中国货币政策风险承担渠道的实证研究
发布时间：2018-07-14 08:05
【摘要】：尽管当前人们对于货币政策传导的风险承担渠道了解得并不算全面与彻底,但越来越多的实证研究开始分析低利率水平与银行风险承担行为之间的关系,并试图去刻画风险承担渠道的具体特征。文章的实证分析使用1998~2012年中国银行业的年度数据,运用动态面板模型检验银行如何对货币政策立场的转变做出反馈并调整其承担风险的程度。除了验证中国货币政策的风险承担渠道之外,文章还从资本约束的角度分析了中国的银行在风险承担行为方面的异质性。研究结果显示,货币政策利率的下降将对银行的风险承担行为产生积极的缓解作用,而当货币政策利率低于某种基准利率时,其对银行的风险承担则将产生负面的刺激作用。此外,银行的资本状况确实影响到了货币政策的风险承担渠道。
[Abstract]:Although people do not have a comprehensive and thorough understanding of the risk-taking channel of monetary policy transmission, more and more empirical studies are beginning to analyze the relationship between the low interest rate level and the risk-taking behavior of banks. And try to depict the specific characteristics of risk-bearing channels. The empirical analysis uses the annual data of China's banking industry from 1998 to 2012 and uses the dynamic panel model to test how banks can make feedback on the change of monetary policy stance and adjust their risk-taking degree. In addition to verifying the risk-bearing channels of China's monetary policy, the paper also analyzes the heterogeneity of risk-bearing behavior of Chinese banks from the perspective of capital constraints. The results show that the decrease of the interest rate of monetary policy will have a positive mitigation effect on the risk-bearing behavior of banks, while when the interest rate of monetary policy is lower than a certain benchmark rate, it will produce a negative stimulus to the risk-taking of banks. Moreover, the bank's capital position does affect the risk-taking channel of monetary policy.
【作者单位】： 湖北经济学院金融学院;
【基金】：国家社会科学基金青年项目“金融危机视角下的中央银行资产负债表管理研究”(项目编号:13CJY124)的资助
【分类号】：F822.0
[Abstract]:Although people do not have a comprehensive and thorough understanding of the risk-taking channel of monetary policy transmission, more and more empirical studies are beginning to analyze the relationship between the low interest rate level and the risk-taking behavior of banks. And try to depict the specific characteristics of risk-bearing channels. The empirical analysis uses the annual data of China's banking industry from 1998 to 2012 and uses the dynamic panel model to test how banks can make feedback on the change of monetary policy stance and adjust their risk-taking degree. In addition to verifying the risk-bearing channels of China's monetary policy, the paper also analyzes the heterogeneity of risk-bearing behavior of Chinese banks from the perspective of capital constraints. The results show that the decrease of the interest rate of monetary policy will have a positive mitigation effect on the risk-bearing behavior of banks, while when the interest rate of monetary policy is lower than a certain benchmark rate, it will produce a negative stimulus to the risk-taking of banks. Moreover, the bank's capital position does affect the risk-taking channel of monetary policy.
【作者单位】： 湖北经济学院金融学院;
【基金】：国家社会科学基金青年项目“金融危机视角下的中央银行资产负债表管理研究”(项目编号:13CJY124)的资助
【分类号】：F822.0
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