银行资本和流动性双重约束下的货币政策传导——基于风险承担渠道的中国实证
|
摘要
随着国际银行业进入资本和流动性双重约束的新阶段,两者的合成效应必将导致银行的微观经营特征发生调整和变异,并可能会导致基于银行传导的货币政策效应发生变化。本文基于2010-2015年期间我国50家商业银行的微观数据,采用一阶系统GMM方法实证检验了银行资本和流动性双重约束下货币政策风险承担渠道的变化,以此探究银行资本和流动性双重约束对货币政策传导的冲击和影响。研究结果表明:(1)资本和流动性双重约束下的银行风险承担继续存在,但其合成效应导致银行风险承担意愿有所减弱;(2)不同类型、强度的货币政策在资本和流动性双重约束下通过银行微观特征对风险承担渠道的影响效果并非对称。因此,监管当局和货币政策当局应关注监管政策调整对货币政策传导的扰动,在宏观审慎监管政策与货币政策的冲突和协调中重构货币政策体系,以货币政策的针对性和协同性提升货币政策的有效性。
With the banking industry stepping into the new stage of dual constraints of capital and liquidity,the synergy effect will lead to adjustment of micro-management characteristics of banks,and it may bring about changes of monetary policy effect through bank transmission channel. Based on the data of 50 commercial banks in China from 2010 to 2015,One-Step System GMM method is used to test the changes of the risk-taking channel of monetary policy under the double constraints,so as to explore the influence of the double constraints on monetary policy transmission.The results show that:( 1) Under the new regulatory framework,risk-taking channel of China's monetary policy still exists,while the synergy effect of dual constraints weakens risk-taking of the banks;( 2) Under different monetary policies,the influence of bank's micro-characteristics on the risk-taking channels is asymmetric. Therefore,the regulatory and monetary authorities should focus on the regulatory policy to adjust the disturbance of monetary policy transmission,and reconstruct the monetary policy system considering the conflict and coordination between macro-prudential supervision and monetary policy,in order to promote the effectiveness of monetary policy with its relevance and synergy.
With the banking industry stepping into the new stage of dual constraints of capital and liquidity,the synergy effect will lead to adjustment of micro-management characteristics of banks,and it may bring about changes of monetary policy effect through bank transmission channel. Based on the data of 50 commercial banks in China from 2010 to 2015,One-Step System GMM method is used to test the changes of the risk-taking channel of monetary policy under the double constraints,so as to explore the influence of the double constraints on monetary policy transmission.The results show that:( 1) Under the new regulatory framework,risk-taking channel of China's monetary policy still exists,while the synergy effect of dual constraints weakens risk-taking of the banks;( 2) Under different monetary policies,the influence of bank's micro-characteristics on the risk-taking channels is asymmetric. Therefore,the regulatory and monetary authorities should focus on the regulatory policy to adjust the disturbance of monetary policy transmission,and reconstruct the monetary policy system considering the conflict and coordination between macro-prudential supervision and monetary policy,in order to promote the effectiveness of monetary policy with its relevance and synergy.
引文
1.陈一洪、洪文培,2016:《城商行收入结构多元化能够提高其绩效吗》,《珞珈管理评论》第1期。
2.代军勋、陶春喜,2016:《资本和流动性双重约束下的商业银行风险承担》,《统计研究》第12期。
3.黄宪、熊启跃,2013:《银行资本缓冲、信贷行为与宏观经济波动---来自中国银行业的经验证据》,《国际金融研究》第1期。
4.金鹏辉、张翔、高峰,2014:《银行过度风险承担及货币政策与逆周期资本调节的配合》,《经济研究》第6期。
5.李天宇、冯叶、张屹山,2017:《宏观审慎政策的信号识别、规则确立与传导路径分析》,《经济评论》第5期。
6.刘明宇,2013:《银行资本水平与货币政策非对称性的实证研究》,《经济评论》第1期。
7.刘晓欣、王飞,2013:《中国微观银行特征的货币政策风险承担渠道检验---基于我国银行业的实证研究》,《国际金融研究》第9期。
8.马理、黄宪、代军勋,2013:《银行资本约束下的货币政策传导机制研究》,《金融研究》第5期。
9.潘敏、张依茹,2012:《宏观经济波动下银行风险承担水平研究---基于股权结构异质性的视角》,《财贸经济》第10期。
10.徐明东、陈学彬,2012:《货币环境、资本充足率与商业银行风险承担》,《金融研究》第7期。
11.姚舜达、朱元倩,2017:《货币政策、流动性约束与银行风险承担---基于面板门限回归模型》,《金融评论》第2期。
12.Boissay,F.,and F.Collard.2016.“Macroeconomics of Bank Capital and Liquidity Regulations.”BIS Working Papers,No.596.
