货币政策风险承担渠道存在性研究——基于新型银行同业业务的视角

发布时间：2018-05-24 21:00

本文选题：商业银行 + 货币政策　；参考：《技术经济与管理研究》2017年07期

【摘要】：文章建立了货币政策风险承担渠道的数理模型,并创新地将存款准备金率和银行新型同业业务引入到模型中,证明了在存在资本约束和不存在资本约束的条件下,央行宽松的货币政策都会鼓励商业银行增加新型银行同业业务,使得商业银行承担更高的风险。文章还基于2007-2014年我国14家上市商业银行的年度数据,采用动态面板数据广义矩估计法(GMM),得出的结论证实了货币政策风险承担渠道的存在性。此外,经过实证检验得出资产规模越小、资产充足率越低、盈利能力越弱的商业银行分别在存贷款利率以及存款准备金率下调的情况下,商业银行越倾向于从事创新型银行同业业务。因此,研究建议监管部门注重货币政策与宏观审慎政策的协调,加强监管部门的合作,加快利率市场化改革,完善利率定价机制。
[Abstract]:In this paper, the mathematical model of the risk bearing channel of monetary policy is established, and the deposit reserve ratio and the new type of interbank business are introduced into the model innovatively. It is proved that under the condition of capital constraint and no capital constraint, The central bank's loose monetary policy encourages commercial banks to increase new interbank business, making them more risky. Based on the annual data of 14 listed commercial banks in China from 2007 to 2014, this paper uses the generalized moment estimation method of dynamic panel data to prove the existence of monetary policy risk assumption channel. In addition, the empirical test shows that the smaller the asset size, the lower the asset adequacy ratio, and the weaker the profitability, the lower the deposit and loan interest rates and the lower the required reserve ratio. Commercial banks are more inclined to engage in innovative interbank business. Therefore, the research suggests that the supervision department should pay attention to the coordination of monetary policy and macro-prudential policy, strengthen the cooperation of supervision department, speed up the reform of interest rate marketization, and perfect the pricing mechanism of interest rate.
【作者单位】：北京大学光华管理学院;华夏银行博士后科研工作站;
【基金】：全国第60批博士后基金资助项目(2016M600833)
【分类号】：F822.0;F832.2

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