货币政策对银行风险承担的影响——杠杆率的视角

Research on the Impact of Monetary Policy on Bank Risk-taking Based on Leverage Ratio

利用2005-2018年我国189家商业银行的非平衡面板数据,通过构建模型从正负两方面阐述货币政策对银行风险承担影响的“利润效应”渠道与“杠杆效应”渠道。实证结果表明:在中国情景下“杠杆效应”渠道大于“利润效应”渠道,宽松货币政策推高银行风险承担水平,且其影响受到银行杠杆率的影响。随着杠杆率的提高,“杠杆效应”渠道影响扩大,风险积聚效应不断增强,货币政策对银行风险承担的负向关系不断增强。异质性分析表明:无论是全国银行还是地方性银行,杠杆率在货币政策对银行风险承担均起着风险积聚效应,而且这种效应不存在显著性差异。在当前结构性去杠杆大背景下,监管当局应注意杠杆率变化,秉承宏观审慎政策与微观审慎政策并重的理念,同时把握监管政策的节奏和力度。

Based on the non-equilibrium panel data of 189 commercial banks in China from 2005 to 2018,this paper discussed the“profit effect”channel and the“leverage effect”channel of the impact of monetary policy on bank risk-taking from both positive and negative aspects by building a model.The research shows that the“leverage effect”channel is greater than the“profit effect”channel,the loose monetary policy leads to the increase of bank risk-taking,and its impact is affected by the bank's leverage ratio.With the increase in leverage ratio,the influence of the“leverage effect”is expanding,the effect of risk accumulation is increasing,and the negative relationship between monetary policy and bank risk-taking is enhancing.The analysis of heterogeneity shows that whether it is a national bank or a local bank,the leverage ratio in monetary policy has a risk accumulation effect on the bank risk-taking,and there is no significant difference in this effect.Under the background of current structural deleveraging,the regulatory authorities should pay attention to changes in the leverage ratio,adhere to the concept of paying equal attention to macro-prudential policies and micro-prudential policies and grasp the rhythm and intensity of regulatory policies at the same time.