我国货币政策的银行风险承担渠道检验——基于GMM实证研究

Verification of Bank's Risk-Taking Channels of China's Monetary Policy:An Empirical Study Based on GMM

基于我国72家商业银行2006-2013年面板数据,构建商业银行在资产和负债选择上的风险承担代理变量,运用GMM方法,检验我国货币政策的银行风险承担渠道的完整性。实证结果表明,我国货币政策的银行风险承担渠道整体上看是存在的,且受宏观经济和微观银行特征影响:一方面,扩张性的货币政策对银行风险承担的激励表现在资产选择行为上,而非负债选择行为;另一方面,银行资产风险承担上升会引起信贷投放增加,而负债风险承担增加会鼓励信贷投放减少。这意味着从金融稳定角度看,货币政策非中性。因此,我国在进行宏观审慎管理制度框架下的货币政策设计时,应当兼顾金融稳定目标。

Based on the panel data of China＇s 72 commercial banks during 2006-2013, this paper constructs risk-taking proxy variables of commercial banks in selecting assets and liabilities and then verifies the integrity of bank＇s risk-taking channels of China＇s monetary policy with the GMM method. The empirical results show that on the whole the bank＇s risk-taking channel of China＇s monetary policy does exist, which is affected by macro economy and micro bank characteristics. On one hand, the incentives of the expansionary monetary policy on bank＇s risk-taking behaviors are re- fleeted in the asset selection, rather than liabilities selection behavior; on the other hand, the increase of bank＇s asset risk taking will lead to the increase of credit availability, while the increase of liabili- ty risk taking will encourage the decrease of credit availability. This means, from a financial stability perspective, the monetary policy is not neutral. Therefore, when designing the monetary policy under the institutional framework of macro-prudential management, China should take into account the objective of financial stability.