我国货币政策的银行风险承担效应研究——基于中观层面的结构视角

发布时间：2018-04-17 19:26

本文选题：货币政策 + 风险承担　；参考：《当代经济科学》2017年06期

【摘要】：货币政策与金融稳定的关系在后金融危机时代受到广泛关注,催生货币政策风险承担渠道成为研究热点。学术界对货币政策风险承担效应缺乏理论模型研究,而实证研究集中在银行、贷款等微观层面,极个别考虑了银行业宏观层面,但缺乏中观层面的结构视角分析。本文构建的资产组合理论框架表明,宽松的货币政策会通过加大商业银行的风险偏好和风险资产的风险溢价两种途径加大商业银行的风险承担。基于我国商业银行体系分产业、分行业、分省、分机构的逐步回归和可变系数回归等实证分析,验证了货币政策银行风险承担效应的存在,并测出了分产业、分行业、分省、分机构的结构性差异。
[Abstract]:The relationship between monetary policy and financial stability has received extensive attention in the post-financial crisis era.There is a lack of theoretical model to study the risk-bearing effect of monetary policy in academia, while empirical research focuses on the micro level of bank, loan and so on, and very few of them consider the macro level of banking, but it lacks the structural analysis of meso-level.The theoretical framework of portfolio theory in this paper shows that the loose monetary policy will increase the risk assumption of commercial banks by increasing the risk preference of commercial banks and the risk premium of risk assets.Based on the empirical analysis of industry, industry, province, and variable coefficient regression of commercial banking system in China, the paper verifies the existence of risk bearing effect of monetary policy banks, and measures the existence of industry, industry, province, etc.The structural differences between the two institutions.
【作者单位】：武汉大学经济与管理学院;中国建设银行湖北省分行;
【基金】：教育部哲学社会科学研究重大课题攻关项目“经济发展新常态下我国货币政策体系建设研究”(15JZD013)
【分类号】：F822.0;F832.33

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