资本约束、银行特质性与货币政策敏感性——基于中国银行业的实证  

Capital Constraint,Characteristic of Banks and Sensitivity to Monetary Policy Signals Evidence from Chinese Banking Industry

作　　者：代军勋[1] 海米提.瓦哈甫 

机构地区：[1]武汉大学经济与管理学院金融系

出　　处：《国际金融研究》2014年第8期61-68,共8页Studies of International Finance

基　　金：教育部人文社科项目"银行资本约束对货币政策传导的影响机理研究--基于中国的实证"(10YJC790037)的阶段性成果;国家社科基金重大项目"完善宏观金融调控体系研究--基于针对性;灵活性和前瞻性的视角"(12&ZD046);国家自然科学基金项目"货币政策传导的银行资本渠道研究"(71073113);中央高校基本科研业务费专项资金的资助

摘　　要：由于银行特质性的差异,不同银行对货币政策信号的敏感性不一样,从而影响货币政策的传导和货币政策的最终效果。随着我国银行业资本约束的建立和强化,商业银行的风险偏好和信贷行为也会发生调整,从而有可能加剧银行特质性对货币政策传导的影响。本文基于我国银行业资本约束的大背景,利用广义矩估计方法 (GMM),将货币政策信号、银行特质性与银行风险承担状态有机统一起来,通过选取更具现实性的风险承担指标,对不同货币政策信号下我国银行业的不同风险承担状态进行了实证比较分析。结果发现,我国货币政策信号对不同特质性的商业银行的不同风险承担的影响有着较为显著的差异,从而导致不同特质性的商业银行的货币政策敏感性大相径庭。由此本文提出,在资本约束不断强化的背景下,货币当局应该考虑不同特质性的商业银行在面对货币政策变化时所作出的不同程度的风险调整,制定差异化的货币政策,并考虑与监管政策的配合和尝试监管手段的货币工具化。Due to differences in the characteristics of banks, the sensitivity of different banks to monetary policy signalsare not the same. It would result in differences on loans and other behaviors, thereby affecting the monetary policy transmis-sion and its ultimate effect. With the establishment and strengthening of China＇s banking capital constraint, the risk prefer-ences and credit behaviors of commercial banks will be gradually changed, which may exacerbate the impact of monetary pol-icy. In this paper, using the generalized method of moments （GMM） and combining the monetary policy, banks＇ microscopiccharacteristics ,and their sensitivity to monetary policy signals, we compared the risk taking behaviors of different Chinesebanks to monetary policy signals by choosing a more realistic risk taking indicator. We found that： there were significant dif-ferences on banks＇ risk taking behaviors to monetary policy signals in the different risk characteristics of different commeialbanks in China. Therefore, we proposed that monetary authorities should take into account the different risk-adjusted charac-teristics of different commercial banks in the face of monetary policy changes in the context of capital constraints, and contin-ue to strengthen and coordinate monetary policy and regulatory policy.

关 键 词：风险承担 货币政策信号 资本约束 

分 类 号：F831[经济管理—金融学]