我国货币政策风险承担渠道传导效率研究——基于流动性监管的实证分析

发布时间：2019-03-06 11:08

【摘要】：近年来,流动性管理引起了监管机构的重视,本文使用我国113家商业银行1998~2014年度非平衡面板数据,研究流动性覆盖率(LCR)和净稳定资金比例(NSFR)这两个流动性监管指标对银行风险承担渠道传导效率的影响。实证结果表明:我国银行风险承担渠道存在,宽松的货币政策会激发银行的风险承担,并且流动性监管的加强也会增强货币政策风险承担渠道的传导效率。从银行微观特征看,流动性监管对货币政策风险承担渠道传导效率的影响在中等规模的银行中更加显著。
[Abstract]:In recent years, liquidity management has attracted the attention of regulators. This paper uses the unbalanced panel data of 113 commercial banks in China in 1998 / 2014. The effects of liquidity coverage (LCR) and net stable fund ratio (NSFR) on the transmission efficiency of banks' risk-bearing channels were studied. The empirical results show that there are risk-bearing channels in China's banks, and loose monetary policy will stimulate the risk-taking of banks, and the strengthening of liquidity supervision will also enhance the transmission efficiency of risk-bearing channels of monetary policy. From the micro-characteristics of banks, the influence of liquidity supervision on the transmission efficiency of risk-bearing channels of monetary policy is more significant in medium-sized banks.
【作者单位】：中国人民大学财政金融学院;天津财经大学经济学院;
【基金】：教育部人文社会科学重点研究基地重大项目(11JJD790009) 中国人民大学2016年度拔尖创新人才培育资助项目
【分类号】：F822.0

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