货币政策与银行风险承担

Monetary Policy and Risk-Taking of Banks

本文从货币政策影响银行风险承担的作用机理入手,总结了风险定价模型效应、逐利锦标赛效应、思维定势效应和中央银行沟通反馈效应等四条货币政策对银行风险承担影响的渠道,并以2004~2010年中国16家上市银行的数据为样本,采用系统广义矩估计方法实证分析中国货币政策对银行风险承担的影响。实证分析结果表明:我国货币政策与银行风险呈负相关关系,即宽松的货币政策鼓励了银行的风险承担;随着存款利率水平和存款准备金率的降低,银行的风险承担提高;同时中国银行的风险承担与GDP的增长呈正相关关系,即具有显著顺周期特征。

Based on the mechanism of monetary policy affecting the risk-taking of banks, this paper summarizes four channels of the impacts of monetary policy on the risk-taking of banks, the effects of risk pricing model,search for yield, habit formation and the communication and feedback of central bank. With the data sample of Chinese 16 listed banks and the estimation method of system GMM, the paper empirically analyses the impacts of Chinese monetary policy on the risk-taking of banks. The results show that Chinese monetary policy negatively relates to the risk-taking of Chinese banks, that is, loose monetary policy encouraging banks to take risks; with the decrease of deposit interest rate and deposit reserve ratio, the risk-taking of banks increases; the risk-taking of Chinese banks positively relates to the Chinese GDP growth, which means a significant pro-cyclical feature.