负利率政策对银行业的影响及对中国的启示

发布时间：2018-12-14 08:57

【摘要】：从2008年开始的全球金融危机以来,世界经济增长乏力。为了摆脱经济困境、刺激经济复苏,欧盟、日本、丹麦、瑞典、瑞士、匈牙利等国家和地区的中央银行纷纷采用非常规货币政策来应对危机,负利率政策就是其中一种重要的货币政策。分析负利率政策的理论共性,研究其对国内金融经济的一般影响,可以为我国利率市场化、数量型货币政策向价格型货币政策转型的改革提供经验参考和借鉴。本文主要从实证角度研究负名义利率的传导机制及其对银行业盈利和风险管控能力的影响,进而为中国制定货币政策、推进银行业改革提供借鉴。论文首先阐释了利率的本质、决定机制和常规利率政策的传导机制,分析了货币负价格的可能来源。在此基础上,论文分析了欧盟、日本、丹麦、瑞典、瑞士、匈牙利等国家和地区的中央银行负利率政策的实施情况。此外,选取了经济背景、利率环境最接近的其它G10成员国和澳大利亚作为参照对象,构建面板数据,分析各经济体负利率政策对短期市场利率、长期市场利率和利率期限结构的影响,发现其比常规利率政策的效应更加显著。研究表明,负利率政策对于银行业的影响来自于利率水平和利率期限结构两个因素,通过负利率经济体总体和代表性银行的数据证实了其负面效应:一是以本国汇率计价,利率政策看似提升了银行盈利能力,但是通过压低利率、改变利率期限结构(斜率更小)使其与其他经济体利差增大反而让美元汇率计价下的盈利状况恶化。实际上通过减少银行净利息收入和非利息收入使得银行股价下跌、盈利能力下降。二是负利率政策还通过改变银行信贷规模和资产质量而使银行风险积聚,通过风险准备金、拔备覆盖率等的提升进一步削弱银行盈利能力。负利率政策通过更有效地影响市场利率而改变银行行为,最终影响社会信贷总体规模和结构,使长短期投资结构得到重新配置,最终促进长期经济增长。因此,加快构建利率走廊机制、强化价格型调控,从而保持利率政策传导渠道畅通。保持适度宽松的货币政策有利于长期信贷扩张,未来负利率政策也可作为我国货币政策备选工具。
[Abstract]:Since the global financial crisis began in 2008, world economic growth has been sluggish. In order to get rid of economic difficulties and stimulate economic recovery, the central banks of the European Union, Japan, Denmark, Sweden, Switzerland, Hungary and other countries and regions have adopted unconventional monetary policies to deal with the crisis. Negative interest rate policy is one of the important monetary policies. By analyzing the theoretical generality of negative interest rate policy and studying its general influence on domestic financial economy, we can provide experience and reference for the reform of China's marketization of interest rate and the transformation of quantitative monetary policy to price monetary policy. This paper mainly studies the transmission mechanism of negative nominal interest rate and its impact on banking profitability and risk control ability from the perspective of empirical research, and then provides a reference for China to formulate monetary policy and promote banking reform. This paper first explains the nature of interest rate, the mechanism of determining and the transmission mechanism of conventional interest rate policy, and analyzes the possible source of negative price of currency. On this basis, the paper analyzes the implementation of the negative interest rate policy of the central banks of the European Union, Japan, Denmark, Sweden, Switzerland, Hungary and other countries and regions. In addition, other G10 members and Australia whose economic background and interest rate environment are closest to each other are selected to construct panel data to analyze the impact of negative interest rate policies on short-term market interest rates. The effect of long-term market interest rate and term structure of interest rate is more significant than that of conventional interest rate policy. The study shows that the negative interest rate policy influences the banking industry from two factors: the level of interest rate and the term structure of interest rate. The negative effects are confirmed by the data of the negative interest rate economy as a whole and the representative banks. Interest rate policy appears to have boosted banks' profitability, but by lowering interest rates and changing the term structure of interest rates (by a smaller slope), widening their spreads with other economies has worsened earnings in dollar terms. In fact, by reducing bank net interest income and non-interest income, the bank's share price fell and profitability decreased. Second, the negative interest rate policy also makes banks accumulate risks by changing the scale of bank credit and the quality of assets, and further weakens the profitability of banks through the increase of risk reserves, reserve coverage and so on. The negative interest rate policy changes the bank's behavior by influencing market interest rate more effectively, and finally affects the overall scale and structure of social credit, so that the long-term and short-term investment structure can be reallocated and the long-term economic growth will be promoted. Therefore, we should accelerate the construction of interest rate corridor mechanism, strengthen price regulation and control, so as to keep the transmission channel of interest rate policy unblocked. Maintaining a moderately loose monetary policy is conducive to long-term credit expansion, and the future negative interest rate policy can also be used as an alternative tool of monetary policy in China.
【学位授予单位】：外交学院
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F822.0

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