货币政策对商业银行风险承担的影响研究

The Influnce of Monetary Policy on Risk-taking of Commercial Banks

货币条件变化使信贷规模发生相应收缩或扩张是金融失衡和经济波动的原因之一。采用面板平滑过渡回归(PSTR)方法,以广义货币供应量为过渡变量,以采购经理人指数和房地产价格指数作为控制变量,构建货币政策对银行风险产生的影响模型。通过分析近年来我国银行业上市相关数据,揭示了货币政策与银行风险之间的非线性关系。研究发现货币政策等变量对银行风险的影响随货币供给价值门槛水平变化在高、低制度之间平稳并逐步过渡。在低制度下货币供应量会增加银行风险,而在高制度下则不会产生此类风险。同样,采购经理人指数和房地产价格指数对银行风险的影响也是不对称的。这些非对称效应结果表明,股市中确定的下行风险在银行体系中至关重要。

The change of monetary conditions makes the credit scale shrink or expand correspondingly,which causes financial imbalance and economic fluctuation.To study the nonlinearity in monetary policy and bank risk-taking nexus,the Panel Smooth Transition Regression(PSTR)is employed,the money supply is used as the transition variable,and the purchasing manager's index and real estate price index are set as the control variables to model the effects of monetary policy on bank risk.By using the listed data from Chinese commercial banks,the results reveal the effects of monetary policy and other variables on bank risk transit smoothly and gradually between high and low regime with the change in the value of money supply's threshold level.It is found that money supply boosts bank risk in low regime rather than in high regime.Similarly,purchasing manager's index and real estate price index have asymmetric effect on bank risk.Those asymmetric effects indicate that downside risk identified in the stock market is important in the banking system.The results have important academic and policy implications.