货币政策立场与银行风险承担关系分析
发布时间：2019-04-27 13:32
【摘要】：与其他国家相似,在我国应对金融危机、实现经济平稳较快发展的一系列举措之中,货币政策的实施无疑也占据着举足轻重的地位。近年来,中国人民银行按照国务院统一部署,围绕保持物价总水平基本稳定这一宏观调控的首要任务,实施稳健的货币政策,综合、交替使用数量和价格型工具以及宏观审慎政策工具。然而,金融危机的经验表明,在重大金融与宏观经济不稳定的情况下,价格稳定无济于事。那么,我国货币政策目标是否需要明确地纳入金融稳定?越来越多的研究表明,货币政策攸关金融稳定,货币政策与金融稳定的密切关联也被纳入政策视野,人们开始反思货币政策目标的涵盖范围,重新审视货币政策的传导机制。本文将通过货币政策立场与银行风险承担之间关系的分析来证实货币政策对金融稳定的关键作用。货币政策立场与银行风险承担之间的关联,即货币政策的风险承担渠道,是指货币政策立场的变化作用于金融中介风险感知或风险容忍度,继而影响其资产组合风险水平、资产定价及融资的价格和非价格条款。本文旨在深入研究货币政策立场与银行风险承担之间的关系。我们基于2002-2015年之间的经济金融数据,采用统计数据时间连续超过三年的67家国有大型商业银行、股份制银行和城市商业银行的面板数据,应用随机效应模型和动态面板系统广义矩法,验证了:货币政策立场显著影响银行风险承担,且受市场结构及商业银行资产负债表特征的影响。这说明从金融稳定的视角来看,货币政策并非中性,我国应将货币政策纳入宏观审慎监管框架,直面金融中介在货币政策传导渠道中的角色,加强其与金融监管政策的协调配合,以有效应对金融失衡的累积,促进经济金融稳定。从行为视角来看,关注货币政策对银行风险承担的影响成为避免重蹈金融危机覆辙的题中之义,重新审视货币政策传导机制、重塑央行角色、重构货币政策目标势成必然。本文的贡献主要有两个方面:第一,我们计算并采用了能更好的反映银行风险承担意愿的贷款损失准备占贷款总额之比作为风险测度指标,同时,考虑到银行风险暴露对宏观调控变化的反映具有明显的滞后性,我们引入风险变量的滞后一期和滞后二期变量作为模型的内生变量;第二,对于货币政策立场的计算,我们采用拟合泰勒规则的方法,将实际利率与使用泰勒规则计算得到的规则利率进行比较,取其差衡量货币政策立场,从而得到能够灵敏地反映利率政策松紧程度的利差变量作为政策的代理变量并在一定程度上降低了内生性。
[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.
【学位授予单位】：吉林大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F822.0;F832
本文编号：2467028
[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.
【学位授予单位】：吉林大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F822.0;F832
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