货币政策风险承担渠道的中国实证——基于商业银行的视角

Empirical study of risk-taking channels of monetary policy in China: A case study of commercial banks

使用GMM动态面板模型估计方法,基于2004—2013年间34家中国商业银行的年度数据,实证检验了货币政策调整对我国商业银行风险承担以及银行微观特征差异是否会导致其风险承担对货币政策调整的异质性反应的影响,主要结论如下:由于银行微观特征的差异,导致银行风险承担水平对货币政策信号调整的敏感性发生变化,从而证实了我国货币政策传导的银行风险承担渠道的存在性和异质性。

Using GMM dynamic panel model estimation method and based on the annual data collected from 34commercial banks in China from 2004 to 2013, the present essay conducts an empirical study to test whethermonetary policy adjustment and the heterogeneity of bank characteristics will affect the risk-taking channels. Theconclusion can be deduced as follows. Differences in bank microscopic characteristics will result in adjustment ofbanks’ risk-taking on monetary policy signals, which confirms the heterogeneity of risk-taking channels of monetarypolicy transmission in China.