银行异质性下货币政策调控与风险承担研究

Study on the Monetary Policy and Risk-Taking under Banks Heterogeneity

随着金融体系的改革和优化,银行在货币政策传导方面的作用不能忽视,笔者基于现有文献和中国的实际,从银行异质性视角分析了货币政策调控对风险承担的影响。选取我国16家上市银行2007—2015年的季度财务数据,构建面板数据模型和非线性面板门槛模型对货币政策调控和银行风险承担行为进行实证检验。研究发现,货币政策调控对银行风险承担行为具有显著的负向影响,即在宽松的货币政策条件下,银行风险承担水平显著提高;在紧缩的货币政策条件下,银行的风险承担水平显著降低。考虑银行异质性,结论表明,货币政策调控对银行风险承担的影响效果会随着银行规模的增大而减弱,随着银行资本充足率的提高而增大,随着银行的盈利水平的提高由正变负。笔者建议我国货币政策调控应该兼顾金融稳定目标,并对异质性的商业银行实行动态化和差别化的审慎管理。

It should not be ignored with the effect policy. Based on the literature and Chinese facts, this risk-taking of banks from the perspective of banks h 16 listed banks from 2007 to 2015 and both methods of banks risk-taking on the effectiveness of monetary paper analyses the impacts of monetary policy on the eterogeneity. Using the quarterly financial data of Chinese of fixed effects regression and the threshold nonlinear esti- mation, the paper empirically analyses the impacts of Chinese monetary policy on the risk-taking of banks. The results show that Chinese monetary policy negatively relates to the risk-taking of Chinese banks. It means the risk-taking of banks would increase significantly under the condition of the loose monetary policy and that would decrease significantly under the condition of tight monetary policy. Considering banks heterogeneity such as size, capital adequacy and profitability, the paper concludes that the influence of monetary policy on banks risk-taking will decrease with the increase of banks size and the decrease of capital adequ fluence will be from positive to negative with profitability of banks increasing. Conseque acy ratio, and the in- ntly, policy authority should coordinate monetary policy and macro-prudential policy, pay attention to banks heterogeneity characte- ristics and implement differentiated regulation rules.