我国货币政策对银行风险承担的影响研究

发布时间：2018-06-26 13:10

本文选题：货币政策 + 风险承担　；参考：《山西财经大学》2017年硕士论文

【摘要】：宏观经济学十分注重对货币政策传导机制的研究,可是,一直以来的研究忽视了风险因素在货币政策传导这一过程中发挥的作用。当2008年的金融危机蔓延全球时,众多金融机构由于承担了过多的风险而损失惨重,甚至破产倒闭。危机之下,一种新的货币政策传导渠道——银行风险承担渠道被提出。该理论认为,美国自2002年以来长期使用宽松的货币政策,持续的低利率使得银行等金融机构降低了借贷标准,金融体系中的风险逐渐累积至过量,最终酿成危机。由于提出时间不长,该理论虽引起学术界较大关注,但尚未形成一套成熟而完整的理论体系,且这一问题关乎货币政策与宏观审慎管理的搭配使用,关乎金融稳定,所以值得深入研究。本文以货币政策和银行的风险承担之关系为研究对象,首先对风险承担及货币政策的银行风险承担渠道等相关文献进行了全面概括性地梳理,然后对银行风险承担这一新渠道的传导路径做出细致划分,厘清货币政策对银行风险承担产生影响的理论机制——当实行宽松的货币政策时,商业银行最终会增大对风险的承担,为后文中的实证分析奠定了基础。在此基础上,以我国57家商业银行2007—2015年的非平衡面板数据为研究样本,构建包含银行微观特征和宏观经济变量的模型,利用系统GMM法,实证检验了我国货币政策的银行风险承担机制。实证结果表明:货币政策的风险承担渠道在我国同样成立,且银行风险具有延续性;货币政策和银行风险承担间存在显著的负相关关系;货币政策与银行风险承担间的关系受银行微观特征的影响,资产规模越大、盈利能力越强的银行,其风险承担往往较小,证明了逐利效应的存在。因此,为避免银行体系中积累过量的风险,应不断完善货币政策体系,提高货币政策的前瞻性,创新货币政策工具;增强银行的风险抵抗能力,加强对资本和流动性的管理;将宏观审慎管理工具和传统的货币政策工具相结合使用,不断加强我国的审慎监管水平。以此加强货币政策调控的有效性,防控信贷规模的过度扩张,最终促进银行业及金融业的稳定发展。
[Abstract]:Macroeconomics attaches great importance to the study of the transmission mechanism of monetary policy, but the study has neglected the role of risk factors in the transmission of monetary policy. When the 2008 financial crisis spread around the world, many financial institutions took too much risk and suffered heavy losses and even went bankrupt. Under the crisis, a new transmission channel of monetary policy-the risk-bearing channel of banks has been put forward. The theory holds that since 2002, the United States has been using loose monetary policy for a long time, and continued low interest rates have led banks and other financial institutions to lower lending standards, and the risks in the financial system have gradually accumulated to excessive levels, leading to a crisis. Although the theory has not been put forward for a long time, it has not yet formed a mature and complete theoretical system, which is related to the combination of monetary policy and macro-prudential management, as well as to financial stability. So it is worth studying deeply. In this paper, the relationship between monetary policy and risk assumption of banks as the research object, first of all, the risk taking and the banking risk bearing channels of monetary policy and other related literature are summarized. Then, the transmission path of the new channel of bank risk-taking is carefully divided to clarify the theoretical mechanism of the influence of monetary policy on the risk-taking of banks-when the monetary policy is loose, Commercial banks will eventually increase their risk commitment, which lays the foundation for the empirical analysis. On this basis, taking the non-equilibrium panel data of 57 commercial banks from 2007 to 2015 as the research sample, this paper constructs a model that includes the microscopic characteristics and macroeconomic variables of the banks, and makes use of the systematic GMM method. An empirical test of the monetary policy of China's banking risk-taking mechanism. The empirical results show that: the risk assumption channel of monetary policy is also established in China, and the bank risk has continuity, and there is a significant negative correlation between monetary policy and bank risk assumption. The relationship between monetary policy and bank risk assumption is influenced by the microcosmic characteristics of the bank. The larger the asset scale and the stronger the profitability, the smaller the risk bearing is, which proves the existence of profit banding effect. Therefore, in order to avoid excessive risk accumulation in the banking system, we should constantly improve the monetary policy system, improve the foresight of monetary policy, innovate monetary policy tools, strengthen the risk resistance of banks, and strengthen the management of capital and liquidity. Combining macroprudential management tools with traditional monetary policy instruments, we can continuously strengthen the level of prudential supervision in China. In order to strengthen the effectiveness of monetary policy control, prevent and control the excessive expansion of credit, and ultimately promote the stable development of banking and financial industry.
【学位授予单位】：山西财经大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F822.0

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