货币政策对商业银行风险承担力影响的实证研究

发布时间：2018-06-20 18:06

本文选题：货币政策 + 银行　；参考：《山东大学》2017年硕士论文

【摘要】：普遍认为2008年经济危机爆发是全球性的低利率、货币扩张导致的。在我国,扩张性的货币政策也一直被执行,我国的货币政策的传导也是通过银行传导到金融市场的各个角落。在扩张的货币政策背景下,对银行的风险承受能力有什么影响,一直是学术界讨论的话题,也存在争论,本文将在已有研究的基础上重点进行实证方面的深入分析。本文将首先从理论上分析了货币政策对银行风险承担力。分析主要从两方面进行:一是传统的货币政策传导机制,二是银行的风险承担理论。2008年经济危机之前,主要是传统的货币政策传导机制,传统货币政策传导机制认为:银行在货币政策传导过程中,只是中介作用,不承担货币风险。但是在2008年经济危机中,银行业的倒闭和托管等现象,无法用传统的理论解释。而银行风险承担理论认为银行在货币政策的传导过程中是风险的最终承担者,这似乎合理解释了经济危机中银行业衰退的现象。为了验证以上观点,本文进行了实证分析。主要研究了两方面问题:货币政策对银行风险承担的异质性和对称性。异质性研究,是通过数据,分析不同银行受货币政策的影响的不同。主要是依赖于银行的资产规模和资本充足率。对称性是指宽松或者紧缩的货币政策对银行风险承担的影响的程度是否对称。紧缩的货币政策对银行的风险承担力的影响程度会更大。本文通过GMM 一阶差分的动态面板模型,对数据进行处理,最终结果表明,银行的风险承担力具有异质性特点,依赖于银行资产规模以及资本充足率,与资产规模和资本充足率具有正相关关系;银行的风险承担力对货币政策的表现具有非对称性,紧缩的货币政策对银行风险承担力的影响程度更大。根据研究结果,从银行监管者角度出发,不同货币周期中,特别应该对银行信贷标准和表外业务进行动态监管。也对银行的资产规模、资本充足率和风险偏好等指标进行动态监管。制订合理的银行退出机制,防止大而不倒的现象。同时从银行自身角度出发,应该对自身风险科学有效的管理,根据对货币政策的预期,适当的调整经营计划合理的管控风险。
[Abstract]:It is widely believed that the 2008 economic crisis was caused by low global interest rates and monetary expansion. In our country, the expansionary monetary policy has been carried out all the time, and the transmission of our monetary policy is also transmitted to every corner of the financial market through the bank. In the context of expanding monetary policy, what impact on the risk bearing capacity of banks has always been a topic of discussion in academia, there are also arguments, this paper will focus on empirical analysis on the basis of existing research. This article will first theoretically analyze the monetary policy to the bank risk bearing power. The analysis is mainly carried out from two aspects: one is the traditional transmission mechanism of monetary policy, the other is the risk-bearing theory of banks. Before the 2008 economic crisis, it was mainly the traditional transmission mechanism of monetary policy. The traditional transmission mechanism of monetary policy holds that banks play an intermediary role in the transmission of monetary policy and do not bear monetary risks. However, in the 2008 economic crisis, banking failure and custody, and other phenomena, can not be explained by traditional theory. However, the theory of bank risk-taking holds that the bank is the ultimate bearer of the risk in the transmission of monetary policy, which seems to explain the phenomenon of banking recession in the economic crisis. In order to verify the above views, this paper carries out an empirical analysis. This paper mainly studies two problems: the heterogeneity and symmetry of monetary policy to the risk bearing of banks. The heterogeneity study is based on data to analyze the differences between different banks affected by monetary policy. Mainly depends on the bank's asset size and capital adequacy ratio. Symmetry refers to whether the degree of influence of loose or tight monetary policy on the risk bearing of banks is symmetrical. Tighter monetary policy will have a greater impact on banks' risk-bearing capacity. In this paper, the GMM first order difference dynamic panel model is used to deal with the data. The final results show that the bank's risk-taking capacity is heterogeneous and depends on the bank's asset size and capital adequacy ratio. There is a positive correlation with the size of assets and capital adequacy ratio, the risk bearing capacity of banks is asymmetric to the performance of monetary policy, and the impact of tight monetary policy on the risk bearing capacity of banks is greater. According to the results, the bank credit standards and off-balance-sheet business should be regulated dynamically in different monetary cycles from the perspective of bank regulators. The bank's asset size, capital adequacy and risk appetite are also monitored dynamically. Develop a reasonable exit mechanism to prevent the phenomenon of large and not fail. At the same time, from the point of view of the bank itself, we should manage our own risk scientifically and effectively, and adjust the management plan reasonably according to the expectation of monetary policy.
【学位授予单位】：山东大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F822.0;F832.33;F272.35

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