银行竞争与货币政策银行风险承担渠道:理论与实证

Bank Competition and Bank Risk-taking Channel of Monetary Policy:Theoretical and Empirical Analysis

本文创新性地构建能够刻画银行竞争强度变化和货币政策调整情形的四阶段动态博弈模型,系统考察货币政策作用于银行风险承担行为的理论传导机制,并重点分析银行竞争对货币政策银行风险承担渠道的影响机理。紧接着,本文使用2007~2017年我国151家商业银行非平衡面板数据,对理论结果进行实证检验。经验结果显示:宽松的货币政策会诱使银行承担更多风险,意味着我国存在货币政策银行风险承担渠道,且不同银行主体间其风险承担对货币政策的敏感性存在异质性。进一步地,研究发现银行竞争加剧会与货币政策相叠加,放大货币政策对银行风险承担的影响。据此,本文认为在深化银行业市场化体制改革和实施货币政策调控经济的过程中需密切关注银行风险承担状况,把握好改革节奏和调控力度,避免银行承担过高风险。

This paper innovatively constructs a four-stage dynamic game model that can describe the changes in bank competition intensity and the adjustment of monetary stance.This model allows us to explore the theoretical transmission mechanism of monetary policy on bank risk-taking behavior systematically,and above all,analyze the influence mechanisms between the bank competition and bank risk-taking channel of monetary policy.Then,this paper uses the nonbalanced panel data of 151 commercial banks in China from 2007 to 2017 to empirically test the theoretical results.The empirical results show that loose monetary policy will induce banks to take more risks,which means that there exists the bank risk-taking channel of monetary policy,and the sensitivity of their risk-taking to the monetary policy among different bank entities is heterogeneous.Further,the study found that the intensification of bank competition will be superimposed on the monetary policy,amplifying the impact of monetary policy on bank risk-taking.Our findings indicate that in the process of deepening the reform of the banking market system and implementing the monetary policy to regulate the economy,it is necessary to pay close attention to the risk-taking situation of banks,grasp the pace and strength of reform,in order to prevent banks from excessive risk-taking behavior.