货币政策、流动性监管与银行风险承担
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摘要
本文基于2008~2015年87家银行的微观数据,实证检验货币政策对银行风险承担的影响以及流动性监管中净稳定资金比率的调控作用。实证结果表明:(1)宽松货币环境下,利率下降和房地产价格上涨使银行风险承担增加;(2)提高净稳定资金比率可以削弱利率对银行风险承担的影响,净稳定资金比率超过107.9%时,银行风险加权资产比例对利率的敏感性下降。
Based on the micro-data of 87 banks during 2008-2015, the authors of this paper empirically test the impacts of monetary policy on the risk-taking of banks and the regulatory role of net-stable-capital ratio in liquidity regulation. The empirical results show that:(1) in a loose monetary environment, the decrease in interest rates and the rise in real estate prices will increase the risk-taking of banks;(2) increasing the net-stable-capital ratio can reduce the impacts of interest rates on the risk-taking of banks, and while the net-stable-capital ratio exceeds 107.9%, the sensitivity of the ratio of bank risk-weighted assets to interest rates drops.
Based on the micro-data of 87 banks during 2008-2015, the authors of this paper empirically test the impacts of monetary policy on the risk-taking of banks and the regulatory role of net-stable-capital ratio in liquidity regulation. The empirical results show that:(1) in a loose monetary environment, the decrease in interest rates and the rise in real estate prices will increase the risk-taking of banks;(2) increasing the net-stable-capital ratio can reduce the impacts of interest rates on the risk-taking of banks, and while the net-stable-capital ratio exceeds 107.9%, the sensitivity of the ratio of bank risk-weighted assets to interest rates drops.
引文
方意,2015.货币政策与房地产价格冲击下的银行风险承担分析[J].世界经济,(7):73-98.
何青青、陈艺璇、曹前进,2015.商业银行资本结构对流动性创造的影响[J].金融论坛,(3):50-61.
江曙霞、陈玉婵,2012.货币政策、银行资本与风险承担[J].金融研究,(4):1-16.
李礼辉,2016.信贷资产流动性与融资结构优化[J].金融论坛,(7):3-6.
李明辉、刘莉亚、黄叶苨,2016.巴塞尔协议Ⅲ净稳定融资比率对商业银行的影响---来自中国银行业的证据[J].国际金融研究,347(3):51-62.
廉永辉、张琳,2015.流动性冲击、银行结构流动性和信贷供给[J].国际金融研究,(4):64-76.
牛晓健、裘翔,2013.利率与银行风险承担---基于中国上市银行的实证研究[J].金融研究,(4):15-28.
潘敏、汪怡、陶宇鸥,2016.净稳定资金比率监管会影响商业银行的风险承担和绩效吗---基于中国银行业的经验证据[J].财贸研究,(6):19-28.
王晓、李佳,2013.金融稳定目标下货币政策与宏观审慎监管之间的关系:一个文献综述[J].国际金融研究,(4):22-29.
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[J].金融研究,(7):48-62.
闫先东、张鹏辉,2017.货币政策与宏观审慎政策的协调配合[J].金融论坛,(4):30-41.
Acharya,V.V.,and Viswanathan,S.,2011.Leverage,Moral Hazard,and Liquidity[J].The Journal of Finance,66(1):99-138.
Adrian,T.,and Shin,H.S.,2010.Financial Intermediaries and Monetary Economics[R].Staff Reports,3(398):601-650.
Basel Committee on Banking Supervision,2014.BaselⅢ:The Net Stable Funding Ratio[S].Consultative Document,Bank for International Settlements,Basel.
Bernanke,B.,Gertler,M.,and Gilchrist,S.,1996.The Financial Accelerator and the Flight to Quality[J].Review of Economics&Statistics,78(1):1-15.
Borio,C.,and Zhu,H.,2012.Capital Regulation,Risk-taking and Monetary Policy:A Missing Link in the Transmission Mechanism?[J].Journal of Financial Stability,8(4):236-251.
Brissimis,S.N.,and Delis,M.D.,2009.Bank Heterogeneity and Monetary Policy Transmission[R].Working Papers.
