本文選題：貨幣政策 + 風險承擔��； 參考：《山西財經(jīng)大學》2017年碩士論文

【摘要】：宏觀經(jīng)濟學十分注重對貨幣政策傳導機制的研究,可是,一直以來的研究忽視了風險因素在貨幣政策傳導這一過程中發(fā)揮的作用。當2008年的金融危機蔓延全球時,眾多金融機構由于承擔了過多的風險而損失慘重,甚至破產(chǎn)倒閉。危機之下,一種新的貨幣政策傳導渠道——銀行風險承擔渠道被提出。該理論認為,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構降低了借貸標準,金融體系中的風險逐漸累積至過量,最終釀成危機。由于提出時間不長,該理論雖引起學術界較大關注,但尚未形成一套成熟而完整的理論體系,且這一問題關乎貨幣政策與宏觀審慎管理的搭配使用,關乎金融穩(wěn)定,所以值得深入研究。本文以貨幣政策和銀行的風險承擔之關系為研究對象,首先對風險承擔及貨幣政策的銀行風險承擔渠道等相關文獻進行了全面概括性地梳理,然后對銀行風險承擔這一新渠道的傳導路徑做出細致劃分,厘清貨幣政策對銀行風險承擔產(chǎn)生影響的理論機制——當實行寬松的貨幣政策時,商業(yè)銀行最終會增大對風險的承擔,為后文中的實證分析奠定了基礎。在此基礎上,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,構建包含銀行微觀特征和宏觀經(jīng)濟變量的模型,利用系統(tǒng)GMM法,實證檢驗了我國貨幣政策的銀行風險承擔機制。實證結果表明:貨幣政策的風險承擔渠道在我國同樣成立,且銀行風險具有延續(xù)性;貨幣政策和銀行風險承擔間存在顯著的負相關關系;貨幣政策與銀行風險承擔間的關系受銀行微觀特征的影響,資產(chǎn)規(guī)模越大、盈利能力越強的銀行,其風險承擔往往較小,證明了逐利效應的存在。因此,為避免銀行體系中積累過量的風險,應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;增強銀行的風險抵抗能力,加強對資本和流動性的管理;將宏觀審慎管理工具和傳統(tǒng)的貨幣政策工具相結合使用,不斷加強我國的審慎監(jiān)管水平。以此加強貨幣政策調控的有效性,防控信貸規(guī)模的過度擴張,最終促進銀行業(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.
【學位授予單位】：山西財經(jīng)大學
【學位級別】：碩士
【學位授予年份】：2017
【分類號】：F822.0

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