中国货币政策风险承担渠道研究

Study on the risk-taking channel of Chinese monetary policy

本文基于2003-2013年间中国商业银行的微观数据,采用GMM动态面板的估计方法对我国商业银行风险承担渠道进行了验证。结果显示:(1)宽松货币政策与银行风险承担呈显著正相关,市场流动性对于风险承担也有正向效应;(2)转嫁机制、估值机制、寻求收益机制以及保险机制均作用于风险承担渠道;(3)流动性状况、资产规模和资本均会影响银行对于货币政策的敏感度。结果显示当价格稳定与金融稳定出现背离时,应借助宏观审慎管理措施,并且应该加强市场流动性的监控,防止出现长期流动性过剩,造成风险过度积累。

Using 66 commercial banks’ data during the period of 2003-2013 and GMM dynamic panel estimation method, this paper verifies the bank risk-taking channel in China. The results show that：（1）Loose monetary policy and market liquidity will lead to increase of bank risk-taking. （2） There are pass-through effect, valuation effect, Greenspan put effect and search for yield effect in the channel.（3）Higher asset scale and capital ratio in the banking sector, the impact of monetary policy on bank will be weaker. When there is a deviation between financial stability and price stability, the authority should coordinate monetary policy with macro-prudential tools. And controlling the market liquidity by using interest rate tools is necessary in order to avoid excessive liquidity and accumulation of systematic risk.