中国微观银行特征的货币政策风险承担渠道检验——基于我国银行业的实证研究

The Risk -taking Channel of Monetary Policy Considering the Micro Characteristics of Chinese Banks: Based on the Research on China's Banking Industry

本文对我国1997-2011年121家银行实证检验我国银行业货币政策风险承担渠道以及银行特征的异质性对货币政策的风险承担影响。研究结果表明:(1)我国银行的货币政策风险承担渠道是存在的;(2)银行资本充足性以及流动性在不同货币政策下对货币政策风险承担具有不同作用,这说明微观特征对银行货币政策风险承担具有差异化的影响,规模越大,银行结构集中越有利于降低银行风险。研究结果显示,政策当局应协调好货币政策与宏观审慎政策,注重银行微观特征,实行差异化的监管措施。

This paper uses the data of 121 Banks between 1997 and 2011 to test the risk-taking channel of monetary policy in China＇s banking industry and study how the heterogeneity of bank characteristics affect the risk-taking channel. The research shows that （1） there exists risk-taking channel of monetary policy in our country; （2） bank capital adequacy and liquidity under different monetary policy has different effects on bank risk-taking behaviors, which shows that the micro characteristics of banking risks have different effects on monetary policy; （3） great scale and highly concentrated bank structure is beneficial to reducing bank risks. Research shows that the policy authority should coordinate monetary policy and macro-prudential policy, pay attention to the micro characteristics of banks and implement differentiated regulation rules.