中国宏观审慎政策工具有效性与银行风险

The Effectiveness of Macroprudential Policy Tools in China and the Bank Risk

通过系统梳理2011-2016年我国宏观审慎政策工具使用情况,并基于这六年国内124家商业银行的微观数据,分别采用个体固定效应和系统GMM模型进行面板数据回归,可以检验我国宏观审慎政策工具的有效性。研究显示,通过逆周期调节,宏观审慎政策工具能够有效地促进商业银行贷款的增长,抑制了经济下行的颓势,并未造成银行风险水平的上升。此外,对于不同类型的银行,宏观审慎政策工具在促进贷款增长的效用差异上十分显著,但在抑制银行风险积累的效用差异方面并不明显。这为全面深入构建宏观审慎评估体系(MPA)提供了实证基础和经验结果。

Through systematical review on the implentatioin of China’s macro-prudential policy tools from 2011 to2016,and based on the micro data of 124 domestic commercial banks in the past six years,the panel data regression was conducted using individual fixed effects and system GMM models respectively,and the effectiveness of macroprudential policy tools were tested.The finding indicates that with the countercyclical adjustment,the macroprudential policy tools can effectively promote the growth of commercial bank loans,inhibiting the economic downturn,while it has not caused the rise of bank risk levels.In addition,with regard to different types of banks,the utilities of macroprudential policy tools in promoting loan growth are quite significant.However,the utilities of prudential instruments in suppressing bank risk accumulation are not significant.The finding provides a positive basis and empirical results for the comprehensive and in-depth construction of the macroprudential assessment system(MPA).