【摘要】：盡管當(dāng)前人們對(duì)于貨幣政策傳導(dǎo)的風(fēng)險(xiǎn)承擔(dān)渠道了解得并不算全面與徹底,但越來越多的實(shí)證研究開始分析低利率水平與銀行風(fēng)險(xiǎn)承擔(dān)行為之間的關(guān)系,并試圖去刻畫風(fēng)險(xiǎn)承擔(dān)渠道的具體特征。文章的實(shí)證分析使用1998~2012年中國銀行業(yè)的年度數(shù)據(jù),運(yùn)用動(dòng)態(tài)面板模型檢驗(yàn)銀行如何對(duì)貨幣政策立場的轉(zhuǎn)變做出反饋并調(diào)整其承擔(dān)風(fēng)險(xiǎn)的程度。除了驗(yàn)證中國貨幣政策的風(fēng)險(xiǎn)承擔(dān)渠道之外,文章還從資本約束的角度分析了中國的銀行在風(fēng)險(xiǎn)承擔(dān)行為方面的異質(zhì)性。研究結(jié)果顯示,貨幣政策利率的下降將對(duì)銀行的風(fēng)險(xiǎn)承擔(dān)行為產(chǎn)生積極的緩解作用,而當(dāng)貨幣政策利率低于某種基準(zhǔn)利率時(shí),其對(duì)銀行的風(fēng)險(xiǎn)承擔(dān)則將產(chǎn)生負(fù)面的刺激作用。此外,銀行的資本狀況確實(shí)影響到了貨幣政策的風(fēng)險(xiǎn)承擔(dān)渠道。
[Abstract]:Although people do not have a comprehensive and thorough understanding of the risk-taking channel of monetary policy transmission, more and more empirical studies are beginning to analyze the relationship between the low interest rate level and the risk-taking behavior of banks. And try to depict the specific characteristics of risk-bearing channels. The empirical analysis uses the annual data of China's banking industry from 1998 to 2012 and uses the dynamic panel model to test how banks can make feedback on the change of monetary policy stance and adjust their risk-taking degree. In addition to verifying the risk-bearing channels of China's monetary policy, the paper also analyzes the heterogeneity of risk-bearing behavior of Chinese banks from the perspective of capital constraints. The results show that the decrease of the interest rate of monetary policy will have a positive mitigation effect on the risk-bearing behavior of banks, while when the interest rate of monetary policy is lower than a certain benchmark rate, it will produce a negative stimulus to the risk-taking of banks. Moreover, the bank's capital position does affect the risk-taking channel of monetary policy.
【作者單位】： 湖北經(jīng)濟(jì)學(xué)院金融學(xué)院;
【基金】：國家社會(huì)科學(xué)基金青年項(xiàng)目“金融危機(jī)視角下的中央銀行資產(chǎn)負(fù)債表管理研究”(項(xiàng)目編號(hào):13CJY124)的資助
【分類號(hào)】：F822.0

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