【摘要】：本輪金融危機(jī)爆發(fā)后，一些學(xué)者將危機(jī)歸因于美聯(lián)儲(chǔ)實(shí)行的過(guò)于寬松的貨幣政策，他們認(rèn)為，持續(xù)的低利率刺激了資產(chǎn)價(jià)格泡沫、信貸規(guī)模過(guò)度擴(kuò)張，導(dǎo)致銀行等金融機(jī)構(gòu)的杠桿率越來(lái)越高，從而承擔(dān)過(guò)多的風(fēng)險(xiǎn)，造成金融系統(tǒng)風(fēng)險(xiǎn)積聚，最終爆發(fā)危機(jī)。因此，金融危機(jī)后貨幣當(dāng)局以及學(xué)者們開始重視貨幣政策對(duì)金融業(yè)穩(wěn)定的影響。本文研究貨幣政策對(duì)我國(guó)銀行風(fēng)險(xiǎn)承擔(dān)的影響，對(duì)于維護(hù)金融業(yè)的穩(wěn)定具有重要意義。 本文首先對(duì)銀行風(fēng)險(xiǎn)承擔(dān)的度量、銀行風(fēng)險(xiǎn)承擔(dān)的影響因素以及貨幣政策對(duì)銀行風(fēng)險(xiǎn)承擔(dān)影響的文獻(xiàn)進(jìn)行了回顧。其次，選取了銀行破產(chǎn)風(fēng)險(xiǎn)Z-score、風(fēng)險(xiǎn)加權(quán)資產(chǎn)占比以及不良貸款率作為銀行風(fēng)險(xiǎn)承擔(dān)的代理變量，貨幣供應(yīng)量M2的增速、一年期存款基準(zhǔn)利率以及法定存款準(zhǔn)備金率作為貨幣政策的代理變量，，選取我國(guó)14家上市銀行2003-2012年的數(shù)據(jù)為研究樣本，運(yùn)用系統(tǒng)GMM方法實(shí)證檢驗(yàn)了貨幣政策對(duì)我國(guó)銀行風(fēng)險(xiǎn)承擔(dān)的影響，并分析了宏觀經(jīng)濟(jì)狀況、銀行業(yè)市場(chǎng)結(jié)構(gòu)及銀行特征變量等控制變量對(duì)銀行風(fēng)險(xiǎn)承擔(dān)的影響。第三，本文在驗(yàn)證了貨幣政策對(duì)我國(guó)銀行風(fēng)險(xiǎn)承擔(dān)影響的基礎(chǔ)上，對(duì)貨幣政策的風(fēng)險(xiǎn)承擔(dān)渠道的異質(zhì)性進(jìn)行檢驗(yàn)，分析貨幣政策對(duì)銀行風(fēng)險(xiǎn)承擔(dān)的影響是否依賴于不同的資本充足率。最后，本文從貨幣當(dāng)局制定和執(zhí)行貨幣政策、搭配使用審慎監(jiān)管以及商業(yè)銀行應(yīng)對(duì)風(fēng)險(xiǎn)方面提出了政策建議。 文章的結(jié)論主要有： （1）貨幣政策的銀行風(fēng)險(xiǎn)承擔(dān)渠道在我國(guó)是存在的，貨幣政策與銀行風(fēng)險(xiǎn)承擔(dān)之間呈現(xiàn)顯著的負(fù)相關(guān)關(guān)系。寬松的貨幣政策會(huì)提高我國(guó)商業(yè)銀行的風(fēng)險(xiǎn)承擔(dān)意愿及水平，緊縮的貨幣政策會(huì)降低我國(guó)商業(yè)銀行的風(fēng)險(xiǎn)承擔(dān)意愿及水平。 （2）貨幣政策與銀行風(fēng)險(xiǎn)承擔(dān)關(guān)聯(lián)的影響因素中，宏觀經(jīng)濟(jì)環(huán)境越好，銀行的風(fēng)險(xiǎn)承擔(dān)越低；我國(guó)存在“競(jìng)爭(zhēng)——穩(wěn)定性”，市場(chǎng)競(jìng)爭(zhēng)越激烈，銀行的風(fēng)險(xiǎn)承擔(dān)意愿越低；資本越充足、流動(dòng)性比例越高的銀行，其風(fēng)險(xiǎn)承擔(dān)意愿及水平越低；銀行的資產(chǎn)規(guī)模與其風(fēng)險(xiǎn)承擔(dān)之間呈現(xiàn)負(fù)相關(guān)，但相關(guān)性較弱；銀行的盈利性水平與風(fēng)險(xiǎn)承擔(dān)之間關(guān)系具有不確定性。 （3）貨幣政策的銀行風(fēng)險(xiǎn)承擔(dān)渠道具有異質(zhì)性。不同資本充足率銀行的風(fēng)險(xiǎn)承擔(dān)對(duì)于貨幣政策變動(dòng)的反應(yīng)不同，資本充足率越高的銀行抵御貨幣政策沖擊的能力越強(qiáng)，對(duì)貨幣政策變動(dòng)的反應(yīng)越不敏感。
[Abstract]:After the outbreak of the financial crisis, some scholars attributed the crisis to the Fed's overly loose monetary policy. They believed that the persistent low interest rates stimulated the asset price bubble, the excessive expansion of credit scale, resulting in higher and higher leverage ratio of banks and other financial institutions, thus taking on too many risks, resulting in the accumulation of risks in the financial system, and finally the outbreak of the crisis. Therefore, after the financial crisis, monetary authorities and scholars began to pay attention to the impact of monetary policy on the stability of the financial industry. This paper studies the influence of monetary policy on the risk taking of banks in China, which is of great significance to maintain the stability of the financial industry. First of all, this paper reviews the measurement of bank risk assumption, the influencing factors of bank risk