13.Borio,C.,and H.Zhu.2008.“Capital Regulation,Risk-taking and Monetary Policy:A Missing Link in the Transmission Mechanism?”BIS Working Papers,No.268.
14.Buch,C.M.,S.Eickmeier,and E.Prieto.2014.“In Search for Yield?Survey-based Evidence on Bank Risk Taking.”Journal of Economic Dynamic&Control 43(2):12-30.
15.Covas,F.,and J.C.Driscoll.2014.“Bank Liquidity and Capital Regulation in General Equilibrium.”FEDSWorking Paper,No.85.
16.Delis,M.D.,and G.P.Kouretas.2011.“Interest Rates and Bank Risk-taking.”Journal of Banking&Finance35(4):840-855.
17.De Nicolo,G.,A.Gamba,and M.Lucchetta.2012.“Capital Regulation,Liquidity Requirements and Taxation in a Dynamic Model of Banking.”IMF Working Paper,No.72.
18.Ghosh,S.2016.“Capital Buffer,Credit Risk and Liquidity Behaviour:Evidence for GCC Banks.”Comparative Economic Studies 58(4):539-569.
19.Groot,O.2014.“The Risk Channel of Monetary Policy.”FEDS Working Paper,No.31.
20.Jimenez,G.,S.Ongena,J.L.Peydro,and J.Saurina.2014.“Hazardous Times for Monetary Policy:What Do 23Million Bank Loans Say about the Effects of Monetary Policy on Credit Risk-Taking?”Econometrica 82(2):463-505.
21.King,M.R.2010.“Mapping Capital and Liquidity Requirements to Bank Lending Spreads.”BIS Working Papers,No.324.
22.Maddaloni,A.,and J.L.Peydro.2011.“Bank Risk-taking,Securitization,Supervision,and Low Interest Rates:Evidence from the Euro-area and the US Lending Standards.”The Review of Financial Studies 24(6):2121-2165.
23.Vazquez,F.,and P.Federico.2012.“Bank Funding Structures and Risk-Evidence from the Global Financial Crisis.”IMF Working Papers,No.29.
(1)从银行历年披露的年报数据来看,银行风险资产数据存在较大缺失,为避免实证样本的不足,本文借鉴已有研究的方法用净贷款/总资产的比率近似替代银行风险加权资产比率。
(1)本文选取上海同业拆借利率的年度加权平均值。
(2)选取社会融资余额增速相反数是为了与其他货币政策代理变量的方向保持一致。
(3)我国存贷比指标=银行贷款总额/银行存款总额,倒数处理是为了与净稳定资金比率的方向保持一致。
(1)样本银行:中国工商银行、中国建设银行、中国农业银行、中国银行、交通银行、招商银行、兴业银行、中信银行、浦发银行、民生银行、华夏银行、北京银行、广发银行、恒丰银行、南京银行、渤海银行、厦门国际银行、吉林银行、包商银行、成都银行、长沙银行、大连银行、苏州银行、河北银行、九江银行、洛阳银行、厦门银行、温州银行、台州银行、宁夏银行、泰隆银行、营口银行、鄞州银行、辽阳银行、绍兴银行、沧州银行、德阳银行、莱商银行、东营银行、金华银行、重庆农商行、广州农商行、天津农商行、江南农商行、武汉农商行、威海城商行、福建海峡银行、南海城商行、广西北部湾银行、吴江城商行。
(2)2010年全球银行业正式步入巴塞尔协议Ⅲ时代。
(1)图中横轴表示货币政策变量数据升序排列(由宽趋紧),纵轴表示偏效应大小。
(1)为节省篇幅,稳健性检验只展示模型(3)结果。
2.代军勋、陶春喜,2016:《资本和流动性双重约束下的商业银行风险承担》,《统计研究》第12期。
3.黄宪、熊启跃,2013:《银行资本缓冲、信贷行为与宏观经济波动---来自中国银行业的经验证据》,《国际金融研究》第1期。
4.金鹏辉、张翔、高峰,2014:《银行过度风险承担及货币政策与逆周期资本调节的配合》,《经济研究》第6期。
5.李天宇、冯叶、张屹山,2017:《宏观审慎政策的信号识别、规则确立与传导路径分析》,《经济评论》第5期。
6.刘明宇,2013:《银行资本水平与货币政策非对称性的实证研究》,《经济评论》第1期。
7.刘晓欣、王飞,2013:《中国微观银行特征的货币政策风险承担渠道检验---基于我国银行业的实证研究》,《国际金融研究》第9期。
8.马理、黄宪、代军勋,2013:《银行资本约束下的货币政策传导机制研究》,《金融研究》第5期。
9.潘敏、张依茹,2012:《宏观经济波动下银行风险承担水平研究---基于股权结构异质性的视角》,《财贸经济》第10期。
10.徐明东、陈学彬,2012:《货币环境、资本充足率与商业银行风险承担》,《金融研究》第7期。
11.姚舜达、朱元倩,2017:《货币政策、流动性约束与银行风险承担---基于面板门限回归模型》,《金融评论》第2期。
12.Boissay,F.,and F.Collard.2016.“Macroeconomics of Bank Capital and Liquidity Regulations.”BIS Working Papers,No.596.
