本文關(guān)鍵詞：我國(guó)貨幣政策的銀行風(fēng)險(xiǎn)承擔(dān)研究　出處：《山東大學(xué)》2015年碩士論文　論文類(lèi)型：學(xué)位論文

  更多相關(guān)文章： 貨幣政策 銀行風(fēng)險(xiǎn)承擔(dān)渠道 靜態(tài)面板數(shù)據(jù)模型 PVAR模型

【摘要】：近年來(lái),有關(guān)貨幣政策傳導(dǎo)機(jī)制的研究逐漸成為宏觀經(jīng)濟(jì)學(xué)的一個(gè)熱點(diǎn)問(wèn)題,并且已經(jīng)取得了一定的成果。但是,這些傳統(tǒng)的分析研究主要集中在貨幣渠道和信貸渠道方面,它們往往忽略了風(fēng)險(xiǎn)因素在貨幣政策傳導(dǎo)渠道中的作用。然而,2007年次貸危機(jī)引發(fā)的全球金融危機(jī),使人們意識(shí)到風(fēng)險(xiǎn)因素的重要性,并開(kāi)始關(guān)注銀行風(fēng)險(xiǎn)承擔(dān)與貨幣政策之間的關(guān)系,認(rèn)真梳理關(guān)于貨幣政策銀行風(fēng)險(xiǎn)承擔(dān)渠道的理論體系。重新審視這一傳導(dǎo)機(jī)制的重大現(xiàn)實(shí)意義之后,我們發(fā)現(xiàn),它對(duì)于貨幣當(dāng)局如何制定貨幣政策促進(jìn)經(jīng)濟(jì)增長(zhǎng)并維持金融系統(tǒng)的穩(wěn)定性至關(guān)重要。因此,深入研究探討貨幣政策的銀行風(fēng)險(xiǎn)承擔(dān)渠道十分有必要。貨幣政策的銀行風(fēng)險(xiǎn)承擔(dān)渠道雖然早在2008年就已提出,但其研究較為分散,至今仍沒(méi)有形成完整的理論體系。為了厘清這一機(jī)制,本文首先對(duì)貨幣政策傳導(dǎo)機(jī)制的理論體系進(jìn)行梳理和提煉,并借鑒國(guó)內(nèi)外有關(guān)于此的實(shí)證研究進(jìn)行回顧和總結(jié),為之后的實(shí)證分析打下堅(jiān)實(shí)的基礎(chǔ)。然后,本文以中國(guó)20家商業(yè)銀行2004年到2013年的年度數(shù)據(jù)為樣本,通過(guò)靜態(tài)面板數(shù)據(jù)模型和PVAR模型進(jìn)行實(shí)證分析,來(lái)檢驗(yàn)不同工具類(lèi)型貨幣政策的銀行風(fēng)險(xiǎn)承擔(dān)渠道在中國(guó)是否存在,并且對(duì)數(shù)量型工具和價(jià)格型工具對(duì)貨幣政策銀行風(fēng)險(xiǎn)承擔(dān)渠道的貢獻(xiàn)度大小進(jìn)行比較。最后,基于實(shí)證分析結(jié)果,本文提出相應(yīng)的政策建議,為促進(jìn)我國(guó)經(jīng)濟(jì)的增長(zhǎng)和金融系統(tǒng)的穩(wěn)定提供參考意見(jiàn)。按照前面的研究思路,本文的組織結(jié)構(gòu)如下：第一章對(duì)本文的研究背景、研究意義、研究思路、內(nèi)容安排以及主要?jiǎng)?chuàng)新和不足之處進(jìn)行了介紹。第二章對(duì)國(guó)內(nèi)外文獻(xiàn)進(jìn)行了綜述,分為兩個(gè)部分,第一部分,通過(guò)貨幣渠道,信貸渠道和銀行風(fēng)險(xiǎn)承擔(dān)渠道三種機(jī)制對(duì)相關(guān)理論進(jìn)行了梳理,并總結(jié)了相關(guān)的實(shí)證分析。第二部分,研究了貨幣政策的銀行風(fēng)險(xiǎn)承擔(dān)渠道的影響因素。第三章通過(guò)靜態(tài)面板數(shù)據(jù)模型對(duì)不同工具類(lèi)型貨幣政策的銀行風(fēng)險(xiǎn)承擔(dān)渠道的存在性進(jìn)行檢驗(yàn)。第四章通過(guò)PVAR模型對(duì)不同工具類(lèi)型的貨幣政策對(duì)銀行風(fēng)險(xiǎn)承擔(dān)渠道的貢獻(xiàn)度進(jìn)行實(shí)證分析。第五章對(duì)實(shí)證分析進(jìn)行總結(jié),并在此基礎(chǔ)上提出相應(yīng)的政策建議。本文的研究證實(shí)了無(wú)論在數(shù)量型工具的貨幣政策條件下,還是在價(jià)格型工具的貨幣政策條件下,我國(guó)貨幣政策的銀行風(fēng)險(xiǎn)承擔(dān)渠道均是存在的,即銀行風(fēng)險(xiǎn)承擔(dān)與貨幣政策有著顯著的負(fù)相關(guān)關(guān)系,寬松的貨幣政策會(huì)促進(jìn)我國(guó)的商業(yè)銀行承擔(dān)更多的風(fēng)險(xiǎn),這說(shuō)明了貨幣政策是非中性的。同時(shí)通過(guò)方差分解,我們發(fā)現(xiàn),數(shù)量型工具比價(jià)格型工具對(duì)貨幣政策銀行風(fēng)險(xiǎn)承擔(dān)渠道的貢獻(xiàn)度更大一些。此外,本文還對(duì)銀行層面特征變量以及宏觀環(huán)境變量對(duì)銀行風(fēng)險(xiǎn)承擔(dān)的影響進(jìn)行了實(shí)證分析和說(shuō)明,結(jié)果發(fā)現(xiàn),銀行風(fēng)險(xiǎn)承擔(dān)與其資本水平和流動(dòng)性水平顯著負(fù)相關(guān),與其效率水平和盈利性水平顯著正相關(guān),與規(guī)模水平的相關(guān)性不強(qiáng)；宏觀層面因素對(duì)銀行風(fēng)險(xiǎn)承擔(dān)有著負(fù)相關(guān)的影響關(guān)系。無(wú)論是GDP增長(zhǎng)率還是宏觀經(jīng)濟(jì)預(yù)期指數(shù)的提高,都會(huì)使銀行風(fēng)險(xiǎn)承擔(dān)意愿降低,這與我們之前的設(shè)想恰恰相反,有待我們做進(jìn)一步研究和論證。
[Abstract]:In recent years, the research on the transmission mechanism of monetary policy has become a hot issue in macroeconomics, and has achieved certain results. However, analysis of these traditional research mainly focused on the monetary channel and credit channel, they tend to ignore the risk factors in the transmission channel of monetary policy in effect. However, the subprime mortgage in 2007 the global financial crisis triggered by the crisis, to make people aware of the importance of risk factors, and began to focus on the relationship between bank risk and monetary policy, the monetary policy theory system about bank risk taking channel. After careful review, of great practical significance to re-examine the conduction mechanism we find it for the monetary authorities to develop the monetary policy to promote economic growth and maintain the stability of the financial system is crucial. Therefore, in-depth study of the