【摘要】：通過研究?jī)r(jià)格型和數(shù)量型兩種貨幣政策工具對(duì)商業(yè)銀行整體所面臨的信用和流動(dòng)性兩類風(fēng)險(xiǎn)的作用效果表明,寬松的價(jià)格型貨幣政策在考慮經(jīng)濟(jì)波動(dòng)時(shí)會(huì)總體上降低信用風(fēng)險(xiǎn),經(jīng)濟(jì)周期波動(dòng)因素使其增加了信用風(fēng)險(xiǎn),且不考慮經(jīng)濟(jì)波動(dòng)時(shí)也會(huì)不顯著地增加信用風(fēng)險(xiǎn);其擴(kuò)張能直接顯著增加商業(yè)銀行流動(dòng)性風(fēng)險(xiǎn),在考慮經(jīng)濟(jì)周期時(shí)其作用卻表現(xiàn)出不顯著。數(shù)量型貨幣政策的擴(kuò)張只能單獨(dú)顯著影響商業(yè)銀行的信用風(fēng)險(xiǎn),而不會(huì)依賴經(jīng)濟(jì)周期對(duì)信用風(fēng)險(xiǎn)發(fā)揮作用;但無論是否考慮經(jīng)濟(jì)周期的影響,其擴(kuò)張都會(huì)加大商業(yè)銀行的流動(dòng)性風(fēng)險(xiǎn)。同時(shí)文章還驗(yàn)證了兩種貨幣政策傳導(dǎo)渠道對(duì)兩類風(fēng)險(xiǎn)的沖擊效應(yīng),結(jié)論是:價(jià)格型貨幣政策擴(kuò)張不會(huì)立即顯著影響信用風(fēng)險(xiǎn),但會(huì)迅速增加流動(dòng)性風(fēng)險(xiǎn);數(shù)量型貨幣政策擴(kuò)張會(huì)同時(shí)增加信用風(fēng)險(xiǎn)和流動(dòng)性風(fēng)險(xiǎn)。研究表明,我國(guó)監(jiān)管部門可以依據(jù)商業(yè)銀行信用風(fēng)險(xiǎn)和流動(dòng)性風(fēng)險(xiǎn)的狀況以及宏觀經(jīng)濟(jì)周期波動(dòng),分別采取不同貨幣政策類型進(jìn)行對(duì)沖操作,從而達(dá)到有效降低金融體系風(fēng)險(xiǎn)的政策目標(biāo)。
[Abstract]:By studying the effects of price and quantitative monetary policy tools on the credit and liquidity risks faced by commercial banks as a whole, it is shown that the loose price monetary policy will reduce the credit risk in general when considering the economic fluctuation. The factors of economic cycle fluctuation increase the credit risk, and the credit risk will not be significantly increased when the economic fluctuation is not taken into account. Its expansion can directly increase the liquidity risk of commercial banks, but it does not play a significant role when considering the economic cycle. The expansion of quantitative monetary policy can only significantly affect the credit risk of commercial banks, but not rely on the economic cycle to play a role in credit risk. However, whether or not the impact of the economic cycle is taken into account, its expansion will increase the liquidity risk of commercial banks. At the same time, the paper also verifies the impact effect of the two kinds of monetary policy transmission channel on the two kinds of risks. The conclusion is: the price monetary policy expansion will not affect the credit risk significantly immediately, but will increase the liquidity risk rapidly; Quantitative monetary policy expansion will increase both credit risk and liquidity risk. The study shows that China's regulators can take different types of monetary policy hedging operations according to the credit risk and liquidity risk of commercial banks as well as macroeconomic cycle fluctuations. In order to achieve the effective reduction of financial system risk policy objectives.
【作者單位】： 武漢大學(xué)經(jīng)濟(jì)與管理學(xué)院;
【基金】：國(guó)家自然科學(xué)基金“基于流動(dòng)性視角的資產(chǎn)定價(jià)模型重構(gòu)研究(71471117)”
【分類號(hào)】：F822.0;F832.33

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