13.Borio,C.,and H.Zhu.2008.“Capital Regulation,Risk-taking and Monetary Policy:A Missing Link in the Transmission Mechanism?”BIS Working Papers,No.268.
14.Buch,C.M.,S.Eickmeier,and E.Prieto.2014.“In Search for Yield?Survey-based Evidence on Bank Risk Taking.”Journal of Economic Dynamic&Control 43(2):12-30.
15.Covas,F.,and J.C.Driscoll.2014.“Bank Liquidity and Capital Regulation in General Equilibrium.”FEDSWorking Paper,No.85.
16.Delis,M.D.,and G.P.Kouretas.2011.“Interest Rates and Bank Risk-taking.”Journal of Banking&Finance35(4):840-855.
17.De Nicolo,G.,A.Gamba,and M.Lucchetta.2012.“Capital Regulation,Liquidity Requirements and Taxation in a Dynamic Model of Banking.”IMF Working Paper,No.72.
18.Ghosh,S.2016.“Capital Buffer,Credit Risk and Liquidity Behaviour:Evidence for GCC Banks.”Comparative Economic Studies 58(4):539-569.
19.Groot,O.2014.“The Risk Channel of Monetary Policy.”FEDS Working Paper,No.31.
20.Jimenez,G.,S.Ongena,J.L.Peydro,and J.Saurina.2014.“Hazardous Times for Monetary Policy:What Do 23Million Bank Loans Say about the Effects of Monetary Policy on Credit Risk-Taking?”Econometrica 82(2):463-505.
21.King,M.R.2010.“Mapping Capital and Liquidity Requirements to Bank Lending Spreads.”BIS Working Papers,No.324.
22.Maddaloni,A.,and J.L.Peydro.2011.“Bank Risk-taking,Securitization,Supervision,and Low Interest Rates:Evidence from the Euro-area and the US Lending Standards.”The Review of Financial Studies 24(6):2121-2165.
23.Vazquez,F.,and P.Federico.2012.“Bank Funding Structures and Risk-Evidence from the Global Financial Crisis.”IMF Working Papers,No.29.
(1)从银行历年披露的年报数据来看,银行风险资产数据存在较大缺失,为避免实证样本的不足,本文借鉴已有研究的方法用净贷款/总资产的比率近似替代银行风险加权资产比率。
(1)本文选取上海同业拆借利率的年度加权平均值。
(2)选取社会融资余额增速相反数是为了与其他货币政策代理变量的方向保持一致。
(3)我国存贷比指标=银行贷款总额/银行存款总额,倒数处理是为了与净稳定资金比率的方向保持一致。
(1)样本银行:中国工商银行、中国建设银行、中国农业银行、中国银行、交通银行、招商银行、兴业银行、中信银行、浦发银行、民生银行、华夏银行、北京银行、广发银行、恒丰银行、南京银行、渤海银行、厦门国际银行、吉林银行、包商银行、成都银行、长沙银行、大连银行、苏州银行、河北银行、九江银行、洛阳银行、厦门银行、温州银行、台州银行、宁夏银行、泰隆银行、营口银行、鄞州银行、辽阳银行、绍兴银行、沧州银行、德阳银行、莱商银行、东营银行、金华银行、重庆农商行、广州农商行、天津农商行、江南农商行、武汉农商行、威海城商行、福建海峡银行、南海城商行、广西北部湾银行、吴江城商行。
(2)2010年全球银行业正式步入巴塞尔协议Ⅲ时代。
(1)图中横轴表示货币政策变量数据升序排列(由宽趋紧),纵轴表示偏效应大小。
(1)为节省篇幅,稳健性检验只展示模型(3)结果。