银行资本和流动性双重约束下的货币政策传导——基于风险承担渠道的中国实证

Monetary Policy Transmission under the Dual Constraints of Capital and Liquidity: Empirical Study of China Based on the Risk-taking Channel

随着国际银行业进入资本和流动性双重约束的新阶段,两者的合成效应必将导致银行的微观经营特征发生调整和变异,并可能会导致基于银行传导的货币政策效应发生变化。本文基于2010-2015年期间我国50家商业银行的微观数据,采用一阶系统GMM方法实证检验了银行资本和流动性双重约束下货币政策风险承担渠道的变化,以此探究银行资本和流动性双重约束对货币政策传导的冲击和影响。研究结果表明:(1)资本和流动性双重约束下的银行风险承担继续存在,但其合成效应导致银行风险承担意愿有所减弱;(2)不同类型、强度的货币政策在资本和流动性双重约束下通过银行微观特征对风险承担渠道的影响效果并非对称。因此,监管当局和货币政策当局应关注监管政策调整对货币政策传导的扰动,在宏观审慎监管政策与货币政策的冲突和协调中重构货币政策体系,以货币政策的针对性和协同性提升货币政策的有效性。

With the banking industry stepping into the new stage of dual constraints of capital and liquidity,the synergy effect will lead to adjustment of micro-management characteristics of banks,and it may bring about changes of monetary policy effect through bank transmission channel. Based on the data of 50 commercial banks in China from 2010 to 2015,One-Step System GMM method is used to test the changes of the risk-taking channel of monetary policy under the double constraints,so as to explore the influence of the double constraints on monetary policy transmission.The results show that：（ 1） Under the new regulatory framework,risk-taking channel of China＇s monetary policy still exists,while the synergy effect of dual constraints weakens risk-taking of the banks;（ 2） Under different monetary policies,the influence of bank＇s micro-characteristics on the risk-taking channels is asymmetric. Therefore,the regulatory and monetary authorities should focus on the regulatory policy to adjust the disturbance of monetary policy transmission,and reconstruct the monetary policy system considering the conflict and coordination between macro-prudential supervision and monetary policy,in order to promote the effectiveness of monetary policy with its relevance and synergy.