我国宏观审慎政策对银行风险承担影响的研究

Research on the Impact of China’s Macro-Prudential Policy on Bank Risk-Taking

宏观审慎政策在稳定金融体系的同时,对银行的风险偏好和风险承担意愿产生较大影响.以我国上市的22家商业银行2004-2018年的基础数据为研究对象,应用系统GMM估计方法,探讨宏观审慎政策的实施对我国银行风险承担水平的影响.结果显示:银行风险承担水平存在持续性;当法定存款准备金发挥宏观审慎政策职能时,其与银行风险承担呈现较为显著的负相关关系;随着宏观审慎政策实施力度的加大,银行的资产管理更为审慎.商业银行应持续推进全面风险管理体系建设,不断完善宏观审慎政策工具箱及使用机制.

Macro-prudential policy,as a dual-pillar regulatory framework in parallel with monetary policy,has become an important means of maintaining financial stability and preventing systemic financial risks.While promoting stable financial system,macro-prudential policy tools also affect the business motives and specific behaviors of financial market participants,especially the banks"risk appetite and risk-taking willingness.This paper takes the basic data of 22 commercial banks listed in China from 2004 to 2018 as the research object and applies the system GMM estimation method to explore the impact of the implementation of macro-prudential policies on the risk-taking level of China's banks.The results show that the bank's risk-taking level is continuous.When the statutory deposit reserve plays the role of macro-prudential policy,it has a significant negative correlation with the bank's risk-taking.With the implementation of macro-prudential policies,the bank's asset management more prudent and so on.Furthermore,it draws lessons from the continuous improvement of the macroprudential policy toolbox and the use mechanism,as well as the commercial banks to continue to promote the construction of a comprehensive risk management system.