本文選題：貨幣政策 + 風險加權資產(chǎn)率��； 參考：《天津財經(jīng)大學》2014年碩士論文

【摘要】：2008年金融危機之后,銀行的風險承擔意愿開始受到學術界的廣泛關注,它不僅涉及到貨幣政策的傳導機制,而且對研究貨幣政策與金融穩(wěn)定之間的關系具有重要意義。商業(yè)銀行作為對資金進行優(yōu)化配置和獨立承擔風險的個體,對貨幣政策效應起著舉足輕重的作用。自2008年全球性金融危機之后,2010年出版的《巴塞爾協(xié)議Ⅲ》更加關注銀行業(yè)的風險問題,明確銀行風險承擔意愿對貨幣政策傳導過程的影響機理。因此,疏通傳導渠道、掌握金融動態(tài)變化趨勢將有利于進一步促進社會經(jīng)濟的可持續(xù)發(fā)展。文章在研究了各國學者關于銀行風險承擔意愿的不同學術觀點之后,指出其中值得學習的地方和存在的局限性。首先,文章對風險、銀行風險、銀行風險承擔等相關概念進行解釋說明,并就文章研究所用到的貨幣政策理論進行了初步整理,提出主要觀點,為實證研究做好理論鋪墊。其次,從銀行風險承擔渠道和作用機制著手,重點分析和解釋了風險承擔渠道的四種作用機制,并結合我國實際情況,論證我國商業(yè)銀行存在風險承擔渠道；然后,選取貨幣供應量M2、同業(yè)拆借利率和風險加權資產(chǎn)率作為代理變量,收集我國16家上市銀行的月度數(shù)據(jù)為樣本數(shù)據(jù),并將樣本數(shù)據(jù)進行金融危機前后兩個時間段的分割,同時構建2個時間序列模型VAR模型,分析變量之間的脈沖響應函數(shù)圖和方差分解表進一步得出各變量之間的動態(tài)關系,對比分析這兩個模型之間的不同之處。文章的研究結論如下：我國商業(yè)銀行存在風險承擔渠道,并且在金融危機前后表現(xiàn)各異,金融危機前,擴張性的貨幣政策會誘使銀行在短期內大規(guī)模進行風險資產(chǎn)投資；金融危機后,短期內擴張性的貨幣政策效果不佳,銀行風險承擔意愿下降。在前文的分析和研究基礎之上,文章從貨幣政策工具、中央銀行的獨立性、利率市場化和金融監(jiān)管的角度為貨幣當局、商業(yè)銀行等各個部門提出相關建議。并指出本文的研究不足之處。
[Abstract]:After the 2008 financial crisis, the risk bearing willingness of the bank began to receive extensive attention from the academic circle. It not only involves the transmission mechanism of monetary policy, but also is of great significance to the study of the relationship between monetary policy and financial stability. Policy effect plays an important role. Since the 2008 global financial crisis, the Basel Protocol III, published in 2010, pays more attention to the risk of the banking industry and makes clear the mechanism of the impact of the risk willingness of the bank on the transmission of monetary policy. Therefore, it will be beneficial to dredge the channel and grasp the trend of the financial dynamic change. Step by step promotes the sustainable development of the social economy. After studying the different academic views on the risk bearing willingness of the banks, the article points out the places and limitations which are worth learning. First, the article explains the related concepts of risk, bank risk, bank risk bearing and so on, and is used in the research of the article. The theory of monetary policy is preliminarily arranged and the main points of view are put forward to lay the theoretical foundation for the empirical research. Secondly, from the bank risk undertaking channels and the mechanism of action, the four mechanisms of risk bearing channels are analyzed and explained, and the risk bearing channels of China's commercial banks are demonstrated in combination with the actual situation in China. Then, we select the M2, the interbank lending rate and the risk weighted asset ratio as the proxy variables, collect the monthly data of the 16 listed banks in our country as the sample data, and divide the sample data into the two time periods before and after the financial crisis, and construct the 2 time series model VAR model, and analyze the impulse response function between the variables. The chart and variance decomposition table further draw the dynamic relationship between the variables, compare and analyze the differences between the two models. The conclusion of the article is as follows: the commercial banks of our country have the risk bearing channels, and their performance is different before and after the financial crisis. Before the financial crisis, the expansive monetary policy will induce the bank to be large in the short term. After the financial crisis, the short-term expansive monetary policy effect is not good and the risk bearing of the bank is reduced. On the basis of the analysis and research of the previous article, the article is from the monetary policy tool, the independence of the central bank, the interest rate marketization and the financial supervision, and the monetary authorities, commercial banks and other departments. The door puts forward relevant suggestions and points out the deficiency of this research.
【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】：2014
【分類號】：F832.33;F822.0

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