本文關(guān)鍵詞：貨幣政策的銀行風(fēng)險(xiǎn)承擔(dān)傳導(dǎo)渠道及其異質(zhì)性的實(shí)證研究　出處：《吉林大學(xué)》2017年碩士論文　論文類型：學(xué)位論文

  更多相關(guān)文章： 貨幣政策 銀行風(fēng)險(xiǎn)承擔(dān) 異質(zhì)性 GMM估計(jì)

【摘要】：2008年金融危機(jī)時(shí)期,各國(guó)政府當(dāng)局通過(guò)采取降息降準(zhǔn)等的政策手段在恢復(fù)經(jīng)濟(jì)發(fā)展的同時(shí)也催化了資產(chǎn)價(jià)格泡沫的產(chǎn)生以及刺激了證券化信貸產(chǎn)品風(fēng)險(xiǎn)的加劇,過(guò)度的杠桿率攀升導(dǎo)致了銀行等金融機(jī)構(gòu)積聚了高度的風(fēng)險(xiǎn)。長(zhǎng)期過(guò)度寬松的貨幣政策被學(xué)者們當(dāng)成導(dǎo)致本次金融危機(jī)爆發(fā)的重要緣由之一。至此,政府相關(guān)部門開始重點(diǎn)審視貨幣政策,重視關(guān)于貨幣政策對(duì)銀行風(fēng)險(xiǎn)承擔(dān)影響的研究。本文檢驗(yàn)了貨幣政策對(duì)銀行風(fēng)險(xiǎn)承擔(dān)意愿的影響以及銀行規(guī)模和銀行特征指標(biāo)變動(dòng)對(duì)貨幣政策的銀行風(fēng)險(xiǎn)傳導(dǎo)渠道的影響,進(jìn)一步驗(yàn)證了我國(guó)該渠道的存在性及其異質(zhì)性,對(duì)于我國(guó)金融系統(tǒng)的長(zhǎng)期穩(wěn)定性具有一定的意義。在對(duì)銀行風(fēng)險(xiǎn)承擔(dān)變量、貨幣政策的銀行風(fēng)險(xiǎn)承擔(dān)傳導(dǎo)渠道以及銀行風(fēng)險(xiǎn)承擔(dān)渠道的異質(zhì)性等的相關(guān)文獻(xiàn)進(jìn)行了回顧的基礎(chǔ)上,本文基于2007—2014年時(shí)期我國(guó)43家商業(yè)銀行的年度平衡面板數(shù)據(jù),用資產(chǎn)風(fēng)險(xiǎn)承擔(dān)代理變量和負(fù)債風(fēng)險(xiǎn)承擔(dān)代理變量來(lái)代替銀行的風(fēng)險(xiǎn)承擔(dān)變量,來(lái)分別檢驗(yàn)貨幣政策的銀行資產(chǎn)風(fēng)險(xiǎn)承擔(dān)傳導(dǎo)渠道和負(fù)債風(fēng)險(xiǎn)承擔(dān)傳導(dǎo)渠道的存在性及其異質(zhì)性,以完善對(duì)貨幣政策及金融穩(wěn)定性相關(guān)問(wèn)題的探討及加強(qiáng)對(duì)相關(guān)問(wèn)題的重視程度,為我國(guó)實(shí)現(xiàn)貨幣政策與宏觀審慎管理制度的協(xié)調(diào)一致提出建議,為我國(guó)商業(yè)銀行異質(zhì)性實(shí)施動(dòng)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(lái)的GMM一階差分動(dòng)態(tài)面板估計(jì)方法進(jìn)行實(shí)證分析。最后,本文針對(duì)宏觀審慎管理與貨幣政策相協(xié)調(diào)以及銀行風(fēng)險(xiǎn)對(duì)貨幣政策沖擊的反應(yīng)方面對(duì)貨幣政策制定相關(guān)政府部門和銀行提出了政策性建議。主要結(jié)論有:(1)貨幣政策對(duì)銀行風(fēng)險(xiǎn)承擔(dān)具有顯著的影響,寬松的貨幣政策(低利率或高貨幣供應(yīng)量)會(huì)引起商業(yè)銀行加權(quán)風(fēng)險(xiǎn)資產(chǎn)比例上升,非存款負(fù)債比例下降。為了進(jìn)一步驗(yàn)證實(shí)證結(jié)果是否穩(wěn)健,文章最后以銀行不良貸款率作為銀行風(fēng)險(xiǎn)承擔(dān)的代理變量對(duì)模型進(jìn)行穩(wěn)健性檢驗(yàn),發(fā)現(xiàn)結(jié)果仍然顯著。(2)規(guī)模越大的商業(yè)銀行,其加權(quán)風(fēng)險(xiǎn)資產(chǎn)比例越低,非存款負(fù)債比例越高,即資產(chǎn)風(fēng)險(xiǎn)承擔(dān)越低,負(fù)債風(fēng)險(xiǎn)承擔(dān)越高;資本充足率越高、流動(dòng)性越大的銀行,其加權(quán)風(fēng)險(xiǎn)資產(chǎn)比例和非存款負(fù)債比例都越低,即資產(chǎn)風(fēng)險(xiǎn)承擔(dān)和負(fù)債風(fēng)險(xiǎn)承擔(dān)都越低;商業(yè)銀行盈利能力與資產(chǎn)風(fēng)險(xiǎn)承擔(dān)負(fù)相關(guān),與負(fù)債風(fēng)險(xiǎn)承擔(dān)負(fù)相關(guān)但都不完全顯著;非利息收入占比與資產(chǎn)風(fēng)險(xiǎn)承擔(dān)有負(fù)相關(guān)但不顯著,與負(fù)債風(fēng)險(xiǎn)承擔(dān)存在顯著正相關(guān)關(guān)系;成本收入比對(duì)風(fēng)險(xiǎn)承擔(dān)影響較小且顯著水平低。從宏觀經(jīng)濟(jì)變量的角度來(lái)看GDP增長(zhǎng)率和資本市場(chǎng)狀況對(duì)銀行風(fēng)險(xiǎn)承擔(dān)具有較為顯著的負(fù)面影響。(3)貨幣政策對(duì)銀行風(fēng)險(xiǎn)承擔(dān)的影響會(huì)因?yàn)橘Y本充足率水平和資產(chǎn)規(guī)模不同的變動(dòng)而發(fā)生變化。并且從總體上來(lái)說(shuō),資本充足率和銀行規(guī)模對(duì)貨幣政策的風(fēng)險(xiǎn)承擔(dān)傳導(dǎo)渠道具有負(fù)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(xué)位授予單位】：吉林大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2017
【分類號(hào)】：F822.0;F832.33

