摘要
本文通过利用我国72家商业银行2003～2010年面板数据研究了货币政策的银行风险承担问题。实证结果表明:(1)我国的货币政策影响了银行的风险承担,且资本充足率在其中起重要作用。在资本充足率高时,货币政策与银行风险承担呈负向关系;随着银行资本充足率的降低,风险转移效应逐渐增强,货币政策与银行风险的负向关系逐渐减弱,甚至会转为正向关系。(2)资本充足率主要影响风险转移效应,且影响呈非线性关系,其对负相关效应几乎无影响。(3)货币政策与宏观审慎政策是互补还是替代关系,不仅依赖于经济运行状况,也依赖于银行的资本充足率。本文的实证结果对于不同的银行风险承担变量、不同的资本充足率分位数、静态面板与动态面板均表现出高度的稳健性。基于实证结果,本文详细分析了货币政策与宏观审慎政策的协调问题。
By the use of the panel data,between 2003 and 2010,of China's 72 commercial banks,we have,in this paper,studied the problem of bank's risk-taking(BRT) instigated by monetary policies(MP).The results of our study indicate that(1) China's MP impinge on bank's risk-taking(BRT),and the capital adequacy ratio(CAR) plays an import role in it;when the CAR is high,the MP have negative relationship between the MP and BRT;with the reduction of the CAR of the bank,the effect of the risk transfer gradually strengthens,and the negative relationship between the MP and bank's risks progressively weaken,and this negative relationship can turn to positive relationship;(2) the CAR mainly influence the effect of risk transfer,and this influence is in a non-linear way,and the CAR has almost no impact on the effect of the negative relationship;(3) whether the relationship between the MP and the macro-prudential policy is complementary or substitutive depends not only on the state of economic operation but also on the CAR.The results of our case study are highly reliable in the respect of different variables of the BRT,different quantiles of the CAR,in the static and dynamic panel.Founded on the results of our research,we have,in this article,elaborated the problem of the coordination between the MP and the macro-prudential policy.
出处
《管理世界》
CSSCI
北大核心
2012年第11期9-19,56+187,共13页
Journal of Management World
基金
南开大学基本科研业务费专项资金项目<中国宏观审慎政策与金融稳定>(NKZXA1111)的资助
