房地产价格与宏观经济波动下的银行风险承担:主观偏好还是被动选择

House Price,Macroeconomic Fluctuations and Bank Risk-Taking:Active Preference or Passive Choice

宏观经济波动会改变商业银行的风险承担水平,而房地产价格的变化将使二者之间的关系发生改变。本文立足于宏观审慎监管的思想,结合我国40家商业银行2005～2015年的年度非平衡面板数据,通过系统广义矩估计方法研究了房地产价格与宏观经济波动下的银行风险承担问题,从行为视角综合研判商业银行风险承担行为是"主观偏好"还是"被动选择",并进一步考察了系统重要性差异对银行风险承担的异质作用。实证结果显示:(1)上行的经济周期会使银行主动风险承担和被动风险承担同时增加,而上涨的房地产价格会降低银行主动风险承担,相反则会导致银行被动风险承担的增加;(2)在房地产价格和宏观经济波动的冲击下,系统重要性差异的确会对商业银行风险承担行为产生异质作用;(3)房地产价格的上涨会扩大宏观经济波动对银行主动风险承担和被动风险承担的影响。

Macroeconomic fluctuations can change banks risk-taking behaviors, and house price affects the sensitivity of banks risk-taking behaviors to macroeconomic fluctuations. Based on the perpective of macro-prudential management, this paper uses SYSGMM to examine the relationship among house price, macroeconomic fluctuations and banks risk-taking behaviors with an annual unbalanced panel data of 40 commercial banks in China from 2005 to 2015. Moreover, it analyzes whether banks risk-taking behavior is an active preference or a passive choice from the perspective of behavior. It also studies the heterogeneous effects of different banks. The results are as follows:(1) A good upturn in the economic cycle has a positive effect on both active risk-taking and passive risk-taking behaviors. The rising house price has a negative effect on active risk-taking behaviors, but a positive effect on passive risk-taking behaviors.(2) Influenced by the house price and macroeconomic fluctuations, the differences in system importance have heterogeneous effects on commercial banks risk-taking behaviors.(3) The rising house price can accelerate the sensitivity of both active risk-taking and passive risk-taking behaviors to macroeconomic fluctuations.