monetary policy of the bank It is necessary to assume the risk channels. The bank risk-taking channel of monetary policy had been proposed in 2008, but the research is scattered, has not formed a complete theoretical system. In order to clarify this mechanism, firstly the theoretical system of monetary policy transmission mechanism was summarized and refined, from home and abroad have reviews and summarizes the empirical studies on the empirical analysis, to lay a solid foundation. Then, based on the annual data of Chinese 20 commercial banks from 2004 to 2013 as a sample, makes an empirical analysis using static panel data model and PVAR model to test different tool types of bank risk-taking channel of monetary policy in Chinese exists, and the size of quantitative tools and price instruments of monetary policy of bank risk taking channel contribution were compared. Finally, based on empirical The results of the analysis, this paper puts forward the corresponding policy recommendations, provide a reference for promoting the growth of China's economy and the stability of the financial system. According to the research above, this paper is organized as follows: in the first chapter, the research background, the research significance, research ideas, content arrangement and main innovations and shortcomings are introduced. In the second chapter. The domestic and foreign literature, is divided into two parts, the first part, through the monetary channel, credit channel and bank risk taking channel three mechanisms of related theories, and summarizes the relevant empirical analysis. The second part of the monetary policy of Bank risk factors of channel effect the third chapter. Through the static panel data model for different types of tools of monetary policy on bank risk taking channel of inspection. In the fourth chapter, through the PVAR model for different industry With the type of monetary policy on bank risk taking channel's contribution for empirical analysis. The fifth chapter summarizes the empirical analysis, and on this basis, put forward the corresponding policy recommendations. This study confirmed that both in the number of tools of monetary policy conditions, or in the price of tools of monetary policy under the condition of me the bank risk-taking channel of monetary policy are exist, namely bank risk and monetary policy have a significant negative correlation, loose monetary policy will promote China's commercial banks to take more risks, which indicates that monetary policy is non neutral. At the same time, through the variance decomposition, we find that the number of type than the price based tools of monetary policy of bank risk taking channel contribution to a greater degree. In addition, the bank level variables and macro environment variables on bank risk bearing The empirical analysis and explanation, take influence results, bank risk and capital levels and liquidity level is significantly negative correlation, significant positive correlation with levels of efficiency and profit level, and the scale and level of the correlation is not strong; the macro level factors have a negative impact on the relationship of bank risk. Both the growth of GDP the rate or macroeconomic index is expected to improve, will make the bank risk will reduce, which we previously envisaged on the contrary, we need to do further research and demonstration.

【學(xué)位授予單位】：山東大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2015
【分類(lèi)號(hào)】：F822.0

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本文編號(hào)：1362625