货币政策、金融杠杆与银行风险承担

Monetary Policy,Financial Leverage and the Risk-taking Behavior of Banks

本文利用16家上市商业银行从2014年第四季度到2018年第三季度的季度面板数据,采用差分广义矩估计(DGMM)方法实证分析了货币政策和杠杆率对银行风险承担的影响。结果表明:第一,货币调控在金融稳定方面并非风险中性,它与银行风险承担呈现显著的负相关关系,即货币政策放松会相应提高银行的风险承担水平。第二,杠杆率作为资本充足率的有益补充是有效的,银行杠杆水平越低则其风险承担水平也越低,杠杆率监管会减缓或抑制货币政策对银行风险承担的影响,这也为2018年我国“宽货币紧信用”现象提供了合理解释。根据研究结论,本文就完善并协调货币调控、宏观审慎和微观监管提出政策建议。

Based on the quarterly panel data of 16 listed banks in China from the fourth quarter of 2014 to the third quarter of 2018,this paper has an empirical analysis of both the monetary policy and leverage ratio's impact on commercial banks'risk-taking by using Differential GMM method.The study finds that:first,monetary regulations are not risk neutral in terms of financial stability and they have a significantly negative correlation with risk-taking of the banks,namely monetary policy relaxation will increase the banks'risk-taking level;second,leverage ratio is effective as a beneficial supplement to capital adequacy ratio,and the level of the bank leverage has a positive correlation with the banks'risk-taking.The supervision of the leverage ratio can slow down or suppress the monetary policy's influence on the risk-taking of banks,which provides a reasonable explain for China's"relaxed monetary environment,tighten credit"phenomenon in 2018.Based on the above conclusions,relevant policies for perfecting financial regulations and coordinating the monetary control,micro prudence and microcosmic are proposed.