宏观审慎政策对银行风险承担的影响——基于跨国实证的视角

The Impacts of Macro-prudential Policies on Bank Risk-taking: An Empirical Study from the International Perspective

本文基于2013年IMF宏观审慎政策实施情况调查问卷和全球53个国家的主要银行数据,分析了宏观审慎政策整体以及不同类型审慎工具的实施,对银行风险承担的影响及其作用渠道。研究发现,各国对宏观审慎政策的实施程度越大,降低银行风险承担的效果越好。从不同类型审慎工具对于抑制银行风险承担的作用效果看:缓冲型工具(动态贷款损失拨备、逆周期资本缓冲、资本缓冲工具和系统重要性金融机构额外资本要求)通过调整银行的缓冲资本规模和监管压力,能够显著降低银行的风险承担;资产负债工具(外币拆借限制、杠杆比率、国内贷款规模限制、准备金比率、金融机构税、同业风险敞口限制、贷款集中度限制、流动比率、存贷比率、估值折扣和外汇开放式头寸限制)主要通过提高银行的盈利水平来缓解银行过度承担风险;而借款人工具(贷款价值比率和负债偿还比率)对银行风险承担的影响则尚不明确,其能够在源头上降低银行的风险水平,但也会加剧银行业的竞争程度从而激励银行承担更多风险。

This paper analyzes the impacts and mechanism of macro-prudential policies on bank risk-taking behavior empirically using the survey results of 2013 IMF GMPI and the bank data from 53 countries around the world. The study found that the greater the degree of implementation of macroprudential policies, the better the effect of reducing bank risk-taking. Different kinds of regulatory tools have different influences on bank risktaking. Buffer-based regulatory tools can significantly reduce bank risk-taking by adjusting the banks’ buffer capital size and regulatory pressure. Asset-liability regulatory tools can also be used to reduce bank risk-taking by increasing banks’ profitability. However, the effects of borrower-based regulatory tools are still unclear due to two different mechanisms, they can reduce banks’ risk source on the one hand, but on the other hand it will also increase the degree of competition in banking and encourage bank to take more risks.