房地产价格与宏观经济波动下的银行风险承担:主观偏好还是被动选择
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摘要
宏观经济波动会改变商业银行的风险承担水平,而房地产价格的变化将使二者之间的关系发生改变。本文立足于宏观审慎监管的思想,结合我国40家商业银行2005～2015年的年度非平衡面板数据,通过系统广义矩估计方法研究了房地产价格与宏观经济波动下的银行风险承担问题,从行为视角综合研判商业银行风险承担行为是"主观偏好"还是"被动选择",并进一步考察了系统重要性差异对银行风险承担的异质作用。实证结果显示:(1)上行的经济周期会使银行主动风险承担和被动风险承担同时增加,而上涨的房地产价格会降低银行主动风险承担,相反则会导致银行被动风险承担的增加;(2)在房地产价格和宏观经济波动的冲击下,系统重要性差异的确会对商业银行风险承担行为产生异质作用;(3)房地产价格的上涨会扩大宏观经济波动对银行主动风险承担和被动风险承担的影响。
Macroeconomic fluctuations can change banks' risk-taking behaviors,and house price affects the sensitivity of banks' risk-taking behaviors to macroeconomic fluctuations. Based on the perpective of macro-prudential management,this paper uses SYSGMM to examine the relationship among house price,macroeconomic fluctuations and banks' risk-taking behaviors with an annual unbalanced panel data of 40 commercial banks in China from 2005 to 2015. Moreover,it analyzes whether banks' risk-taking behavior is an active preference or a passive choice from the perspective of behavior. It also studies the heterogeneous effects of different banks. The results are as follows:( 1) A good upturn in the economic cycle has a positive effect on both active risk-taking and passive risk-taking behaviors. The rising house price has a negative effect on active risktaking behaviors,but a positive effect on passive risk-taking behaviors.( 2) Influenced by the house price and macroeconomic fluctuations,the differences in system importance have heterogeneous effects on commercial banks' risk-taking behaviors.( 3) The rising house price can accelerate the sensitivity of both active risk-taking and passive risk-taking behaviors to macroeconomic fluctuations.
Macroeconomic fluctuations can change banks' risk-taking behaviors,and house price affects the sensitivity of banks' risk-taking behaviors to macroeconomic fluctuations. Based on the perpective of macro-prudential management,this paper uses SYSGMM to examine the relationship among house price,macroeconomic fluctuations and banks' risk-taking behaviors with an annual unbalanced panel data of 40 commercial banks in China from 2005 to 2015. Moreover,it analyzes whether banks' risk-taking behavior is an active preference or a passive choice from the perspective of behavior. It also studies the heterogeneous effects of different banks. The results are as follows:( 1) A good upturn in the economic cycle has a positive effect on both active risk-taking and passive risk-taking behaviors. The rising house price has a negative effect on active risktaking behaviors,but a positive effect on passive risk-taking behaviors.( 2) Influenced by the house price and macroeconomic fluctuations,the differences in system importance have heterogeneous effects on commercial banks' risk-taking behaviors.( 3) The rising house price can accelerate the sensitivity of both active risk-taking and passive risk-taking behaviors to macroeconomic fluctuations.
引文
[1]Borio C.,Zhu H.Capital Regulation,Risk-Taking and Monetary Policy:A Missing Link in the Transmission Mechanism?[Z].BISWorking Paper,2008,No.268.
[2]Dell’Ariccia G.,Laeven L.,Marquez R.Monetary Policy,Leverage and Bank Risk Taking[Z].IMF Working Paper,2010,No.276.
[3]方意,赵胜民,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[J].管理世界,2012,(11):9-19,56,187.
[4]张雪兰,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)[J].经济研究,2012,(5):31-44.
[5]潘敏,张依茹.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[J].财贸经济,2012,(10):57-65.
[6]江曙霞,陈玉婵.货币政策、银行资本与风险承担[J].金融研究,2012,(4):1-16.
