本文關(guān)鍵詞：貨幣政策對商業(yè)銀行風險承擔的非對稱影響研究　出處：《天津財經(jīng)大學》2015年碩士論文　論文類型：學位論文

  更多相關(guān)文章： 貨幣政策 銀行風險承擔渠道 動態(tài)面板模型 VAR

【摘要】：席卷全球的金融危機以來,關(guān)于銀行信貸風險防范和信貸質(zhì)量問題越來越受到監(jiān)管部門和各業(yè)內(nèi)人士的關(guān)注。一直以來,貨幣政策都是世界各地政府控制經(jīng)濟和宏觀調(diào)控的重要手段,人們普遍認為金融危機的一個重要原因在于由于美國長期以來的低利率與寬松的貨幣政策,由此產(chǎn)生的“銀行風險承擔渠道理論”也開始成為學者研究討論的重點。在我國,貨幣政策對商業(yè)銀行風險水平是否產(chǎn)生影響,以及如何產(chǎn)生影響都是亟待討論的問題。這直接關(guān)系到金融行業(yè)甚至整個實體經(jīng)濟的穩(wěn)定發(fā)展。本文首先是對商業(yè)銀行風險承擔理論和貨幣政策非對稱性理論進行了總結(jié)和概括,系統(tǒng)的闡述了貨幣政策對銀行風險承擔水平的影響。其次,基于2005年-2013年我國各大上市商業(yè)銀行的面板數(shù)據(jù),運用廣義矩估計方法,對商業(yè)銀行風險承擔渠道理論進行了實證檢驗。進一步通過建立VAR模型驗證了貨幣政策對銀行風險承擔的非對稱性影響。實驗結(jié)果表明：風險渠道理論在我國銀行業(yè)市場基本成立,貨幣政策主要通過估值機制和逐利機制對我國商業(yè)銀行風險承擔產(chǎn)生影響,競爭機制作用不明顯,這也與我國銀行業(yè)自身特點有關(guān)。宏觀經(jīng)濟情況、銀行業(yè)競爭情況和銀行自身情況均對銀行風險產(chǎn)生影響。貨幣政策對宏觀經(jīng)濟帶來的影響效果具有非對稱性特征,擴張的貨幣政策作用明顯且時效性強,緊縮的貨幣政策影響范圍較小且具有一定時滯性。銀行業(yè)競爭和銀行資本水平也會在不同程度上影響這種非對稱性。實證結(jié)論提示我們,貨幣管理當局、監(jiān)管部門和商業(yè)銀行都應(yīng)當重視貨幣政策實施對銀行業(yè)帶來的沖擊,謹慎使用貨幣政策調(diào)節(jié)工具。同時在銀行風險管理的過程中應(yīng)充分考慮貨幣政策因素,提高風險管理能力。三方共同努力,實現(xiàn)貨幣政策調(diào)節(jié)與金融業(yè)穩(wěn)定之間的平衡,促進金融業(yè)平穩(wěn)有序發(fā)展。
[Abstract]:Since the global financial crisis, the bank credit risk prevention and credit quality issues have been more and more concerned by the regulators and the industry. Monetary policy is an important means for governments all over the world to control the economy and macro-control. It is generally believed that an important reason for the financial crisis lies in the low interest rates and loose monetary policies of the United States for a long time. Therefore, the theory of "the channel of banking risk-bearing" has also become the focus of scholars' research and discussion. In China, monetary policy has an impact on the risk level of commercial banks. And how to produce the influence is an urgent problem to be discussed. This is directly related to the stable development of the financial industry and even the whole real economy. This paper first introduces the theory of risk-bearing of commercial banks and the asymmetric theory of monetary policy. It's a summary and a summary. Secondly, based on the panel data of the major listed commercial banks in China from 2005 to 2013, we use the generalized moment estimation method. This paper empirically tests the theory of risk-taking channel of commercial banks, and further verifies the asymmetric influence of monetary policy on the risk-taking of banks through the establishment of VAR model. The experimental results show that:. Risk channel theory is basically established in China's banking market. Monetary policy mainly through the valuation mechanism and the mechanism of profit banding on the risk of commercial banks in China, the role of the competition mechanism is not obvious, which is also related to the characteristics of the banking industry in China. Macroeconomic situation. The effects of monetary policy on macro-economy are asymmetric, and the effect of expanding monetary policy is obvious and time-effective. The impact of tight monetary policy is relatively small and has a certain delay. Banking competition and bank capital level will also affect this asymmetry in varying degrees. The empirical results suggest that monetary management authorities. Regulators and commercial banks should pay attention to the impact of the implementation of monetary policy on the banking industry, carefully use monetary policy adjustment tools. At the same time, we should fully consider the monetary policy factors in the process of bank risk management. Improve the ability of risk management, make joint efforts to achieve the balance between monetary policy regulation and financial industry stability, and promote the smooth and orderly development of the financial industry.
【學位授予單位】：天津財經(jīng)大學
【學位級別】：碩士
【學位授予年份】：2015
【分類號】：F822.0;F832.33

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