流动性机制下货币政策的银行风险承担渠道研究——基于银行资产端和负债端双重视角

Research on Bank Risk-Taking Channels of Monetary Policy Under Liquidity Mechanism--From the Dual Perspectives of Assets and Liabilities

本文基于DLM模型将货币政策的银行风险承担渠道从资产端扩充至负债端,并利用中国107家商业银行2007-2022年的年度数据,系统检验了风险承担渠道在资产端与负债端的效应差异与作用机制。结果表明:宽松货币政策同时促进了银行资产端和负债端的风险承担,促进作用在小银行中更显著。流动性传导效应是其重要传导机制。货币政策的银行风险承担渠道存在关于银行流动性水平的门槛效应,但在资产端与负债端表现出差异性,即随着流动性水平提高,货币政策对资产端风险承担的正向影响呈现递减趋势,而对负债端的正向影响呈现递增趋势。

This paper expands the bank risk-taking channels of monetary policy from the asset side to the liability side based on the DLM model,and uses annual data of 107 commercial banks in China from 2007 to 2022 to systematically examine the differences in the effects and mechanisms of risk-taking channels on the asset and liability sides.The results show that the loose monetary policy simultaneously promotes the risk taking on both the asset side and the liability side of banks,and the promotion effect is more significant in the small-scale banks.The liquidity transmission effect is an important transmission mechanism.There is a threshold effect on bank liquidity level in the risk-taking channel of monetary policy,but there is a difference between the asset and liability sides,that is,as the liquidity level increases,the positive impact of monetary policy on the risk taking of asset side shows a decreasing trend,while the positive impact on the liability side increases.