货币政策对银行风险的非线性影响:基于宏观因素的经验分析  

The Non-linear Effects of Monetary Policy on Bank Risk:An Empirical Analysis Based on Macro Factors

作　　者：耿中元[1,2] 翟雪[3] 

机构地区：[1]哈尔滨工业大学管理学院,黑龙江哈尔滨150001 [2]浙江财经大学金融学院,浙江杭州310018 [3]香港中文大学商学院

出　　处：《系统工程》2015年第8期90-94,共5页Systems Engineering

基　　金：国家自然科学基金资助项目(71103048)

摘　　要：首次利用PSTR模型研究货币政策等宏观因素对银行风险的影响。以预期违约概率衡量银行风险,选取采购经理指数为转换变量、实际房地产价格指数为控制变量。经验结果支持了货币政策对银行风险具有非线性效应。货币政策及其他宏观因素对银行风险的影响随着采购经理指数的阈值(49.997)的变化在高低机制间平滑、渐进转换。货币政策对银行风险有显著影响,但在低机制下存在负向影响,在高机制下则是正向影响。实际房地产价格指数对银行风险的影响是负向的,但在低机制下不显著,在高机制下显著。这些发现有重要的学术意义和政策含义。This paper for the first time employs the Panel Smooth Transition Regression（PSTR）approach to model the effects of maro factors,such as monetary policy,etc.on bank risk.We use expected default frequency to measure bank risk,and choose the purchasing manager＇s index as the transition variable and real estate price index as the control variables.Empirical results support the non-linear effects of monetary policy on bank risk.The effects of monetary policy and other macro factors on bank risk transit smoothly and gradually between high and low regime with the change in the value of the purchasing manager＇s index＇s threshold level of 49.997.The effects of monetary policy on bank risk are statistically significant but negative for the low regime and positive for the high regime.The real estate price has a negative and statistically insignificant effect on bank risk in low regime while a negative and statistically significant effect in high regime.These findings have significance academic meaning and policy implications.

关 键 词：货币政策 预期违约概率 银行风险 PSTR模型 非线性 

分 类 号：F830[经济管理—金融学]