我国货币政策风险承担渠道存在吗——基于GMM方法的实证研究

There Exist the Risk-bearing Channels of Monetary Policies in China?——An Empirical Research Based on the GMM Method

本文收集了2004年-2013年我国45家商业银行的微观数据和相关宏观数据,并运用差分GMM回归方法对我国货币政策风险承担渠道的存在性做了实证检验。本文的研究结果说明:我国的货币政策风险承担渠道确实存在,且宽松的货币政策会刺激银行承担更多的风险;价格型货币政策工具对银行风险承担的影响大于数量型货币政策工具;银行的规模大小、盈利水平和资本充足性与银行风险承担呈反比;人均GDP增长率、银行业竞争性与银行风险承担呈正比。

The paper collects micro data and related macro data of 45 China's commercial banks from 2013 to 2014, and makes an empirical test on the existence of risk-bearing channels of China's monetary policies using the differential GMM regression method. The research results show that there do exist risk-bearing channels of China's monetary policies, and loose monetary policies will stimulate banks to take more risks, the effects of monetary policy tools centered around prices on banks' risk-bearing are greater than that of quantitative monetary policy tools, banks' size, profitability and capital adequacy is inversely proportional to banks' risk-bearing, and per capita GDP growth rate and banking competition is proportional to banks' risk-bearing.