[7]蒋海,陈静.宏观经济波动、市场竞争与银行风险承担---基于中国上市银行的实证分析[J].金融经济学研究,2015,(3):46-57,106.
[8]方意.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,2015,(7):73-98.
[9]徐明东,陈学彬.货币环境、资本充足率与商业银行风险承担[J].金融研究,2012,(7):489,50-62.
[10]牛晓健,裘翔.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,2013,(4):15-28.
[11]沈悦,徐妍,郑冠群.基于银行风险承担视角的房地产信贷政策调控效果研究[J].金融经济学研究,2014,(4):32-42.
[12]刘生福,李成.货币政策调控、银行风险承担与宏观审慎管理---基于动态面板系统GMM模型的实证分析[J].南开经济研究,2014,(5):24-39.
[13]Angeloni I.,Faia E.,Duca M.L.Monetary Policy and Risk Taking[J].Journal of Economic Dynamics&Control,2015,Vol.52:285-307.
[14]Rajan R.G.Has Financial Development Made the World Riskier?[J].European Financial Management,2006,Vol.12:499-533.
[15]Altunbas Y.,Gambacorta L.,Marques-Ibanez D.Bank Risk and Monetary Policy[J].Journal of Financial Stability,2009,Vol.6:121-129.
[16]Adrian T.,Shin H.S.Prices and Quantities in the Monetary Policy Transmission Mechanism[J].International Journal of Central Banking,2009,Vol.5:131-142.
[17]杨坚,余子良,贾彦东,等.全球视角下的中国金融机构间金融冲击传递[Z].中国人民银行工作论文,2017,(4).
[18]Arellano M.,Bover O.Another Look at the Instrumental Variable Estimation of Error-Components Models[J].Journal of Econometrics,1995,Vol.68:29-51.
[19]Blundell R.,Bond S.Initial Conditions and Moment Restrictions in Dynamic Panel Data Models[J].Journal of Econometrics,1998,Vol.87:115-143.
[20]Laeven L.,Levine R.Bank Governance,Regulation and Risk Taking[J].Journal of Financial Economics,2009,Vol.93:259-275.
[21]Altunbas Y.,Gambacorta L.,Marques-Ibanez D.Dose Monetary Policy Affect Bank Risk-Taking?[Z].BIS Working Paper,2010,No.298.
[22]Delis M.D.,Kouretas G.P.Interest Rates and Bank Risk-Taking[J].Journal of Banking&Finance,2011,Vol.35:840-855.
[23]Lepetit L.,Nys E.,Rous P.,Tarazi A.Bank Income Structure and Risk:An Empirical Analysis of European Banks[J].Journal of Banking&Finance,2008,Vol.32:1452-1467.
[24]郭品,沈悦.互联网金融对商业银行风险承担的影响:理论解读与实证检验[J].财贸经济,2015,(10):102-116.
(1)本文选取招商银行、兴业银行、浦发银行、中信银行、民生银行和光大银行。
(2)风险加权资产值由总资本对资本充足率的比率获得。
(1)5家大型国有商业银行包括工商银行、建设银行、农业银行、中国银行和交通银行;12家全国性股份制商业银行包括招商银行、兴业银行、浦发银行、中信银行、民生银行、光大银行、华夏银行、广发银行、平安银行、恒丰银行、渤海银行和浙商银行;23家城市商业银行包括北京银行、上海银行、江苏银行、南京银行、宁波银行、盛京银行、徽商银行、杭州银行、天津银行、哈尔滨银行、长安银行、广州银行、包商银行、成都银行、重庆银行、长沙银行、吉林银行、郑州银行、大连银行、河北银行、苏州银行、温州银行和湖北银行。
(1)限于篇幅,未列出结果,作者备索。
[2]Dell’Ariccia G.,Laeven L.,Marquez R.Monetary Policy,Leverage and Bank Risk Taking[Z].IMF Working Paper,2010,No.276.
[3]方意,赵胜民,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[J].管理世界,2012,(11):9-19,56,187.
