：《中央财经大学学报》2017年06期

【摘要】：本文通过构建模型,区分了货币政策对银行风险承担的两个渠道。研究发现货币政策对银行风险承担的最终影响取决于两种效应的相对大小:当逐利效应占优时,降低基准利率能够提高银行盈利能力,降低银行风险承担水平;当杠杆效应占优时,降低基准利率则会促使银行扩大信贷规模,降低信贷标准,提高银行的风险承担水平。进一步地,本文基于银行业整体层面构建了货币政策银行风险承担综合效应指数,利用GMM方法实证检验了不同货币政策对综合效应的影响,并利用VAR模型研究了不同货币政策与综合效应之间的动态联系。最后,本文在厘清货币政策对综合效应的作用效果的前提下,给出了化解银行风险承担的货币政策选择策略。
[Abstract]:This paper builds a model, the distinction between the two channels of monetary policy on bank risk. The study found that the relative size of the monetary policy on the final effect of bank risk depends on two kinds of effects: when the profit effect is dominant, lower the benchmark interest rate can improve bank profitability, reduce the level of bank risk; when the lever is dominant when the lower the benchmark interest rate will encourage banks to expand the scale of credit, reduce the credit standards, improve the bank's risk level. Further, the overall level of the banking industry is constructed based on the bank monetary policy risk comprehensive effect index, using GMM method to empirically test the impact of monetary policy on the comprehensive effect, and the use of VAR model study on the dynamic relationship between the different monetary policy and comprehensive effect. Finally, the effect of monetary policy to clarify the comprehensive effect of the former In addition, it gives the strategy of monetary policy choice to resolve the risk bearing of the bank.

【作者单位】：西安交通大学经济与金融学院;
【基金】：国家社会科学基金项目:“基于能源和环境约束的我国工业全要素生产率研究”(项目编号:13BJY073)
【分类号】：F820;F830

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