货币超发冲击对金融稳定的影响——基于银行风险承担与系统性风险视角

Money Supply Shock,Bank Risk-Taking and Systemic Risk

本文从银行风险承担与系统性风险角度,研究了货币超发冲击对金融稳定的影响。本文使用2005年至2019年中国商业银行数据,基于平滑局部投影模型,通过实证研究发现:(1)货币超发冲击对系统性风险的正向影响随时间累积逐渐显现,后逐渐减弱;(2)银行被动风险承担因货币超发冲击而增加,但该影响随时间推移逐渐减弱;(3)货币超发冲击并未导致银行主动风险承担的上升,反而使其有所下降,这与影子银行的快速发展存在关联性,同时这也表明仅关注银行表内(主动)风险承担行为是不足的;(4)分银行类别来看,货币超发冲击对系统重要性银行的消极影响更强。此外,现有的“双支柱”调控框架能够在一定程度上抑制货币超发冲击对金融稳定造成的消极影响,但仍存在改进空间。本文的研究对防范系统性风险与维护金融稳定具有一定的参考价值。

This paper investigates the impact of money supply shock on financial stability from the perspective of bank risk-taking and systemic risk.Using Chinese commercial bank data from 2005 to 2019 and based on a smooth local projection model,this paper finds that the positive impact of monetary overshooting shocks on systemic risk emergesgradually and diminishes in the end.Banks'passive risk-taking increases as a result of money supply shocks,but this effect diminishes over time.However,money supply shocks do not lead to an increase in banks'active risk-taking,but rather to a decrease,which is related to the rapid growth of shadow banking and suggests that focusing on banks'on-balance-sheet(active)risk-taking behavior is not sufficient.Overall,money supply shocks have a stronger negative impact on systemically important banks.The existing"twin-pillar"regulatory framework can contain the negative impact of money supply shocks on financial stability,but there is still room for improvement.The research in this paper has a certain reference value for preventing systemic risk and maintaining financial stability.