本文關鍵詞：貨幣政策的銀行風險承擔傳導渠道及其異質性的實證研究　出處：《吉林大學》2017年碩士論文　論文類型：學位論文

  更多相關文章： 貨幣政策 銀行風險承擔 異質性 GMM估計

【摘要】：2008年金融危機時期,各國政府當局通過采取降息降準等的政策手段在恢復經濟發(fā)展的同時也催化了資產價格泡沫的產生以及刺激了證券化信貸產品風險的加劇,過度的杠桿率攀升導致了銀行等金融機構積聚了高度的風險。長期過度寬松的貨幣政策被學者們當成導致本次金融危機爆發(fā)的重要緣由之一。至此,政府相關部門開始重點審視貨幣政策,重視關于貨幣政策對銀行風險承擔影響的研究。本文檢驗了貨幣政策對銀行風險承擔意愿的影響以及銀行規(guī)模和銀行特征指標變動對貨幣政策的銀行風險傳導渠道的影響,進一步驗證了我國該渠道的存在性及其異質性,對于我國金融系統(tǒng)的長期穩(wěn)定性具有一定的意義。在對銀行風險承擔變量、貨幣政策的銀行風險承擔傳導渠道以及銀行風險承擔渠道的異質性等的相關文獻進行了回顧的基礎上,本文基于2007—2014年時期我國43家商業(yè)銀行的年度平衡面板數(shù)據(jù),用資產風險承擔代理變量和負債風險承擔代理變量來代替銀行的風險承擔變量,來分別檢驗貨幣政策的銀行資產風險承擔傳導渠道和負債風險承擔傳導渠道的存在性及其異質性,以完善對貨幣政策及金融穩(wěn)定性相關問題的探討及加強對相關問題的重視程度,為我國實現(xiàn)貨幣政策與宏觀審慎管理制度的協(xié)調一致提出建議,為我國商業(yè)銀行異質性實施動態(tài)化和差別化的審慎監(jiān)管提供支持。本文采用了Arllano and Bond(1991)所提出來的GMM一階差分動態(tài)面板估計方法進行實證分析。最后,本文針對宏觀審慎管理與貨幣政策相協(xié)調以及銀行風險對貨幣政策沖擊的反應方面對貨幣政策制定相關政府部門和銀行提出了政策性建議。主要結論有:(1)貨幣政策對銀行風險承擔具有顯著的影響,寬松的貨幣政策(低利率或高貨幣供應量)會引起商業(yè)銀行加權風險資產比例上升,非存款負債比例下降。為了進一步驗證實證結果是否穩(wěn)健,文章最后以銀行不良貸款率作為銀行風險承擔的代理變量對模型進行穩(wěn)健性檢驗,發(fā)現(xiàn)結果仍然顯著。(2)規(guī)模越大的商業(yè)銀行,其加權風險資產比例越低,非存款負債比例越高,即資產風險承擔越低,負債風險承擔越高;資本充足率越高、流動性越大的銀行,其加權風險資產比例和非存款負債比例都越低,即資產風險承擔和負債風險承擔都越低;商業(yè)銀行盈利能力與資產風險承擔負相關,與負債風險承擔負相關但都不完全顯著;非利息收入占比與資產風險承擔有負相關但不顯著,與負債風險承擔存在顯著正相關關系;成本收入比對風險承擔影響較小且顯著水平低。從宏觀經濟變量的角度來看GDP增長率和資本市場狀況對銀行風險承擔具有較為顯著的負面影響。(3)貨幣政策對銀行風險承擔的影響會因為資本充足率水平和資產規(guī)模不同的變動而發(fā)生變化。并且從總體上來說,資本充足率和銀行規(guī)模對貨幣政策的風險承擔傳導渠道具有負影響。
[Abstract]:During the 2008 financial crisis, the authorities adopted the policy rate cut RRR means in the recovery of economic development at the same time is also a catalyst of creating asset price bubbles and securitization of credit products increased the risk of stimulation, excessive leverage rose to banks and other financial institutions have accumulated a high risk. Excessive loose monetary the policy by scholars as one of the important reasons leading to the outbreak of the financial crisis. So far, the relevant government departments began to focus on the review of monetary policy, emphasize the research on monetary policy to bear impact on bank risk. This paper examines the impact of monetary policy will take the risk of the bank and the bank size and bank characteristics change channel bank risk conduction on monetary policy, further verifies the existence of heterogeneity in this channel, for China's financial system Has certain significance of long-term stability of the system. In the bear variables on bank risk, the review of the basic literature assume the monetary policy transmission channel bank risk and bank risk taking channel heterogeneity and so on, in the 2007 - 2014 period of 43 Commercial Banks in China based on the panel data of the annual balance of assets, risk take the risk and debt risk proxy proxy variables to replace the bank's commitment variables, existence and heterogeneity of monetary policy to examine the risk of bank assets and liabilities risk borne transmission channels of transmission channels, to improve the study of monetary policy and financial stability issues and strengthen the degree of attention to the relevant problems, for coordinate the implementation of monetary policy and macro Prudential Management System of China's favorable suggestions for heterogeneity of China's commercial banks to implement dynamic Prudential Regulation and differentiation support. This paper uses the Arllano and Bond (1991) proposed a GMM order difference dynamic panel estimation methods for empirical analysis. Finally, based on macro Prudential Management and coordination of monetary policy and the impact of bank risk on the monetary policy response to the relevant government departments and banks the policy suggestions for the formulation of monetary policy. The main conclusions are: (1) monetary policy has a significant effect on bank risk-taking, loose monetary policy (low interest rate or high money supply) will cause the commercial bank risk weighted assets proportion, non deposit liabilities ratio decreased. In order to further verify the empirical results are robust. The robustness test of the model variables in the end of the paper, the bank non-performing loan ratio as the bank risk, found the result remains significant. (2) the greater the size of the business The bank, the ratio of risk weighted assets is lower, the higher the proportion of non deposit liabilities, asset risk is lower, the higher debt risk; capital adequacy ratio is higher, the greater the flow of bank, the ratio of risk weighted assets and non deposit liabilities ratio is lower, namely asset risk and debt risk take all the lower; commercial bank profitability assumes negative correlation with risk assets, bear the negative correlation but not completely with significant debt risk; the proportion of non interest income and asset risk bear the negative correlation but not significant, assume there is significant positive correlation with the debt risk; cost income ratio has little effect and significant risk low level. From the perspective of macroeconomic variables GDP growth rate and capital market conditions have a negative influence significantly on bank risk. (3) effect of monetary policy on bank risk-taking because of capital In addition, the capital adequacy ratio and the size of banks have a negative impact on the transmission channel of monetary policy risk taking.

【學位授予單位】：吉林大學
【學位級別】：碩士
【學位授予年份】：2017
【分類號】：F822.0;F832.33

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