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.
引文
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