货币政策风险承担渠道存在性研究——基于新型银行同业业务的视角

The Research of Existence of Monetary Policy Risk-taking Channel——Based on the Perspective of the New Banking Industry

文章建立了货币政策风险承担渠道的数理模型,并创新地将存款准备金率和银行新型同业业务引入到模型中,证明了在存在资本约束和不存在资本约束的条件下,央行宽松的货币政策都会鼓励商业银行增加新型银行同业业务,使得商业银行承担更高的风险。文章还基于2007-2014年我国14家上市商业银行的年度数据,采用动态面板数据广义矩估计法(GMM),得出的结论证实了货币政策风险承担渠道的存在性。此外,经过实证检验得出资产规模越小、资产充足率越低、盈利能力越弱的商业银行分别在存贷款利率以及存款准备金率下调的情况下,商业银行越倾向于从事创新型银行同业业务。因此,研究建议监管部门注重货币政策与宏观审慎政策的协调,加强监管部门的合作,加快利率市场化改革,完善利率定价机制。

The article establishes the mathematical model of risk-taking channel of monetary policy, and introduced innovativly deposit reserve rate and newly interbank business into the model, proves that loose monetary policy would encourage commercial banks increase newly interbank business and take greater risk wheather the capital of the bank is constrainted or not. This article alse find the same conclusion by using dynamic panel data of generalized moment estimation method（GMM） on the base of 2007 to 2014 annual data of14 listed commercial banks in our country. The empirical test also concludes that the smaller the assets, the lower the asset adequacy level, the less profitable of the commercial banks will tend to be engaged into the creative bank trade business when the central bank cut the interest rate or reserve requirements rate. Therefore, we suggest that the regulators pay attention to the coordination of monetary policy and macro-prudential policy, strengthen the regulatory cooperation, speed up the market-oriented reform of interest rate, improve the interest rate pricing mechanism.