货币政策、利率联动效应与银行风险承担

Monetary Policy, Interest Rate Linkage Effect and Bank Risk-taking

守住不发生系统性金融风险底线,关键在于宏观货币政策与微观银行体系。在人民币国际化背景下,基于货币政策的银行风险承担渠道以及17家银行的非平衡动态面板数据,通过构建中介效应模型,实证检验了在岸离岸人民币利率联动在货币政策银行风险承担传导机制中的中介效应。研究发现,宽松的货币政策提高了银行风险承担水平;利率联动在宽松货币政策的银行风险承担渠道中发挥了完全中介效应,但在期限、渠道与微观特质三维度上呈现显著异质性。研究结论对于全面考察货币政策通过利率联动效应影响银行风险承担的核心逻辑、实时监测预警利率联动冲击下的银行风险承担水平、妥善解决“大而不能倒”风险等提供了有益的启示。

The key to keeping the bottom line of no systemic financial risk lies in macro monetary policy and micro banking system.Under the background of RMB internationalization,based on the bank risk-taking channel of monetary policy and the unbalanced dynamic panel data of 17 banks,this paper empirically tests the intermediary effect of onshore and offshore RMB interest rate linkage in the transmission mechanism of bank risk-taking of monetary policy by constructing an intermediary effect model.It is found that loose monetary policy improves the level of bank risk-taking.Interest rate linkage plays a complete intermediary effect in the bank risk-taking channel of loose monetary policy,but it shows significant heterogeneity in terms of term,channel and micro characteristics.The research conclusion provides useful enlightenment for comprehensively investigating the core logic of monetary policy affecting bank risk-taking through interest rate linkage effect,monitoring and warning the level of bank risk-taking under the impact of interest rate linkage in real time,and properly solving the“big but can not fall”risk.