货币政策、宏观审慎管理与商业银行风险承担行为

Monetary Policy, Macro-prudential Management and Risk Taking Behavior of Commercial Banks

随着我国金融市场高速发展,加强货币政策和宏观审慎管理协调搭配的必要性日益显现。本文选取2008-2019年我国商业银行数据,采用系统GMM方法实证检验了货币政策和宏观审慎管理对银行风险承担行为的调控作用。结果表明:货币政策和宏观审慎管理二者之间具有互补性,伴随宏观审慎管理的加强,商业银行风险承担对货币政策的敏感性提升,有利于增强货币政策对银行风险的约束作用;相对于全国银行,货币政策和宏观审慎管理这一双支柱对地方银行风险承担的作用效果越明显。最后,本文从多角度就提升政策的实效性提出相关政策建议。

With the rapid development of China’s financial market, the necessity of strengthening the coordination of monetary policy and macro-prudential management is becoming increasingly apparent. This paper selects the data of Chinese commercial banks from 2008 to 2019, and empirically tests the regulatory effect of monetary policy and macro-prudential management on the risk taking behavior of banks by using the System GMM method. The results show that monetary policy and macro-prudential management are complementary. With the strengthening of macro Prudential Management, the sensitivity of risk bearing to monetary policy of commercial banks is enhanced, which is conducive to enhancing the restraint effect of monetary policy on bank risk;compared with the national banks, the effect of monetary policy and macro-prudential management on risk-taking of local banks is more obvious. Finally, this paper puts forward some policy suggestions from many aspects to improve the effectiveness of policy.