宏观审慎政策降低了商业银行盈利性吗?

Does the Macro-Prudential Policy Reduce the Commercial Banks’ Profitability?

本文基于国内122家商业银行2009—2018年财务与经营数据,实证验证了宏观审慎政策实施是否会对商业银行盈利能力产生影响。结果表明,宏观审慎政策的实施对商业银行盈利能力会产生负向影响,且对大型银行和股份制商业银行的影响更显著。进一步的影响机制分析显示,商业银行盈利能力下降使其对宏观审慎政策做出反应,提高资本占用较低但收益也相对较低资产的比重,调整风险偏好,在风险与盈利决策之间形成了新的权衡关系。此外,研究发现,资本实力较强的银行能较为有效地利用货币政策扩张机会,在一定程度上抵消宏观审慎政策收紧对盈利造成的负向影响。

Macro-prudential policy is part of the"two-pillar"regulatory framework and plays an important role in maintaining the financial stability.To study and improve the macro-prudential policy system is the inherent requirement of deepening financial reform and improving financial governance ability.However,the existing literature on the transmission mechanism of macro-prudential policy is less involved in the analysis of the impact on the profitability of commercial banks and the impact mechanism.In order to fully understand the impact and logic of macro-prudential policy on the operation of commercial banks,and further improve the macro-prudential policy system,this paper empirically analyzes the impact of macro-prudential policy on the profitability of commercial banks based on the financial and operating data of 122 domestic commercial banks from 2009 to 2018 and discusses the impact mechanism.The result shows that the implementation of macro-prudential policy will have a negative impact on the profitability of commercial banks,and the impact on large state-owned banks and national joint-stock commercial banks is relatively greater.Further analysis of the impact mechanism shows that the decline of commercial banks’profitability is the result of their reaction to macro-prudential policies,increasing the proportion of assets with low capital occupation but relatively low return,adjusting risk preference,and forming a new trade-off relationship between risk and profit decision-making.In addition,the study finds that only the banks with strong capital strength can make more effective use of the opportunities of monetary policy expansion and partly offset the negative impact of macro-prudential policy on profitability.This paper suggests that the policy authorities should unswervingly promote and improve the macro-prudential policy system so as to drive commercial banks to further enhance the self-consciousness and initiative of risk control,match the reform of commercial banks,adhere to the principle of classification and gradual progress,and further deepen the research on the coordination mechanism of macro-prudential policy and monetary policy.