我国货币政策的银行风险承担效应研究--基于中观层面的结构视角

The Research on Banking Risk-taking Effect of China's Monetary Policy:Based on Structural Perspective of Middle-level

货币政策与金融稳定的关系在后金融危机时代受到广泛关注,催生货币政策风险承担渠道成为研究热点。学术界对货币政策风险承担效应缺乏理论模型研究,而实证研究集中在银行、贷款等微观层面,极个别考虑了银行业宏观层面,但缺乏中观层面的结构视角分析。本文构建的资产组合理论框架表明,宽松的货币政策会通过加大商业银行的风险偏好和风险资产的风险溢价两种途径加大商业银行的风险承担。基于我国商业银行体系分产业、分行业、分省、分机构的逐步回归和可变系数回归等实证分析,验证了货币政策银行风险承担效应的存在,并测出了分产业、分行业、分省、分机构的结构性差异。

The relationship between monetary policy and financial stability has received widespread attention after financial crisis so that the risk-taking channel of monetary policy has become a hot area of research.The academic world is short of theoretical model research on risk-taking effect of monetary policy and the empirical studies focus on banks and loans on micro-level except very few papers involving banking on macro-level.There is no analysis from the structural perspective of middle-level.This paper develops a portfolio theory framework to illustrate that the easy-money policy will increase the risk-taking of banks through the two effects of increasing risk preference of banks and increasing risk premium of risk assets.Based on the stepwise regression and the varying coefficient regression empirical studies of banking of China by industry,profession,province,institution,we have proved the banking risk-taking effect ofChina's monetary policy and measured the structural differences by industry,profession,province,institution.