Delis,M.D.,and Kouretas,G.P.,2011.Interest Rates and Bank Risk-taking[J].Journal of Banking&Finance,35(4):840-855.
Dell’Ariccia,G.,Laeven,L.,and Marquez,R.,2014.Real Interest Rates,Leverage,and Bank Risk-taking[J].Journal of Economic Theory,(149):65-99.
Diamond,D.W.,and Rajan,R.G.,2009.Illiquidity and Interest Rate Policy[R].NBER Working Papers.
Dietrich,A.,Wanzenried,G.,and Hess,K.,2013.The Good and bad News about the New Liquidity Rules of Basel III in Western European Countries[C].Midwest Finance Association 2013 Meeting Paper.13-25.
Greenspan,A.,2005.Reflections on Central Banking[R].Speech,32(12).
Hansen,B.E.,2000.Sample Splitting and Threshold Estimation[J].Econometrica,68(3):575-603.
Hauswald,R.,and Marquez,R.,2006.Competition and Strategic Information Acquisition in Credit Markets[J].Social Science Electronic Publishing,19(3):967-1000.
IMF,2009.Lessons for Monetary Policy from Asset Price Fluctuations[R].Word Economic Outlook.
Ioannidou,V.,Ongena,S.,and Peydró,J.,2009.Monetary Policy,Risk-taking,and Pricing:Evidence from a Quasi-Natural Experiment[J].Social Science Electronic Publishing,19(1):1-45.
Jiménez,G.,Ongena,S.,and Peydró,J.l,2014.Hazardous Times for Monetary Policy:What Do Twenty-three Million Bank Loans Say About the Effects of Monetary Policy on Credit Risk-taking?[J].Econometrica,82(2):463-505.
López,Tenjo,M.,and Zárate,F.,2010.The Risk-taking Channel and Monetary Transmission Mechanism in Colombia[J].Borradores De Economia,29(616):212-234.
Paligorova,T.,and Santos,J.A.C.,2016.Monetary Policy and Bank Risk-taking:Evidence from the Corporate Loan Market[J].Journal of Financial Intermediation,30.
Rajan,R.G.,2005.Has Financial Development Made the World Riskier?[R].Working Papers(11728):371-379.
Repullo,R.,2005.Liquidity,Risk-taking and the Lender of Last Resort[J].International Journal of Central Banking,1(2):47-80.
Scalia,A.,Longoni,S.,and Rosolin,T.,2013.The Net Stable Funding Ratio and Banks’Participation in Monetary Policy Operations:Some Evidence for the Euro Area[J].Ssrn Electronic Journal.
Svenssona,L.,and Woodford,M.,2004.Indicator Variables for Optimal Policy Under Asymmetric Information[J].Journal of Economic Dynamics&Control,28(4):661-690.
Vazquez,F.,and Federico,P.,2015.Bank Funding Structures and Risk:Evidence from the Global Financial Crisis[J].Journal of Banking&Finance,61(29):1-14.
何青青、陈艺璇、曹前进,2015.商业银行资本结构对流动性创造的影响[J].金融论坛,(3):50-61.
江曙霞、陈玉婵,2012.货币政策、银行资本与风险承担[J].金融研究,(4):1-16.
李礼辉,2016.信贷资产流动性与融资结构优化[J].金融论坛,(7):3-6.
李明辉、刘莉亚、黄叶苨,2016.巴塞尔协议Ⅲ净稳定融资比率对商业银行的影响---来自中国银行业的证据[J].国际金融研究,347(3):51-62.
廉永辉、张琳,2015.流动性冲击、银行结构流动性和信贷供给[J].国际金融研究,(4):64-76.
牛晓健、裘翔,2013.利率与银行风险承担---基于中国上市银行的实证研究[J].金融研究,(4):15-28.
潘敏、汪怡、陶宇鸥,2016.净稳定资金比率监管会影响商业银行的风险承担和绩效吗---基于中国银行业的经验证据[J].财贸研究,(6):19-28.
王晓、李佳,2013.金融稳定目标下货币政策与宏观审慎监管之间的关系:一个文献综述[J].国际金融研究,(4):22-29.
