【摘要】：與其他國家相似,在我國應(yīng)對(duì)金融危機(jī)、實(shí)現(xiàn)經(jīng)濟(jì)平穩(wěn)較快發(fā)展的一系列舉措之中,貨幣政策的實(shí)施無疑也占據(jù)著舉足輕重的地位。近年來,中國人民銀行按照國務(wù)院統(tǒng)一部署,圍繞保持物價(jià)總水平基本穩(wěn)定這一宏觀調(diào)控的首要任務(wù),實(shí)施穩(wěn)健的貨幣政策,綜合、交替使用數(shù)量和價(jià)格型工具以及宏觀審慎政策工具。然而,金融危機(jī)的經(jīng)驗(yàn)表明,在重大金融與宏觀經(jīng)濟(jì)不穩(wěn)定的情況下,價(jià)格穩(wěn)定無濟(jì)于事。那么,我國貨幣政策目標(biāo)是否需要明確地納入金融穩(wěn)定?越來越多的研究表明,貨幣政策攸關(guān)金融穩(wěn)定,貨幣政策與金融穩(wěn)定的密切關(guān)聯(lián)也被納入政策視野,人們開始反思貨幣政策目標(biāo)的涵蓋范圍,重新審視貨幣政策的傳導(dǎo)機(jī)制。本文將通過貨幣政策立場(chǎng)與銀行風(fēng)險(xiǎn)承擔(dān)之間關(guān)系的分析來證實(shí)貨幣政策對(duì)金融穩(wěn)定的關(guān)鍵作用。貨幣政策立場(chǎng)與銀行風(fēng)險(xiǎn)承擔(dān)之間的關(guān)聯(lián),即貨幣政策的風(fēng)險(xiǎn)承擔(dān)渠道,是指貨幣政策立場(chǎng)的變化作用于金融中介風(fēng)險(xiǎn)感知或風(fēng)險(xiǎn)容忍度,繼而影響其資產(chǎn)組合風(fēng)險(xiǎn)水平、資產(chǎn)定價(jià)及融資的價(jià)格和非價(jià)格條款。本文旨在深入研究貨幣政策立場(chǎng)與銀行風(fēng)險(xiǎn)承擔(dān)之間的關(guān)系。我們基于2002-2015年之間的經(jīng)濟(jì)金融數(shù)據(jù),采用統(tǒng)計(jì)數(shù)據(jù)時(shí)間連續(xù)超過三年的67家國有大型商業(yè)銀行、股份制銀行和城市商業(yè)銀行的面板數(shù)據(jù),應(yīng)用隨機(jī)效應(yīng)模型和動(dòng)態(tài)面板系統(tǒng)廣義矩法,驗(yàn)證了:貨幣政策立場(chǎng)顯著影響銀行風(fēng)險(xiǎn)承擔(dān),且受市場(chǎng)結(jié)構(gòu)及商業(yè)銀行資產(chǎn)負(fù)債表特征的影響。這說明從金融穩(wěn)定的視角來看,貨幣政策并非中性,我國應(yīng)將貨幣政策納入宏觀審慎監(jiān)管框架,直面金融中介在貨幣政策傳導(dǎo)渠道中的角色,加強(qiáng)其與金融監(jiān)管政策的協(xié)調(diào)配合,以有效應(yīng)對(duì)金融失衡的累積,促進(jìn)經(jīng)濟(jì)金融穩(wěn)定。從行為視角來看,關(guān)注貨幣政策對(duì)銀行風(fēng)險(xiǎn)承擔(dān)的影響成為避免重蹈金融危機(jī)覆轍的題中之義,重新審視貨幣政策傳導(dǎo)機(jī)制、重塑央行角色、重構(gòu)貨幣政策目標(biāo)勢(shì)成必然。本文的貢獻(xiàn)主要有兩個(gè)方面:第一,我們計(jì)算并采用了能更好的反映銀行風(fēng)險(xiǎn)承擔(dān)意愿的貸款損失準(zhǔn)備占貸款總額之比作為風(fēng)險(xiǎn)測(cè)度指標(biāo),同時(shí),考慮到銀行風(fēng)險(xiǎn)暴露對(duì)宏觀調(diào)控變化的反映具有明顯的滯后性,我們引入風(fēng)險(xiǎn)變量的滯后一期和滯后二期變量作為模型的內(nèi)生變量;第二,對(duì)于貨幣政策立場(chǎng)的計(jì)算,我們采用擬合泰勒規(guī)則的方法,將實(shí)際利率與使用泰勒規(guī)則計(jì)算得到的規(guī)則利率進(jìn)行比較,取其差衡量貨幣政策立場(chǎng),從而得到能夠靈敏地反映利率政策松緊程度的利差變量作為政策的代理變量并在一定程度上降低了內(nèi)生性。
[Abstract]:Similar to other countries, the implementation of monetary policy undoubtedly occupies a pivotal position in a series of measures to deal with the financial crisis and realize steady and rapid economic development in China. In recent years, in accordance with the unified plan of the State Council, the people's Bank of China has carried out a prudent monetary policy and integrated it around the primary task of macro-regulation and control, namely, to maintain the overall level of price stability. Alternating use of quantitative and price-based tools as well as macroprudential policy tools. However, the experience of the financial crisis has shown that price stability is of no avail in the face of significant financial and macroeconomic instability. So, does China's monetary policy goals need to be clearly integrated into financial stability? More and more studies have shown that monetary policy is related to financial stability and the close relationship between monetary policy and financial stability is also included in the policy vision. People began to reflect on the coverage of monetary policy objectives and re-examine the transmission mechanism of monetary