双支柱政策对商业银行风险承担的协同作用——基于情景模拟视角

The Synergistic Effect of Two-pillar Policy on the Risk-taking of Commercial Banks——from the Perspective of Scenario Simulation

宏观经济环境的变化能够改变商业银行的风险管理策略以及央行的双支柱政策,即货币政策和宏观审慎政策,因此可基于中国宏观经济环境情景的模拟,对双支柱政策与商业银行风险承担的关系进行研究。首先,以2000-2020年期间中国132家商业银行为样本,运用系统GMM方法分析双支柱政策与商业银行风险承担之间的关系,探讨双支柱政策协同作用于商业银行风险承担的影响效应;其次,在不同的经济环境情景下,根据实证结果探讨双支柱政策与商业银行风险承担的协同作用。研究发现,商业银行风险承担行为既受到宏观审慎政策的影响,也受到货币政策的影响,且影响效应在宏观审慎政策与货币政策协同作用的前提下将得到提升。相对于货币政策而言,宏观审慎政策的影响更加敏感,随着宏观审慎政策的加强,货币政策的影响将逐渐削弱。结合情景模拟,分析双支柱政策与风险承担在不同宏观经济场景中的关系后得出,应加强商业银行风险监管,完善宏观审慎评估对象,引导商业银行适应政策环境,强化双支柱政策对风险承担的协同作用。

The change of macroeconomic environment can change the risk management strategy of commercial banks and the two-pillar policy of the central bank,i.e.,the monetary policy and the macro-prudential policy. So the authors study on the relation between the two-pillar policy and the risk-taking of commercial banks based on the scenario simulation of China’s macroeconomic environment. First,based on the sample of 132 commercial banks in China from 2000 to 2020,the relationship between the two-pillar policy and the risk-taking of commercial banks is analyzed by using the systematic GMM method,and the synergistic effect of the two-pillar policy on the risk-taking of commercial banks is obtained;and then,under different economic scenarios,the synergistic effect of the two-pillar policy on the risk-taking of commercial banks is discussed according to the empirical results. It is found that the risk-taking behavior of commercial banks is affected not only by macro-prudential policy,but also by monetary policy,and the effect will be enhanced under the premise of macro-prudential policy supervision and monetary policy. Compared with monetary policy,the impact of macro-prudential policy is more sensitive,with the strengthening of macro-prudential policy,the impact of monetary policy will gradually weaken. Combined with scenario simulation,by analyzing the relationship between two-pillar policy and risk-taking in different macroeconomic scenarios,it is concluded that we should strengthen the risk supervision of commercial banks,improve the supervision object of macroprudential evaluation,and guide commercial banks to adapt to the policy environment and strengthen the synergy between the two-pillar policy and risk-taking.