摘要
基于动态非平衡面板系统GMM模型分析中国62家商业银行2000—2012年间的财务数据发现,货币政策调控对银行风险承担行为具有显著的负向影响,且这种负向关系对数量型货币政策工具变量反映更加敏感。进一步的,货币政策调控对银行风险承担行为的影响具有明显的异质性特征。其中,系统重要性银行的风险承担行为具有正向截距效应和负向斜率效应;自有资本比率较高和规模较大的银行对宽松货币政策的反映较为审慎;热衷于表外业务的银行在货币政策趋于宽松时会更加激进。因此,构建中国宏观审慎管理框架,需要将金融稳定目标纳入货币政策反应函数,实现货币当局与监管当局的统一协调。同时,对异质性银行实施动态化和差别化的审慎监管,有利于实现金融改革和金融发展的长期稳定。
Analyzing the relationship among the monetary policy, bank risk-taking and macro prudential management based on the unbalanced systematic dynamic panel GMM method, this paper finds that monetary policy has a significant negative impact on the bank＇s risk-taking behavior, which is more sensitive to quantity instruments of monetary policy. Furthermore, the risk-taking behavior of systemically significant banks have the positive intercept effect and negative slope effects; banks with higher capital adequacy ratios and bigger scale perform more cautiously when monetary policies ease, while banks keen on offbalance sheet items tend to be more aggressive. Therefore, it is conducive to the long-term stability of financial reform and financial development to build a macro-prudential regulatory framework which introduces financial stability objectives into monetary policy reaction function, and to achieve the dynamic and discrepant prudential regulation to heterogeneity banks through the coordination of the monetary authorities and the regulatory authorities.
出处
《南开经济研究》
CSSCI
北大核心
2014年第5期24-39,共16页
Nankai Economic Studies
基金
2014年国家建设高水平大学公派研究生项目"西安交通大学-Fordham University联合培养博士生项目"(批准号:201406280127)
国家社科基金资助项目"行业垄断收入分配效应的成因
测度与治理体系研究"(批准号:13CJY020)
国家自然科学基金资助项目"中国通货膨胀预期的形成机制
测度与管理研究"(批准号:71203175)的联合资助
