本文選題：貨幣政策 + 風(fēng)險(xiǎn)承擔(dān)��； 參考：《山西財(cái)經(jīng)大學(xué)》2017年碩士論文

【摘要】：宏觀經(jīng)濟(jì)學(xué)十分注重對貨幣政策傳導(dǎo)機(jī)制的研究,可是,一直以來的研究忽視了風(fēng)險(xiǎn)因素在貨幣政策傳導(dǎo)這一過程中發(fā)揮的作用。當(dāng)2008年的金融危機(jī)蔓延全球時(shí),眾多金融機(jī)構(gòu)由于承擔(dān)了過多的風(fēng)險(xiǎn)而損失慘重,甚至破產(chǎn)倒閉。危機(jī)之下,一種新的貨幣政策傳導(dǎo)渠道——銀行風(fēng)險(xiǎn)承擔(dān)渠道被提出。該理論認(rèn)為,美國自2002年以來長期使用寬松的貨幣政策,持續(xù)的低利率使得銀行等金融機(jī)構(gòu)降低了借貸標(biāo)準(zhǔn),金融體系中的風(fēng)險(xiǎn)逐漸累積至過量,最終釀成危機(jī)。由于提出時(shí)間不長,該理論雖引起學(xué)術(shù)界較大關(guān)注,但尚未形成一套成熟而完整的理論體系,且這一問題關(guān)乎貨幣政策與宏觀審慎管理的搭配使用,關(guān)乎金融穩(wěn)定,所以值得深入研究。本文以貨幣政策和銀行的風(fēng)險(xiǎn)承擔(dān)之關(guān)系為研究對象,首先對風(fēng)險(xiǎn)承擔(dān)及貨幣政策的銀行風(fēng)險(xiǎn)承擔(dān)渠道等相關(guān)文獻(xiàn)進(jìn)行了全面概括性地梳理,然后對銀行風(fēng)險(xiǎn)承擔(dān)這一新渠道的傳導(dǎo)路徑做出細(xì)致劃分,厘清貨幣政策對銀行風(fēng)險(xiǎn)承擔(dān)產(chǎn)生影響的理論機(jī)制——當(dāng)實(shí)行寬松的貨幣政策時(shí),商業(yè)銀行最終會(huì)增大對風(fēng)險(xiǎn)的承擔(dān),為后文中的實(shí)證分析奠定了基礎(chǔ)。在此基礎(chǔ)上,以我國57家商業(yè)銀行2007—2015年的非平衡面板數(shù)據(jù)為研究樣本,構(gòu)建包含銀行微觀特征和宏觀經(jīng)濟(jì)變量的模型,利用系統(tǒng)GMM法,實(shí)證檢驗(yàn)了我國貨幣政策的銀行風(fēng)險(xiǎn)承擔(dān)機(jī)制。實(shí)證結(jié)果表明:貨幣政策的風(fēng)險(xiǎn)承擔(dān)渠道在我國同樣成立,且銀行風(fēng)險(xiǎn)具有延續(xù)性;貨幣政策和銀行風(fēng)險(xiǎn)承擔(dān)間存在顯著的負(fù)相關(guān)關(guān)系;貨幣政策與銀行風(fēng)險(xiǎn)承擔(dān)間的關(guān)系受銀行微觀特征的影響,資產(chǎn)規(guī)模越大、盈利能力越強(qiáng)的銀行,其風(fēng)險(xiǎn)承擔(dān)往往較小,證明了逐利效應(yīng)的存在。因此,為避免銀行體系中積累過量的風(fēng)險(xiǎn),應(yīng)不斷完善貨幣政策體系,提高貨幣政策的前瞻性,創(chuàng)新貨幣政策工具;增強(qiáng)銀行的風(fēng)險(xiǎn)抵抗能力,加強(qiáng)對資本和流動(dòng)性的管理;將宏觀審慎管理工具和傳統(tǒng)的貨幣政策工具相結(jié)合使用,不斷加強(qiáng)我國的審慎監(jiān)管水平。以此加強(qiáng)貨幣政策調(diào)控的有效性,防控信貸規(guī)模的過度擴(kuò)張,最終促進(jìn)銀行業(yè)及金融業(yè)的穩(wěn)定發(fā)展。
[Abstract]:Macroeconomics attaches great importance to the study of the transmission mechanism of monetary policy, but the study has neglected the role of risk factors in the transmission of monetary policy. When the 2008 financial crisis spread around the world, many financial institutions took too much risk and suffered heavy losses and even went bankrupt. Under the crisis, a new transmission channel of monetary policy-the risk-bearing channel of banks has been put forward. The theory holds that since 2002, the United States has been using loose monetary policy for a long time, and continued low interest rates have led banks and other financial institutions to lower lending standards, and the risks in the financial system have gradually accumulated to excessive levels, leading to a crisis. Although the theory has not been put forward for a long time, it has not yet formed a mature and complete theoretical system, which is related to the combination of monetary policy and macro-prudential management, as well as to financial stability. So it is worth studying deeply. In this paper, the relationship between monetary policy and risk assumption of banks as the research object, first of all, the risk taking and the banking risk bearing channels of monetary policy and other related literature are summarized. Then, the transmission path of the new channel of bank risk-taking is carefully divided to clarify the theoretical mechanism of the influence of monetary policy on the risk-taking of banks-when the monetary policy is loose, Commercial banks will eventually increase their risk commitment, which lays the foundation for the empirical analysis. On this basis, taking the non-equilibrium panel data of 57 commercial banks from 2007 to 2015 as the research sample, this paper constructs a model that includes the microscopic characteristics and macroeconomic variables of the banks, and makes use of the systematic GMM method. An empirical test of the monetary policy of China's banking risk-taking mechanism. The empirical results show that: the risk assumption channel of monetary policy is also established in China, and the bank risk has continuity, and there is a significant negative correlation between monetary policy and bank risk assumption. The relationship between monetary policy and bank risk assumption is influenced by the microcosmic characteristics of the bank. The larger the asset scale and the stronger the profitability, the smaller the risk bearing is, which proves the existence of profit banding effect. Therefore, in order to avoid excessive risk accumulation in the banking system, we should constantly improve the monetary policy system, improve the foresight of monetary policy, innovate monetary policy tools, strengthen the risk resistance of banks, and strengthen the management of capital and liquidity. Combining macroprudential management tools with traditional monetary policy instruments, we can continuously strengthen the level of prudential supervision in China. In order to strengthen the effectiveness of monetary policy control, prevent and control the excessive expansion of credit, and ultimately promote the stable development of banking and financial industry.
【學(xué)位授予單位】：山西財(cái)經(jīng)大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2017
【分類號】：F822.0

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