货币政策工具类型、资本充足水平与银行风险承担——基于面板门限回归模型分析

发布时间：2018-09-12 08:46

【摘要】：首先建立数量型和价格型货币政策工具银行风险承担的理论框架,然后选取我国100家商业银行2011—2016年的面板数据进行实证分析,以检验数量型和价格型货币政策工具银行风险承担渠道是否存在及其差异性。研究发现:无论是数量型还是价格型货币政策工具均存在银行风险承担渠道,且存在门限效应;价格型货币政策工具对银行的风险传导效应和非对称性均强于数量型;中小银行或资本充足率较低的银行对货币政策更为敏感。对此,央行在运用不同类型货币政策时应当关注银行的风险承担问题,在银行资本充足率普遍下降的情况下,加快推动数量型货币政策工具向价格型货币政策工具转变,同时强化对中小银行或低资本水平银行的监管力度,采取积极有效的措施及时防范和化解金融风险,特别是构建多元化的资本补充机制和创新资本工具,尽快提高资本充足水平和优化资本结构。
[Abstract]:Firstly, the theoretical framework of quantitative and price-based monetary policy instruments is established, and then the panel data of 100 commercial banks in China from 2011-2016 are selected for empirical analysis. In order to test the quantitative and price monetary policy instruments, banks risk-bearing channels exist and their differences. It is found that both quantitative and price monetary policy instruments have risk bearing channels and threshold effect, and that the price monetary policy instruments have stronger risk conduction effect and asymmetry than quantitative monetary policy instruments, and the risk conduction effect of price monetary policy instruments is stronger than that of quantitative monetary policy instruments, and the risk conduction effect and asymmetry of price monetary policy instruments are stronger than that of quantitative monetary policy instruments. Smaller banks or banks with lower capital ratios are more sensitive to monetary policy. In view of this, when applying different types of monetary policies, the central bank should pay attention to the risk bearing of banks, and speed up the transformation of quantitative monetary policy instruments to price monetary policy instruments when the capital adequacy ratio of banks is generally declining. At the same time, we should strengthen the supervision of small and medium-sized banks or banks with low capital level, and take active and effective measures to prevent and defuse financial risks in a timely manner, especially to build a diversified capital replenishment mechanism and innovative capital tools. We will raise the level of capital adequacy and optimize the capital structure as soon as possible.
【作者单位】：中国工商银行;
【分类号】：F822.0;F832.33

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