policy. This paper will confirm the key role of monetary policy in financial stability through the analysis of the relationship between monetary policy position and bank risk taking. The relationship between the position of monetary policy and the risk-taking of banks, that is, the channel of risk-bearing of monetary policy, refers to the change of monetary policy position, which affects the risk perception or tolerance of financial intermediation, and then affects the risk level of its portfolio. Price and non-price terms of asset pricing and financing. The purpose of this paper is to study the relationship between the position of monetary policy and the risk-taking of banks. Based on economic and financial data from 2002 to 2015, we use panel data from 67 large state-owned commercial banks, joint-stock banks and city commercial banks for more than three years in a row. The stochastic effect model and the generalized moment method of dynamic panel system are used to verify that the position of monetary policy has a significant impact on the risk taking of banks and is affected by the market structure and the characteristics of the balance sheet of commercial banks. This shows that from the perspective of financial stability, monetary policy is not neutral, China should incorporate monetary policy into the macro-prudential regulatory framework, and face the role of financial intermediaries in monetary policy transmission channels. Strengthen its coordination with the financial regulatory policy to effectively deal with the accumulation of financial imbalances and promote economic and financial stability. From the point of view of behavior, it is necessary to pay attention to the influence of monetary policy on bank risk taking, to avoid repeating the financial crisis, to re-examine the transmission mechanism of monetary policy, to reshape the role of central bank, and to reconstruct the goal of monetary policy. The main contributions of this paper are as follows: first, we calculate and adopt the ratio of loan loss reserve to the total loan, which can better reflect the bank's willingness to take risks, as a measure of risk, and at the same time, Considering that the response of bank risk exposure to macro-control changes has obvious lag, we introduce the lag-one and two-stage variables of risk variables as the endogenous variables of the model. Secondly, for the calculation of monetary policy position, we use the method of fitting Taylor rule to compare the real interest rate with the regular interest rate calculated by Taylor rule, and measure the monetary policy position by the difference between the real interest rate and the regular interest rate calculated by Taylor rule. Thus, the spread variable, which can reflect the degree of looseness of the interest rate policy sensitively, can be used as the proxy variable of the policy, and the endogenicity is reduced to a certain extent.
【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

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