货币政策冲击、银行系统性风险与债权激励机制

Monetary Policy Shocks,Bank Systemic Risk and Debt-based Incentives

基于异方差识别法和CoVaR方法,以中国上市银行季度数据为样本,实证研究了货币政策冲击对银行系统性风险的影响,并检验了债权激励机制对二者关系的调节效应。研究发现,宽松的货币政策冲击会提高银行系统性风险。进一步地,债权激励机制能够有效减弱货币政策冲击对银行系统性风险的作用,其调节效应主要通过提高银行的净盈利能力和降低银行的道德风险来实现。

Based on heteroskedasticity identification method and CoVaR method,this paper used quarterly data of Chinese listed banks to empirically analyze the impact of monetary policy shock on bank systemic risk and the moderation effect of debt-based incentives in their midst.Results show that loose monetary policy shock has exacerbated bank systemic risk,while debt-based incentives can effectively weaken such effect of monetary policy shock.The moderation effect of debt-based incentives results from the improvement of banks’net profitability and the reduction of their moral hazard.