宏观审慎政策对银行风险承担的影响——基于跨国实证的视角
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摘要
本文基于2013年IMF宏观审慎政策实施情况调查问卷和全球53个国家的主要银行数据,分析了宏观审慎政策整体以及不同类型审慎工具的实施,对银行风险承担的影响及其作用渠道。研究发现,各国对宏观审慎政策的实施程度越大,降低银行风险承担的效果越好。从不同类型审慎工具对于抑制银行风险承担的作用效果看:缓冲型工具(动态贷款损失拨备、逆周期资本缓冲、资本缓冲工具和系统重要性金融机构额外资本要求)通过调整银行的缓冲资本规模和监管压力,能够显著降低银行的风险承担;资产负债工具(外币拆借限制、杠杆比率、国内贷款规模限制、准备金比率、金融机构税、同业风险敞口限制、贷款集中度限制、流动比率、存贷比率、估值折扣和外汇开放式头寸限制)主要通过提高银行的盈利水平来缓解银行过度承担风险;而借款人工具(贷款价值比率和负债偿还比率)对银行风险承担的影响则尚不明确,其能够在源头上降低银行的风险水平,但也会加剧银行业的竞争程度从而激励银行承担更多风险。
This paper analyzes the impacts and mechanism of macro-prudential policies on bank risk-taking behavior empirically using the survey results of 2013 IMF GMPI and the bank data from 53 countries around the world. The study found that the greater the degree of implementation of macroprudential policies, the better the effect of reducing bank risk-taking. Different kinds of regulatory tools have different influences on bank risktaking. Buffer-based regulatory tools can significantly reduce bank risk-taking by adjusting the banks' buffer capital size and regulatory pressure. Asset-liability regulatory tools can also be used to reduce bank risk-taking by increasing banks' profitability. However, the effects of borrower-based regulatory tools are still unclear due to two different mechanisms, they can reduce banks' risk source on the one hand, but on the other hand it will also increase the degree of competition in banking and encourage bank to take more risks.
This paper analyzes the impacts and mechanism of macro-prudential policies on bank risk-taking behavior empirically using the survey results of 2013 IMF GMPI and the bank data from 53 countries around the world. The study found that the greater the degree of implementation of macroprudential policies, the better the effect of reducing bank risk-taking. Different kinds of regulatory tools have different influences on bank risktaking. Buffer-based regulatory tools can significantly reduce bank risk-taking by adjusting the banks' buffer capital size and regulatory pressure. Asset-liability regulatory tools can also be used to reduce bank risk-taking by increasing banks' profitability. However, the effects of borrower-based regulatory tools are still unclear due to two different mechanisms, they can reduce banks' risk source on the one hand, but on the other hand it will also increase the degree of competition in banking and encourage bank to take more risks.
引文
1.曹艳华,资本监管压力下的商业银行风险承担行为--基于不同性质商业银行(2004-2007)的比较研究,金融论坛,2009年第5期,45-50。
2.方意,宏观审慎政策有效性研究,世界经济,2016年第8期,25-49。
3.方意、赵胜民和谢晓闻,货币政策的银行风险承担分析--兼论货币政策与宏观审慎政策协调问题,管理世界,2012年第11期,9-19。
4.廖岷、林学冠和寇宏,中国宏观审慎监管工具和政策协调的有效性研究,金融监管研究,2014年第12期,1-23。
5.吕进中、张燕、张鹏辉和张习宁,宏观审慎政策工具的有效性研究--基于动态随机一般均衡模型的分析,金融监管研究,2018年第10期,18-32。
6.沈沛龙和王晓婷,宏观审慎政策与银行风险承担研究,财经理论与实践,2015第3期,9-15。
7.宋科,宏观审慎监管三共识,http://business.sohu.com/20130325/n370146266.shtml,2013年3月25日。
8.宋科、李振和赵宣凯,宏观审慎政策、经济周期与银行风险承担,经济理论与经济管理,2019年第1期,43-58。
9.吴俊霖,资本监管压力、货币政策与银行风险承担,金融监管研究,2017年第11期,51-70。
10.闫超,商业银行盈利能力与风险管理能力耦合关系研究,金融纵横,2014年第12期,80-86。
11.张雪兰和何德旭,货币政策立场与银行风险承担--基于中国银行业的实证研究(2000-2010),经济研究,2012年第5期,31-44。
12.Aikman,D.,B.Nelson,and M.Tanaka,Reputation,Risk-taking,and Macroprudential Policy,Journal of Banking and Finance,2015,Vol.50,428-439.
13.Altunbas,Y.,M.Binici and L.Gambacorta,Macroprudential Policy and Bank Risk,Journal of International Money and Finance,2018,Vol.81:203-220.
14.Bank of England,Instruments of Macroprudential Policy,BOE Disscusion Paper,2011.
15.BIS,71th Annual Report,https://www.bis.org/publ/arpdf/ar2001e.htm,2001年6月9日。
16.Borio C.,Towards A Macroprudential Framework for Financial Supervision and Regulation?BIS Working Paper,2003,No.128.
