结构性货币政策与银行系统性风险承担:基于LPR改革实验的证据

Structural Monetary Policy and Systemic Risk-taking of Banks:Evidence from the LPR Reform

银行系统性风险承担是目前市场对结构性货币政策的主要担忧之一。本文利用2015~2020年我国16家上市商业银行月度数据考察了结构性货币政策对银行系统性风险承担的影响。研究发现:以MLF为主的结构性货币政策不仅没有导致我国银行系统性风险过度承担,反而显著抑制了商业银行系统性风险,说明目前我国稳健的结构性货币政策是适度的,但SLF和PSL却没有这一效果。考虑到内生性问题,文章以LPR改革作为准自然实验验证了结论的稳健性,并且在排除其他政策和冲击影响之后研究结果依然稳健。最后从市场经营环境、监管压力和风险管理等角度分析结构性货币政策的作用渠道。本文首次从银行系统性风险角度分析结构性货币政策的作用机制和后果,这有助于回应市场对结构性货币政策的担忧和质疑,为结构性货币政策的进一步完善提供借鉴和参考。

The systemic risk taken on by the banking system is one of the main concerns of the market regarding structural monetary policy.This article examines the impact of structural monetary policy on the systemic risk taken on by the banking system using monthly data from 16 listed commercial banks in China from 2015 to 2020.The study finds that the structural monetary policy primarily based on the MLF(Medium-term Lending Facility)has not led to excessive systemic risk taken on by the banks in China,but instead has significantly suppressed systemic risk,indicating that the current prudent structural monetary policy in China is appropriate.However,the SLF(Standing Lending Facility)and PSL(Policy-based Support Loan)do not have this effect.Considering the endogeneity issue,the article uses the LPR(Loan Prime Rate)reform as a quasi-natural experiment to verify the robustness of the conclusion,and it remains significant even after controlling for other policy and shock influences.Finally,the study analyzes the channels through which structural monetary policy works from the perspectives of market operating environment,regulatory pressure,and risk management.This is the first time that the impact of structural monetary policy on systemic risk in the banking system has been analyzed,which helps to address market concerns and questions about structural monetary policy and provides reference for further improvement of structural monetary policy.