货币政策对于商业银行风险承担的影响分析

Analysis on the Impact of Monetary Policy on Commercial Banks’ Risk-Taking

论文以2011~2020年中国65家银行数据为样本,将商业银行数据通过Z指数模型进行处理作为代表风险承担的指标,建立多元线性回归模型进行实证分析,研究不同类型的货币政策对于商业银行风险承担水平的影响程度以及商业银行在受货币政策影响时所表现出来的异质性特征。研究结果表明,货币政策的变动能有效影响银行风险承担水平,银行的风险承担对于低利率的货币政策更为敏感,且不同银行在受货币政策影响时也会表现出异质性。研究成果在我国银行业监管方面特别是对于风险运营监管的效率提升方面有一定贡献,有助于有效防范我国银行业的系统性风险,为之提供相关的理论上的借鉴与决策上的参考。

Taking the data of 65 Chinese banks from 2011 to 2020 as samples, this paper processes the data of commercial banks through Z-index model as an indicator of risk-taking, and establishes a multiple linear regression model for empirical analysis to study the impact of different types of monetary policy on the risk-taking level of commercial banks and the heterogeneity characteristics of commercial banks affected by monetary policy. The results show that the change of monetary policy can effectively affect the level of bank risk-taking, bank risk-taking is more sensitive to low interest rate monetary policy, and different banks will also show heterogeneity when affected by monetary policy. The research results have a certain contribution to the supervision of China’s banking industry, especially to the improvement of the efficiency of risk operation supervision, so as to effectively pre-vent the systematic risk of China’s banking industry, and provide relevant theoretical guidance and decision-making reference.