17.Borio C.,and I.Shim What Can(Macro-)prudential Policy Do to Support Monetary Policy?BIS Working Paper,2007,No.242.
18.Borio C.,The Macroprudential Approach to Regulation and Supervision.2009 April 14.
19.Borio C.,and H.Zhu,Capital Regulation,Risk-taking and Monetary Policy:A missing Link in the Transmission Mechanism?BIS Working Paper,2008,No.268.
20.Camors,C.,and J.Peydro,Macroprudential and Monetary Policy:Loan-level Evidence from Reserve Requirements,NBER Working Paper,2014.
21.Cerutti,E.,S.Claessens,and L.Laeven,The Use and Effectiveness of Macroprudential Policies:New Evidence,Journal of Financial Stability,2017,Vol28,203-224.
22.Claessens,S.,S.Ghosh,and R.Mihet,Macro-prudential Policies to Mitigate Financial System Vulnerabilities,IMF Working Paper 2014,No.14/155.
23.Fonseca,A.,and F.Gonzalez,How Bank Capital Buffers Vary Across Countries:the Influence of Cost of Deposit,Market Power and Bank Regulation,Journal of Banking and Finance,2009,Vol.34,892-902.
24.FSB-IMF-BIS,Macroprudential Policy Tools and Frameworks,BIS Research and Publicaitons,2011 March14.
25.IMF,Macroprudential Policy:An Organizing Framework,IMF Policy Paper,2011,March 14.
26.IMF,Key Aspects of Macroprudential Policy:Background Paper,IMF Policy Paper,2013 June 10.
27.Jokippll,T.,and A.Milne,The Cyclical Behavior of European Bank Capital Buffers,Journal of Banking and Finance,2008,Vol.32,1440-1451.
28.Laeven,L.,and R.Levine,Bank Governance,Regulation and Risk Taking,NBER Working Paper,2008,No.W14113.
29.Laeven,L.,and F.Valencia,Systemic Banking Crises Database,IMF Economic Review,2013.61(2),225-270.
30.Lim,C.,F.Columba,A.Costa,P.Kongsamut,A.Otani,M.Saiyid,T.Weel,and X.Wu,Macroprudential Policy:What Instruments and How to Use Them?Lessons from Country Experiences,IMF Working Paper,2011,No.11/238.
31.Matthias,K.,Which Banks are More Risky?The Impacts of Loan Growth and Business Model on Bank Risk-taking,Discussion Papers from Deutsche Bundes Bank,2012,No.33.
32.Milne A.,and A.E Whalley,A Bank Capital Regulation and Incentives for Risk-taking,Cass Business School Research Paper,2001.
33.Mircea E.,M.Irina,M.Camelia,and P.José-Luis,Household Credit,Global Financial Cycle,and Macroprudential Policies:Credit Register Evidence from an Emerging Country,IMF Working Papers,2018,WP18/13.
34.Reinhart,C.,and K.Rogoff,Exchange Rate Arrangements Entering the 21st Century:Which Anchor Will Hold?,http://personal.lse.ac.uk/ilzetzki/IRRBack.htm.
35.Rime B,Capital Requirements and Bank Behavior:Empirical Evidence for Switzerland,Journal of Banking and Finance,2001,Vol.25,789-805.
1为节省版面空间,本文省略了变量的描述性统计结果,如有需要,可向作者索取。
1 10.5%=8%的总资本充足率要求+2.5%的资本留存缓冲。根据IMF的调查结果,大多数国家尚未要求银行计提逆周期缓冲资本,因此将逆周期缓冲资本设为0。
2当银行实际资本规模小于资本充足率监管要求时,将面临惩罚压力;当银行实际资本规模大于监管要求且缓冲资本规模小于2%时,将面临预警压力(Rime,2001;曹艳华,2009)。
1为节省版面空间,本文省略了稳健性检验结果,如有需要,可向作者索取。
2.方意,宏观审慎政策有效性研究,世界经济,2016年第8期,25-49。
3.方意、赵胜民和谢晓闻,货币政策的银行风险承担分析--兼论货币政策与宏观审慎政策协调问题,管理世界,2012年第11期,9-19。
4.廖岷、林学冠和寇宏,中国宏观审慎监管工具和政策协调的有效性研究,金融监管研究,2014年第12期,1-23。
5.吕进中、张燕、张鹏辉和张习宁,宏观审慎政策工具的有效性研究--基于动态随机一般均衡模型的分析,金融监管研究,2018年第10期,18-32。
6.沈沛龙和王晓婷,宏观审慎政策与银行风险承担研究,财经理论与实践,2015第3期,9-15。
7.宋科,宏观审慎监管三共识,http://business.sohu.com/20130325/n370146266.shtml,2013年3月25日。
8.宋科、李振和赵宣凯,宏观审慎政策、经济周期与银行风险承担,经济理论与经济管理,2019年第1期,43-58。
9.吴俊霖,资本监管压力、货币政策与银行风险承担,金融监管研究,2017年第11期,51-70。
10.闫超,商业银行盈利能力与风险管理能力耦合关系研究,金融纵横,2014年第12期,80-86。
11.张雪兰和何德旭,货币政策立场与银行风险承担--基于中国银行业的实证研究(2000-2010),经济研究,2012年第5期,31-44。
12.Aikman,D.,B.Nelson,and M.Tanaka,Reputation,Risk-taking,and Macroprudential Policy,Journal of Banking and Finance,2015,Vol.50,428-439.
