货币宽松、银行竞争与风险承担——理论模型与实证分析

Easing Monetary Policy,Bank Competitive and Risk Taking:Theoretical Model and Empirical Test

宽松的货币政策将通过改变银行竞争环境引起风险承担水平的变化。对DLM模型进行拓展改进,通过内生化银行竞争,探究货币政策、银行竞争与银行风险承担之间的关系,并以我国78家商业银行2003—2018年的非平衡面板数据进行了实证检验。结果表明:银行竞争在货币政策与风险承担的关系中存在中介效应,宽松的货币政策能够加剧银行间的竞争程度使得银行风险承担水平上升。此外,资本约束和金融创新能够抑制货币宽松对银行竞争的促进作用,其中资本约束对全国性银行的调节效应较区域性银行的调节效应更为显著,而金融创新对区域性银行的调节效应较全国性银行更为显著。为此,中央银行在制定与实施货币政策时,应适度关注货币政策变化对银行竞争与银行风险的影响,同时健全货币政策和宏观审慎政策"双支柱"调控框架,使得银行业的竞争程度与风险水平维持在合理区间。

Easing monetary policy will change the level of bank risk taking by changing the competitive environment.This paper expands and improves the DLM model,explores the relationship between monetary policy,bank competition and bank risk taking through internalizing bank competition,then makes an empirical test with the unbalanced panel data of 78 commercial banks in China from 2003 to 2018.The results show that bank competition plays an intermediary role in the relationship between monetary policy and bank risk taking,and easing monetary policy will intensify the competition among banks and increase the level of bank risk taking.In addition,capital restraint and financial innovation can reduce the promotion of easing monetary to bank competition.Therefore,when formulating and implementing monetary policy,the central bank should pay attention to the influence of monetary policy changes on bank competition and bank risk,and at the same time improve the"two-pillar"regulatory framework of monetary policy and macro-prudential policy,so that keep the competition and risk level of banking industry in a reasonable range.