我国货币政策的银行风险承担渠道检验——基于中国16家上市银行数据的动态GMM实证分析

The Channels of Monetary Policy on Bank Risk:A Dynamic Panel GMM Test on 16 Listed Banks in China

文章使用16家上市银行的年度数据进行实证分析,运用动态面板模型检验银行如何对货币政策立场的转变做出反馈并调整其承担风险的程度。研究表明,基于我国银行体系银行风险主动化和个体风险系统化的发展趋势,货币政策工具能够对我国商业银行风险承担产生显著影响,且商业银行风险承担的变化对信贷投放总量以及社会总产出也会造成影响。同时,风险定价效应、追逐利益效应、习惯效应、杠杆效应作为我国货币政策银行风险承担渠道的重要作用机制,在货币政策传导中发挥着重要作用。

Using the annual data of 16 listed banks in China,this paper adopts a dynamic panel model to test how banks respond to the shift in monetary policy stance and to what degree banks bear the risk. The result shows that the monetary policy tools do have a significant effect on the risk bearing of commercial banks in China,due to the bank risk initiative and individual risk systematization in China ’s banking system. Further study finds that the changes in risk exposure of commercial banks have a negative effect on the total amount of credit loans and social total output. The findings indicate that as important mechanisms of risk-bearing channel of banks’ response to the monetary policy,the risk pricing,chasing profit,customary effect and leverage play an important role in monetary policy conduction.