货币环境、资本充足率与商业银行风险承担  

Monetary Condition,Capital Adequacy Ratio and Bank Risk-taking

作　　者：徐明东[1] 陈学彬[1] 

机构地区：[1]复旦大学金融研究院,上海200433

出　　处：《金融研究》2012年第7期48-62,50-62,共15页Journal of Financial Research

基　　金：国家自科基金(70903013;70973028);上海市晨光计划项目(09CG05)的阶段性成果

摘　　要：本文基于1998～2010年期间59家商业银行的微观数据,采用GMM动态面板估计方法实证检验了中国货币政策对银行风险承担的影响,验证了货币政策传导的银行风险承担渠道假说。实证结果显示:(1)货币政策与银行风险承担变量呈显著负相关关系,收入和估值效应、收益搜寻动机、竞争效应3种子机制均存在;(2)规模越大、资本越充足的银行,其风险承担行为对货币政策的敏感性越低;(3)与传统货币政策非对称性理论结论不同的是,扩张性货币政策对银行风险承担的激励作用强于紧缩性货币政策的约束作用。为避免银行体系风险的过度积聚,政策当局可考虑银行业资本充足状况与宏观经济环境,搭配使用传统货币政策与宏观审慎管理工具;加快利率市场化步伐,弱化国内银行的信贷扩张冲动,是提高货币政策调控有效性和实现金融稳定的必要途径。Using 59 commercial banks＇ data during the periods of 1998-2010 and GMM dynamic panel estimation method, this paper verifies the hypothesis of bank risk-taking channel in China. The results show that： （ 1 ） Loose monetary policy will lead to an increase of the bank risk-taking ; （2） Higher capital adequacy ratio in the banking sector, the impact of monetary policy on bank risk-taking will be weaker; （3）The impact of ex- pansionary monetary policy on bank risk-taking is stronger than the tightening. To avoid the excessive accumulation of systematic risk in the banking system, the authorities should take account of the banking capital position, and coordinate monetary policy with macro-prudential tools. And accelerating the pace of interest rate liberalization is necessary for improving the effectiveness of price-based monetary policy tools and maintaining the financial stability

关 键 词：货币政策 资本充足率 银行风险承担渠道 

分 类 号：F822.0[经济管理—财政学] F832.33F224