我国货币政策风险承担渠道存在吗?——基于GMM方法的实证研究

Does Risk-Taking Channels of the Monetary Policy Exist in China?—— Empirical Study Based on GMM

本文收集了2004—2013年我国45家商业银行的微观数据和相关宏观数据,并运用差分GMM回归方法对我国货币政策风险承担渠道的存在性做了实证检验。研究结果表明:我国的货币政策风险承担渠道确实存在,且宽松的货币政策会刺激银行承担更多的风险;价格型货币政策工具对银行风险承担的影响大于数量型货币政策工具;银行的规模大小、盈利水平和资本充足性与银行风险承担呈反比;人均GDP增长率、银行业竞争性与银行风险承担呈正比。

This paper collects the micro-data and macroeconomic data of 45 commercial banks from 2004 to 2013,and uses diff-GMM to do an empirical test on the existence of risk-taking channels of China’s monetary policy. The research results show that the risk-taking channels of the monetary policy do exist and the loose monetary policy spurs the banks to take more risks. The pricing monetary policy instruments have more influence on banks’risk-taking than the quantitative monetary policy tools. The scale,profitability and capital adequacy of banks have an inverse corre-lation with their risk-taking capacity. There is a positive correlation between GDP growth rate per capital,banks’com-petitiveness and their risk-taking capacity.