assumption and the literature on the influence of monetary policy on bank risk bearing. Secondly, the bank bankruptcy risk Z score, the proportion of risk-weighted assets and the non-performing loan ratio are selected as the agency variables of bank risk taking, the growth rate of money supply M2, the benchmark interest rate of one-year deposit and Statutory deposit reserve ratio as the agency variables of monetary policy, and the data of 14 listed banks in China from 2003 to 2012 are selected as the research samples. This paper empirically tests the influence of monetary policy on bank risk undertaking in China by using systematic GMM method, and analyzes the influence of control variables such as macroeconomic situation, banking market structure and bank characteristic variables on bank risk undertaking. Thirdly, on the basis of verifying the influence of monetary policy on bank risk bearing in our country, this paper tests the heterogeneity of risk bearing channels of monetary policy, and analyzes whether the influence of monetary policy on bank risk bearing depends on different capital adequacy ratios. Finally, this paper puts forward some policy suggestions from the aspects of monetary authorities formulating and implementing monetary policy, using prudential supervision and commercial banks to deal with risks. The main conclusions of this paper are as follows: (1) the channel of bank risk bearing of monetary policy exists in our country, and there is a significant negative correlation between monetary policy and bank risk bearing. Loose monetary policy will improve the willingness and level of risk taking of commercial banks in China, and tight monetary policy will reduce the willingness and level of risk taking of commercial banks in China. (2) among the influencing factors of the relationship between monetary policy and bank risk taking, the better the macroeconomic environment, the lower the risk burden of banks; the "competition-stability" exists in our country, the fiercer the market competition, the lower the willingness of banks to take risks; the more adequate the capital and the higher the liquidity ratio, the lower the willingness and level of risk taking; There is a negative correlation between the size of banks' assets and their risk-taking, but the correlation is weak, and the relationship between the profitability of banks and risk-taking is uncertain. (3) the bank risk bearing channels of monetary policy are heterogeneous. Banks with different capital adequacy ratios have different responses to monetary policy changes. The higher the capital adequacy ratio, the stronger the banks' ability to resist the impact of monetary policy, and the less sensitive they are to monetary policy changes.
【學(xué)位授予單位】：中國(guó)礦業(yè)大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2014
【分類號(hào)】：F822.0;F832.33

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