摘要
本文收集14家上市商业银行2001~2012年的非平衡面板数据,构建动态调整面板混合回归模型,对比分析基于泰勒规则构造的利差变量、M2年增长率、存款准备金率、中国银行业同业拆借利率与一年期贷款基准利率等5种货币政策工具变量对银行风险承担的作用效果。计量结果表明,除一年期贷款基准利率的作用不显著外,其他4种货币政策工具的银行风险承担效应在中国显著存在,其中,利差变量的系数绝对值较大,作用效果较为突出。因此,货币政策目标不应只追求币值稳定、经济增长,同时需防范宏观金融风险及失衡的累积。
This paper uses the unbalanced panel data of collection of 14 listed commercial banks during 2001-2012 to construct a dynamically-adjusted panel and mixed regression model, and present a comparative analysis of the effects of five kinds of monetary policy tool variables, interest rate spread, M2 growth rate, deposit reserve ratio, China banking CHIBOR and the benchmark interest rate of one-year lending, which is set on the basis of the Taylor rule, on the risk-taking of banks. The calculation results show that, the effects of the benchmark interest rate of one-year lending are not significant, the other four kinds of monetary policy tools have significant effects on the risk-taking of banks in China; the absolute value of the coefficient of variable interest rate spread is the biggest, which means the effects are relatively obvious. Therefore, the goal of monetary policy should not be set only on the pursuit of currency value stability and economic growth, but meanwhile, on the accumulation of macro-financial risks and imbalances.
出处
《金融论坛》
CSSCI
北大核心
2014年第12期33-39,45,共8页
Finance Forum
基金
国家自然科学基金面上项目"基于流动性视角的资产定价模型重构研究"(71471117)
教育部人文社科研究项目"中国宏观审慎货币政策的调控机制研究"(11YJA790107)
"通货膨胀惯性
金融市场摩擦与结构性冲击--债务危机下DSGE模型的扩展与应用研究"(12YJC790020)
上海市教委重点课题"综合风险网络传染的系统性风险评估与分析框架研究"(12ZS125)的资助
关键词
货币政策工具
银行风险承担
币值稳定
经济增长
金融风险
monetary policy tool
risk-taking of bank
currency value stability
economic growth
financial risk