13.Altunbas,Y.,M.Binici and L.Gambacorta,Macroprudential Policy and Bank Risk,Journal of International Money and Finance,2018,Vol.81:203-220.
14.Bank of England,Instruments of Macroprudential Policy,BOE Disscusion Paper,2011.
15.BIS,71th Annual Report,https://www.bis.org/publ/arpdf/ar2001e.htm,2001年6月9日。
16.Borio C.,Towards A Macroprudential Framework for Financial Supervision and Regulation?BIS Working Paper,2003,No.128.
17.Borio C.,and I.Shim What Can(Macro-)prudential Policy Do to Support Monetary Policy?BIS Working Paper,2007,No.242.
18.Borio C.,The Macroprudential Approach to Regulation and Supervision.2009 April 14.
19.Borio C.,and H.Zhu,Capital Regulation,Risk-taking and Monetary Policy:A missing Link in the Transmission Mechanism?BIS Working Paper,2008,No.268.
20.Camors,C.,and J.Peydro,Macroprudential and Monetary Policy:Loan-level Evidence from Reserve Requirements,NBER Working Paper,2014.
21.Cerutti,E.,S.Claessens,and L.Laeven,The Use and Effectiveness of Macroprudential Policies:New Evidence,Journal of Financial Stability,2017,Vol28,203-224.
22.Claessens,S.,S.Ghosh,and R.Mihet,Macro-prudential Policies to Mitigate Financial System Vulnerabilities,IMF Working Paper 2014,No.14/155.
23.Fonseca,A.,and F.Gonzalez,How Bank Capital Buffers Vary Across Countries:the Influence of Cost of Deposit,Market Power and Bank Regulation,Journal of Banking and Finance,2009,Vol.34,892-902.
24.FSB-IMF-BIS,Macroprudential Policy Tools and Frameworks,BIS Research and Publicaitons,2011 March14.
25.IMF,Macroprudential Policy:An Organizing Framework,IMF Policy Paper,2011,March 14.
26.IMF,Key Aspects of Macroprudential Policy:Background Paper,IMF Policy Paper,2013 June 10.
27.Jokippll,T.,and A.Milne,The Cyclical Behavior of European Bank Capital Buffers,Journal of Banking and Finance,2008,Vol.32,1440-1451.
28.Laeven,L.,and R.Levine,Bank Governance,Regulation and Risk Taking,NBER Working Paper,2008,No.W14113.
29.Laeven,L.,and F.Valencia,Systemic Banking Crises Database,IMF Economic Review,2013.61(2),225-270.
30.Lim,C.,F.Columba,A.Costa,P.Kongsamut,A.Otani,M.Saiyid,T.Weel,and X.Wu,Macroprudential Policy:What Instruments and How to Use Them?Lessons from Country Experiences,IMF Working Paper,2011,No.11/238.
31.Matthias,K.,Which Banks are More Risky?The Impacts of Loan Growth and Business Model on Bank Risk-taking,Discussion Papers from Deutsche Bundes Bank,2012,No.33.
32.Milne A.,and A.E Whalley,A Bank Capital Regulation and Incentives for Risk-taking,Cass Business School Research Paper,2001.
33.Mircea E.,M.Irina,M.Camelia,and P.José-Luis,Household Credit,Global Financial Cycle,and Macroprudential Policies:Credit Register Evidence from an Emerging Country,IMF Working Papers,2018,WP18/13.
34.Reinhart,C.,and K.Rogoff,Exchange Rate Arrangements Entering the 21st Century:Which Anchor Will Hold?,http://personal.lse.ac.uk/ilzetzki/IRRBack.htm.
35.Rime B,Capital Requirements and Bank Behavior:Empirical Evidence for Switzerland,Journal of Banking and Finance,2001,Vol.25,789-805.
1为节省版面空间,本文省略了变量的描述性统计结果,如有需要,可向作者索取。
1 10.5%=8%的总资本充足率要求+2.5%的资本留存缓冲。根据IMF的调查结果,大多数国家尚未要求银行计提逆周期缓冲资本,因此将逆周期缓冲资本设为0。
2当银行实际资本规模小于资本充足率监管要求时,将面临惩罚压力;当银行实际资本规模大于监管要求且缓冲资本规模小于2%时,将面临预警压力(Rime,2001;曹艳华,2009)。
1为节省版面空间,本文省略了稳健性检验结果,如有需要,可向作者索取。