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[J].金融研究,(7):48-62.
闫先东、张鹏辉,2017.货币政策与宏观审慎政策的协调配合[J].金融论坛,(4):30-41.
Acharya,V.V.,and Viswanathan,S.,2011.Leverage,Moral Hazard,and Liquidity[J].The Journal of Finance,66(1):99-138.
Adrian,T.,and Shin,H.S.,2010.Financial Intermediaries and Monetary Economics[R].Staff Reports,3(398):601-650.
Basel Committee on Banking Supervision,2014.BaselⅢ:The Net Stable Funding Ratio[S].Consultative Document,Bank for International Settlements,Basel.
Bernanke,B.,Gertler,M.,and Gilchrist,S.,1996.The Financial Accelerator and the Flight to Quality[J].Review of Economics&Statistics,78(1):1-15.
Borio,C.,and Zhu,H.,2012.Capital Regulation,Risk-taking and Monetary Policy:A Missing Link in the Transmission Mechanism?[J].Journal of Financial Stability,8(4):236-251.
Brissimis,S.N.,and Delis,M.D.,2009.Bank Heterogeneity and Monetary Policy Transmission[R].Working Papers.
Delis,M.D.,and Kouretas,G.P.,2011.Interest Rates and Bank Risk-taking[J].Journal of Banking&Finance,35(4):840-855.
Dell’Ariccia,G.,Laeven,L.,and Marquez,R.,2014.Real Interest Rates,Leverage,and Bank Risk-taking[J].Journal of Economic Theory,(149):65-99.
Diamond,D.W.,and Rajan,R.G.,2009.Illiquidity and Interest Rate Policy[R].NBER Working Papers.
Dietrich,A.,Wanzenried,G.,and Hess,K.,2013.The Good and bad News about the New Liquidity Rules of Basel III in Western European Countries[C].Midwest Finance Association 2013 Meeting Paper.13-25.
Greenspan,A.,2005.Reflections on Central Banking[R].Speech,32(12).
Hansen,B.E.,2000.Sample Splitting and Threshold Estimation[J].Econometrica,68(3):575-603.
Hauswald,R.,and Marquez,R.,2006.Competition and Strategic Information Acquisition in Credit Markets[J].Social Science Electronic Publishing,19(3):967-1000.
IMF,2009.Lessons for Monetary Policy from Asset Price Fluctuations[R].Word Economic Outlook.
Ioannidou,V.,Ongena,S.,and Peydró,J.,2009.Monetary Policy,Risk-taking,and Pricing:Evidence from a Quasi-Natural Experiment[J].Social Science Electronic Publishing,19(1):1-45.
Jiménez,G.,Ongena,S.,and Peydró,J.l,2014.Hazardous Times for Monetary Policy:What Do Twenty-three Million Bank Loans Say About the Effects of Monetary Policy on Credit Risk-taking?[J].Econometrica,82(2):463-505.
López,Tenjo,M.,and Zárate,F.,2010.The Risk-taking Channel and Monetary Transmission Mechanism in Colombia[J].Borradores De Economia,29(616):212-234.
Paligorova,T.,and Santos,J.A.C.,2016.Monetary Policy and Bank Risk-taking:Evidence from the Corporate Loan Market[J].Journal of Financial Intermediation,30.
Rajan,R.G.,2005.Has Financial Development Made the World Riskier?[R].Working Papers(11728):371-379.
Repullo,R.,2005.Liquidity,Risk-taking and the Lender of Last Resort[J].International Journal of Central Banking,1(2):47-80.
Scalia,A.,Longoni,S.,and Rosolin,T.,2013.The Net Stable Funding Ratio and Banks’Participation in Monetary Policy Operations:Some Evidence for the Euro Area[J].Ssrn Electronic Journal.
Svenssona,L.,and Woodford,M.,2004.Indicator Variables for Optimal Policy Under Asymmetric Information[J].Journal of Economic Dynamics&Control,28(4):661-690.
Vazquez,F.,and Federico,P.,2015.Bank Funding Structures and Risk:Evidence from the Global Financial Crisis[J].Journal of Banking&Finance,61(29):1-14.