摘要
基于对货币政策传导机制的理论阐释,本文构建实证检验的动态面板模型,运用SYS-GMM方法,利用1998～2010年中国14家主要商业银行数据,考察其资本约束和风险承担对贷款决策的影响,探讨货币政策传导是否存在银行资本渠道和风险承担渠道。结果显示:2004年后,资本监管强化了资本约束对商业银行信贷决策的影响,发挥了资本门限效应,形成了货币政策传导的银行资本渠道;但商业银行较高的风险偏好并未改变,资本监管的框架效应尚未形成;宽松的货币政策激起了商业银行强烈的放贷冲动,影响了其风险识别和风险容忍,货币政策传导的风险承担渠道逐渐显现。
Based on the theoretical interpretation of the transmission mechanism of monetary policy,this paper constructs a model for the empirical test of dynamic panel data and uses the SYS-GMM method and the data of 14 Chinese major commercial banks from 1998 to 2010 to analyse the impacts of capital constraints and risk-taking on lending-decision,investigate whether there are bank-capital channels and risk-taking channels of monetary policy transmission.The results show that,after 2004,capital regulation has reinforced the impacts of capital constraint on the credit-decision of commercial banks,played a threshold role and has formed the bank-capital channel of monetary policy transmission;but the higher risk-preferring of commercial banks has not changed and the framework effects of capital regulation has not formed yet;the loose monetary policy provokes strong lending-desires of commercial banks,which affect the risk identification and risk tolerance of the banks and the risk-taking channel of monetary policy transmission is gradually emerging.
出处
《金融论坛》
CSSCI
北大核心
2012年第8期13-19,共7页
Finance Forum
基金
国家杰出青年基金重大项目(70525005)
教育部人文社会科学研究西部和边疆地区规划基金项目(10XJA630003)
中央高校基本科研业务费项目(CDJSK100204)
关键词
资本监管
资本约束
风险承担
银行信贷
货币政策
capital regulation
capital constraint
risk-taking
bank credit
monetary policy
