货币政策、资本约束与银行风险承担——基于门限面板回归模型

Monetary Policy,Capital Constraint and Bank Risk Taking——A Threshold Panel Regression Model

本文将货币供应量和银行间拆借利率作为货币政策的代理变量,基于2009-2016年我国上市银行的年度数据,采用门限面板回归模型验证了资本约束对货币政策的银行风险承担渠道的门限效应。研究发现,在资本约束下,货币政策对银行风险承担的影响存在门限效应,货币政策传导的敏感性随着银行资本约束的增加而提高。因此,中央银行应坚持货币政策和宏观审慎的＂双支柱＂调控框架,重视其宽松的货币政策对银行风险承担的影响。

This study uses money supply and inter-bank lending rates as proxy variables for monetary policy,based on the annual data of China＇s listed banks from 2009 to 2016 to verify the threshold effect of capital constraint on the risk-taking channel of monetary policy by Threshold Panel Regression Model. The study finds that under the constraint of capital,there is a threshold effect of monetary policy on bank risk exposure. The sensitivity of monetary policy transmission increases with the increase of bank capital constraints. Therefore,the central bank should stick to the monetary policy macro-prudential ＂double-pillar＂regulatory framework and pay attention to the influence of its loose monetary policy on bank risk taking.