摘要
在数字经济蓬勃发展的时代背景下,资产数字化是经济转型与发展的重要特征之一。本文使用动态随机一般均衡方法,将资产数字化因素和监管因素纳入宏观经济模型,研究资产数字化对银行风险的影响,并讨论“双支柱”调控的效果。研究发现资产数字化能够有效抑制银行部门的风险积聚,资产数字化程度越高,银行风险降低程度越明显;监管强度和监管范围会影响资产数字化与银行风险之间的关系,银行资产数字化后,监管强度的增加和监管范围的扩大更有利于降低银行风险;相比于法定存款准备金率,资本充足率和贷款价值比工具更有利于降低数字化后的银行风险;相比于货币政策,宏观审慎与货币政策组合更有利于降低银行风险与社会福利损失。因此,在资产数字化过程中,“双支柱”调控框架能够更好地防范银行风险,增强政策有效性。
With the deep integration of finance with big data,artificial intelligence and other innovative technologies,the trend of“asset digitization”is clear.“Asset digitization”mainly manifests in three aspects.First,banks invest part of their funds in digital devices and data assets,forming digital assets.Second,new technologies such as artificial intelligence and cloud computing are applied to traditional banking businesses,making traditional assets exhibit digital characteristics.Thirdly and importantly,after asset digitization,the supervision efficiency of banks is significantly improved.As bank assets continues to be digitized,the issue of bank risks brought by asset digitization has drawn the attention of regulatory authorities.Therefore,studying the impact of asset digitization on bank risk and the effectiveness of“two-pillar”regulation provide a new research perspective for the management of bank risk.In particular,“two-pillar”regulation refers to the use of monetary policy and macro-prudential policy as macro-regulatory tools to jointly maintain the stability of the financial system.Motivated from specific practices of asset digitization and standard features of“two-pillar”regulation,this paper builds a dynamic stochastic general equilibrium model,which includes households,firms,banks,non-bank financial institutions,a central bank and government,to study the impact of asset digitization on bank risk.The paper also investigates the effects of“two-pillar”regulation under a variety of policy combinations and different levels of regulatory intensity.Numerical simulation results show that,first,asset digitization can effectively suppress the accumulation of risk in the banking sector,and the higher the proportion of asset digitization,the more significant the reduction of bank risk.Second,with the deepening of asset digitization,increasing regulatory intensity and expanding regulatory scope work well to reduce bank risk.Third,after asset digitization,capital adequacy ratio and loan-to-value r
作者
何德旭
张庆君
陈思
刘蕴霆
HE Dexu;ZHANG Qingjun;CHEN Si;LIU Yunting(School of Business,University of Chinese Academy of Social Sciences;School of Finance/Research Center for Finance and Insurance,University of Tianjin Finance and Economics;National Academy of Economic Strategy,Chinese Academy of Social Sciences;School of Economics,Peking University)
出处
《经济研究》
CSSCI
北大核心
2023年第1期38-55,共18页
Economic Research Journal
基金
国家社会科学基金后期资助项目“非金融上市公司债务违约风险生成机制及溢出效应研究”(20FJYB003)的资助
