宏观审慎背景下我国货币政策传导的银行风险承担渠道研究
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摘要
基于动态非平衡面板系统GMM模型,对我国已上市的26家商业银行2004—2016年的财务数据进行实证研究。结果表明,在货币政策的传导过程中存在银行风险承担渠道,两者之间的互动呈现出显著的负相关关系,同时受制于经济发展、行业结构以及银行个体特征,如资产收益水平、流动性比率、投入产出效率等,尤其是受到资本充足率的影响,资本充足率不同的商业银行对于货币政策变动的反应也不尽相同。应健全资本充足评估及风险预警机制,适时调整并不断完善宏观审慎政策,建立更加严格的宏观审慎评估体系,以有效促进货币政策传导,增进货币政策效果。
Based on the non-equilibrium dynamic panel system GMM model,this article proceed empirical research on financial data of 26 listed commercial banks in 2004-2016. Results show that there exists the bank risk-taking channelin the process of the monetary policytransmission,the interaction between the two present a significant negative correlation relationship,at the same time subject to economic development,industry structure and bank individual characteristics,such as asset income level,liquidity ratios,input and output efficiency,etc.,especially under the influence of capital adequacy ratio,commercial banks of differentcapital adequacy ratio have different reaction to monetary policy changes. We should improve the capital adequacy assessment and risk early warning mechanism,timely adjust and improve the macro-prudential policy,establish stricter macro-prudential assessment system,to effectively promote the monetary policy transmission,and increase the effect of monetary policy.
Based on the non-equilibrium dynamic panel system GMM model,this article proceed empirical research on financial data of 26 listed commercial banks in 2004-2016. Results show that there exists the bank risk-taking channelin the process of the monetary policytransmission,the interaction between the two present a significant negative correlation relationship,at the same time subject to economic development,industry structure and bank individual characteristics,such as asset income level,liquidity ratios,input and output efficiency,etc.,especially under the influence of capital adequacy ratio,commercial banks of differentcapital adequacy ratio have different reaction to monetary policy changes. We should improve the capital adequacy assessment and risk early warning mechanism,timely adjust and improve the macro-prudential policy,establish stricter macro-prudential assessment system,to effectively promote the monetary policy transmission,and increase the effect of monetary policy.
引文
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[15]Bruno V,Shin H S. Capital Flows and the Risk-TakingChannel of Monetary Policy[J]. Journal of Monetary E-conomics,2015(3).
[2]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).
[3]金鹏辉,张翔,高峰.银行过度风险承担及货币政策与逆周期资本调节的配合[J].经济研究,2014(6).
[4]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).
[5]张强,乔煜峰,张宝.中国货币政策的银行风险承担渠道存在吗?[J].金融研究,2013(8).
[6]周小川.金融政策对金融危机的响应———宏观审慎政策框架的形成背景、内在逻辑和主要内容[J].金融研究,2011(1).
[7]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).
[8]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).
[9]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).
[10]中国人民银行金融稳定分析小组.中国金融稳定报告[EB/OL]. http://www. pbc. gov. cn/jinrongvendingiu/146766/146772/3350827/index.html,2017-07-25.
[11]中国人民银行货币政策分析小组.2018年第一季度中国货币政策执行报告[EB/OL].httpL//www.pbc.gov.cn/zhengcehuobisi/125207/125227/125957/3537682/3537621/index.html,2019-05-11.
[12]马宇.美国主权债务风险研究[M].北京:中国金融出版社,2017.
[13]Borio C,Zhu H. Capital Regulation,Risk-Taking andMonetary Policy:A Missing Link in the TransmissionMechanism?[J]. Bank for International Settlements Work-ing Paper,2008:268.
[14]Valentina Bruno,Hyun Song Shin.Capital Flows and theRisk-Taking Channel of Monetary Policy[R]. BISWorking Paper,2012,No.400.
[15]Bruno V,Shin H S. Capital Flows and the Risk-TakingChannel of Monetary Policy[J]. Journal of Monetary E-conomics,2015(3).