【參考文獻(xiàn)】

相關(guān)期刊論文 前10條

1 王周偉;王衡;;貨幣政策、銀行異質(zhì)性與流動(dòng)性創(chuàng)造——基于中國(guó)銀行業(yè)的動(dòng)態(tài)面板數(shù)據(jù)分析[J];國(guó)際金融研究;2016年02期

2 李成;高智賢;;貨幣政策立場(chǎng)與銀行信貸的異質(zhì)性反應(yīng)——基于信貸傳導(dǎo)渠道的理論解讀與實(shí)證檢驗(yàn)[J];財(cái)貿(mào)經(jīng)濟(jì);2014年12期

3 劉生福;;貨幣政策與銀行風(fēng)險(xiǎn)承擔(dān)行為的異質(zhì)性[J];山西財(cái)經(jīng)大學(xué)學(xué)報(bào);2014年12期

4 金鵬輝;張翔;高峰;;銀行過(guò)度風(fēng)險(xiǎn)承擔(dān)及貨幣政策與逆周期資本調(diào)節(jié)的配合[J];經(jīng)濟(jì)研究;2014年06期

5 張強(qiáng);喬煜峰;張寶;;中國(guó)貨幣政策的銀行風(fēng)險(xiǎn)承擔(dān)渠道存在嗎?[J];金融研究;2013年08期

6 方意;趙勝民;謝曉聞;;貨幣政策的銀行風(fēng)險(xiǎn)承擔(dān)分析——兼論貨幣政策與宏觀審慎政策協(xié)調(diào)問(wèn)題[J];管理世界;2012年11期

7 徐明東;陳學(xué)彬;;貨幣環(huán)境、資本充足率與商業(yè)銀行風(fēng)險(xiǎn)承擔(dān)[J];金融研究;2012年07期

8 江曙霞;陳玉嬋;;貨幣政策、銀行資本與風(fēng)險(xiǎn)承擔(dān)[J];金融研究;2012年04期

9 陳玉嬋;錢利珍;;貨幣政策與銀行風(fēng)險(xiǎn)承擔(dān)[J];金融論壇;2012年04期

10 于一;何維達(dá);;貨幣政策、信貸質(zhì)量與銀行風(fēng)險(xiǎn)偏好的實(shí)證檢驗(yàn)[J];國(guó)際金融研究;2011年12期

，

本文編號(hào)：1366558