[4]张雪兰,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)[J].经济研究,2012,(5):31-44.
[5]潘敏,张依茹.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[J].财贸经济,2012,(10):57-65.
[6]江曙霞,陈玉婵.货币政策、银行资本与风险承担[J].金融研究,2012,(4):1-16.
[7]蒋海,陈静.宏观经济波动、市场竞争与银行风险承担---基于中国上市银行的实证分析[J].金融经济学研究,2015,(3):46-57,106.
[8]方意.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,2015,(7):73-98.
[9]徐明东,陈学彬.货币环境、资本充足率与商业银行风险承担[J].金融研究,2012,(7):489,50-62.
[10]牛晓健,裘翔.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,2013,(4):15-28.
[11]沈悦,徐妍,郑冠群.基于银行风险承担视角的房地产信贷政策调控效果研究[J].金融经济学研究,2014,(4):32-42.
[12]刘生福,李成.货币政策调控、银行风险承担与宏观审慎管理---基于动态面板系统GMM模型的实证分析[J].南开经济研究,2014,(5):24-39.
[13]Angeloni I.,Faia E.,Duca M.L.Monetary Policy and Risk Taking[J].Journal of Economic Dynamics&Control,2015,Vol.52:285-307.
[14]Rajan R.G.Has Financial Development Made the World Riskier?[J].European Financial Management,2006,Vol.12:499-533.
[15]Altunbas Y.,Gambacorta L.,Marques-Ibanez D.Bank Risk and Monetary Policy[J].Journal of Financial Stability,2009,Vol.6:121-129.
[16]Adrian T.,Shin H.S.Prices and Quantities in the Monetary Policy Transmission Mechanism[J].International Journal of Central Banking,2009,Vol.5:131-142.
[17]杨坚,余子良,贾彦东,等.全球视角下的中国金融机构间金融冲击传递[Z].中国人民银行工作论文,2017,(4).
[18]Arellano M.,Bover O.Another Look at the Instrumental Variable Estimation of Error-Components Models[J].Journal of Econometrics,1995,Vol.68:29-51.
[19]Blundell R.,Bond S.Initial Conditions and Moment Restrictions in Dynamic Panel Data Models[J].Journal of Econometrics,1998,Vol.87:115-143.
[20]Laeven L.,Levine R.Bank Governance,Regulation and Risk Taking[J].Journal of Financial Economics,2009,Vol.93:259-275.
[21]Altunbas Y.,Gambacorta L.,Marques-Ibanez D.Dose Monetary Policy Affect Bank Risk-Taking?[Z].BIS Working Paper,2010,No.298.
[22]Delis M.D.,Kouretas G.P.Interest Rates and Bank Risk-Taking[J].Journal of Banking&Finance,2011,Vol.35:840-855.
[23]Lepetit L.,Nys E.,Rous P.,Tarazi A.Bank Income Structure and Risk:An Empirical Analysis of European Banks[J].Journal of Banking&Finance,2008,Vol.32:1452-1467.
[24]郭品,沈悦.互联网金融对商业银行风险承担的影响:理论解读与实证检验[J].财贸经济,2015,(10):102-116.
(1)本文选取招商银行、兴业银行、浦发银行、中信银行、民生银行和光大银行。
(2)风险加权资产值由总资本对资本充足率的比率获得。
(1)5家大型国有商业银行包括工商银行、建设银行、农业银行、中国银行和交通银行;12家全国性股份制商业银行包括招商银行、兴业银行、浦发银行、中信银行、民生银行、光大银行、华夏银行、广发银行、平安银行、恒丰银行、渤海银行和浙商银行;23家城市商业银行包括北京银行、上海银行、江苏银行、南京银行、宁波银行、盛京银行、徽商银行、杭州银行、天津银行、哈尔滨银行、长安银行、广州银行、包商银行、成都银行、重庆银行、长沙银行、吉林银行、郑州银行、大连银行、河北银行、苏州银行、温州银行和湖北银行。
(1)限于篇幅,未列出结果,作者备索。