本文選題：貨幣政策 + 銀行��； 參考：《山東大學(xué)》2017年碩士論文

【摘要】：普遍認(rèn)為2008年經(jīng)濟(jì)危機(jī)爆發(fā)是全球性的低利率、貨幣擴(kuò)張導(dǎo)致的。在我國,擴(kuò)張性的貨幣政策也一直被執(zhí)行,我國的貨幣政策的傳導(dǎo)也是通過銀行傳導(dǎo)到金融市場的各個角落。在擴(kuò)張的貨幣政策背景下,對銀行的風(fēng)險承受能力有什么影響,一直是學(xué)術(shù)界討論的話題,也存在爭論,本文將在已有研究的基礎(chǔ)上重點(diǎn)進(jìn)行實(shí)證方面的深入分析。本文將首先從理論上分析了貨幣政策對銀行風(fēng)險承擔(dān)力。分析主要從兩方面進(jìn)行:一是傳統(tǒng)的貨幣政策傳導(dǎo)機(jī)制,二是銀行的風(fēng)險承擔(dān)理論。2008年經(jīng)濟(jì)危機(jī)之前,主要是傳統(tǒng)的貨幣政策傳導(dǎo)機(jī)制,傳統(tǒng)貨幣政策傳導(dǎo)機(jī)制認(rèn)為:銀行在貨幣政策傳導(dǎo)過程中,只是中介作用,不承擔(dān)貨幣風(fēng)險。但是在2008年經(jīng)濟(jì)危機(jī)中,銀行業(yè)的倒閉和托管等現(xiàn)象,無法用傳統(tǒng)的理論解釋。而銀行風(fēng)險承擔(dān)理論認(rèn)為銀行在貨幣政策的傳導(dǎo)過程中是風(fēng)險的最終承擔(dān)者,這似乎合理解釋了經(jīng)濟(jì)危機(jī)中銀行業(yè)衰退的現(xiàn)象。為了驗(yàn)證以上觀點(diǎn),本文進(jìn)行了實(shí)證分析。主要研究了兩方面問題:貨幣政策對銀行風(fēng)險承擔(dān)的異質(zhì)性和對稱性。異質(zhì)性研究,是通過數(shù)據(jù),分析不同銀行受貨幣政策的影響的不同。主要是依賴于銀行的資產(chǎn)規(guī)模和資本充足率。對稱性是指寬松或者緊縮的貨幣政策對銀行風(fēng)險承擔(dān)的影響的程度是否對稱。緊縮的貨幣政策對銀行的風(fēng)險承擔(dān)力的影響程度會更大。本文通過GMM 一階差分的動態(tài)面板模型,對數(shù)據(jù)進(jìn)行處理,最終結(jié)果表明,銀行的風(fēng)險承擔(dān)力具有異質(zhì)性特點(diǎn),依賴于銀行資產(chǎn)規(guī)模以及資本充足率,與資產(chǎn)規(guī)模和資本充足率具有正相關(guān)關(guān)系;銀行的風(fēng)險承擔(dān)力對貨幣政策的表現(xiàn)具有非對稱性,緊縮的貨幣政策對銀行風(fēng)險承擔(dān)力的影響程度更大。根據(jù)研究結(jié)果,從銀行監(jiān)管者角度出發(fā),不同貨幣周期中,特別應(yīng)該對銀行信貸標(biāo)準(zhǔn)和表外業(yè)務(wù)進(jìn)行動態(tài)監(jiān)管。也對銀行的資產(chǎn)規(guī)模、資本充足率和風(fēng)險偏好等指標(biāo)進(jìn)行動態(tài)監(jiān)管。制訂合理的銀行退出機(jī)制,防止大而不倒的現(xiàn)象。同時從銀行自身角度出發(fā),應(yīng)該對自身風(fēng)險科學(xué)有效的管理,根據(jù)對貨幣政策的預(yù)期,適當(dāng)?shù)恼{(diào)整經(jīng)營計(jì)劃合理的管控風(fēng)險。
[Abstract]:It is widely believed that the 2008 economic crisis was caused by low global interest rates and monetary expansion. In our country, the expansionary monetary policy has been carried out all the time, and the transmission of our monetary policy is also transmitted to every corner of the financial market through the bank. In the context of expanding monetary policy, what impact on the risk bearing capacity of banks has always been a topic of discussion in academia, there are also arguments, this paper will focus on empirical analysis on the basis of existing research. This article will first theoretically analyze the monetary policy to the bank risk bearing power. The analysis is mainly carried out from two aspects: one is the traditional transmission mechanism of monetary policy, the other is the risk-bearing theory of banks. Before the 2008 economic crisis, it was mainly the traditional transmission mechanism of monetary policy. The traditional transmission mechanism of monetary policy holds that banks play an intermediary role in the transmission of monetary policy and do not bear monetary risks. However, in the 2008 economic crisis, banking failure and custody, and other phenomena, can not be explained by traditional theory. However, the theory of bank risk-taking holds that the bank is the ultimate bearer of the risk in the transmission of monetary policy, which seems to explain the phenomenon of banking recession in the economic crisis. In order to verify the above views, this paper carries out an empirical analysis. This paper mainly studies two problems: the heterogeneity and symmetry of monetary policy to the risk bearing of banks. The heterogeneity study is based on data to analyze the differences between different banks affected by monetary policy. Mainly depends on the bank's asset size and capital adequacy ratio. Symmetry refers to whether the degree of influence of loose or tight monetary policy on the risk bearing of banks is symmetrical. Tighter monetary policy will have a greater impact on banks' risk-bearing capacity. In this paper, the GMM first order difference dynamic panel model is used to deal with the data. The final results show that the bank's risk-taking capacity is heterogeneous and depends on the bank's asset size and capital adequacy ratio. There is a positive correlation with the size of assets and capital adequacy ratio, the risk bearing capacity of banks is asymmetric to the performance of monetary policy, and the impact of tight monetary policy on the risk bearing capacity of banks is greater. According to the results, the bank credit standards and off-balance-sheet business should be regulated dynamically in different monetary cycles from the perspective of bank regulators. The bank's asset size, capital adequacy and risk appetite are also monitored dynamically. Develop a reasonable exit mechanism to prevent the phenomenon of large and not fail. At the same time, from the point of view of the bank itself, we should manage our own risk scientifically and effectively, and adjust the management plan reasonably according to the expectation of monetary policy.
【學(xué)位授予單位】：山東大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2017
【分類號】：F822.0;F832.33;F272.35

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本文編號：2045213