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国际金融危机的爆发引发了理论界对货币政策是否影响银行体系稳定问题的更为广泛的关注。文章基于异质性视角构建动态面板数据模型对货币政策与银行风险承担行为之间的关系进行估计,研究结果表明:2003-2011年,货币政策变量对银行风险偏好的影响具有时滞性,贷款利率提高有助于抑制银行风险,货币供应量增加会刺激银行更加冒险;不同银行对货币政策冲击会做出异质反应,随着资本充足率的提高,货币政策对银行风险承担行为的影响效果减弱。因此,加强中国人民银行在宏观审慎监管中的主导作用、建立逆周期的货币政策和资本监管协调机制是后金融危机时代我国监管当局的重要议题。
Abstract：Lots of attention has been paid to whether monetary policy can influence banking system stability in the aftermath of the global financial crisis.By using a dynamic panel data model,this paper analyzes how monetary policy affect bank risk taking based on the perspective of heterogeneity.The results show that the impact of monetary policy variables on bank's risk preference exhibits strong time lag from 2003 to 2011;high lending rate would inhibit bank risk;but the increasing of money supply would stimulate greater risk-taking.The distributional effects of monetary policy on bank risk-taking due to individual bank characteristics revealed that the impact of monetary policy on risk assets was diminished for banks with higher capital adequacy.Therefore,how to strengthen the leading role of the central bank in macro prudential management and construct coordination mechanism between the countercyclical monetary policy and capital regulation becomes a key issue of the Chinese regulatory authorities in the post-financial crisis era.
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①考虑到会计准则与国际不一致,在bankscope database提供的三种不同会计准则下的资产负债表中,本文选择了中国的会计准则。
②中国农业银行多年的资本充足率数据没有公布,同时由于资产重组广东发展银行多年的风险加权资产和资产充足率指标缺失或极为异常,所以该样本没有包括中国农业银行和广东发发展银行的数据。
基本信息:
DOI：10.14134/j.cnki.cn33-1336/f.2013.09.007
中图分类号:F822.0;F832.3;F224
引用信息:
[1]冯宗宪,陈伟平.中国货币政策对银行风险承担行为的影响研究——基于异质性视角[J].商业经济与管理,2013,No.263(09):78-86.DOI:10.14134/j.cnki.cn33-1336/f.2013.09.007.
基金信息:
国家社科基金重大项目(1282D070); 国家自然科学基金项目(71073124;71103158)
2013-09-15
2013-09-15