宏观审慎政策如何影响银行顺周期行为?——基于中国银行业的准自然实验

How Do Macroprudential Policies Affect Banks′Pro-cyclical Behavior?Based on the Quasi-Natural Experiment of Chinese Banking Institutions

为减缓银行顺周期行为、防范风险传染,央行于2016年推出宏观审慎评估体系(MPA),开展了宏观审慎政策在中国的实践,而如何对此项政策效果进行评估是当前面临的前沿问题。本文以MPA实施作为准自然实验,基于中国120家商业银行2013-2019年的面板数据,运用双重差分法(DID)实证检验宏观审慎政策对银行顺周期行为的影响及作用机制。研究结果表明:宏观审慎政策实施后,中小银行的顺周期行为明显降低。具体地,与国有大型和股份制银行相比,宏观审慎政策显著降低了城商行和农商行等中小银行的顺周期信贷行为,提高了其流动性水平和多元化经营水平。为提高宏观审慎政策的有效性,需要进一步保持宏观审慎政策的定力,在效率和公平的角度上适度考虑在区域经济上的政策差异,并不断完善宏观审慎政策制度框架。

In order to prevent banks′pro-cyclical behavior and risk contagion,Chinese Central Bank established the Macro-Prudential Assessment System(MPA)in 2016,and carried out the practice of macro-prudential policies in China.But how to evaluate the effects of this policy is a frontier of current research.This article uses MPA implementation as a quasi-natural experiment.Based on the panel data of 120 Chinese commercial banks from 2013 to 2019,this paper uses the Difference-in-differences method(DID)to empirically test the impact and mechanism of macro-prudential policies on banks′pro-cyclical behavior.The conclusions show that after the implementation of macro-prudential policies,the pro-cyclical behavior of small and medium-sized banks has been significantly reduced.Specifically,compared with large state-owned and joint-stock banks,macro-prudential policies have significantly reduced the pro-cyclical credit behavior of small and medium-sized banks(such as city commercial banks and rural commercial banks),and improved their liquidity and diversified operations.Therefore,in order to improve the effectiveness of macro-prudential policies,it is necessary to further maintain the determination of macro-prudential policies,appropriately consider policy differences in regional economies from the perspective of efficiency and fairness,and improve the framework of the macro-prudential policy system.