货币政策对银行风险承担的综合效应分析——兼论化解银行风险的货币政策选择  

An Analysis of the Comprehensive Effects of Bank's Risk-taking in Monetary Policy:On the Choice of Monetary Policy to Resolve Bank's Risk

作　　者：刘柳[1] 屈小娥[1] 

机构地区：[1]西安交通大学经济与金融学院

出　　处：《中央财经大学学报》2017年第6期49-57,共9页Journal of Central University of Finance & Economics

基　　金：国家社会科学基金项目:"基于能源和环境约束的我国工业全要素生产率研究"(项目编号:13BJY073)

摘　　要：本文通过构建模型,区分了货币政策对银行风险承担的两个渠道。研究发现货币政策对银行风险承担的最终影响取决于两种效应的相对大小:当逐利效应占优时,降低基准利率能够提高银行盈利能力,降低银行风险承担水平;当杠杆效应占优时,降低基准利率则会促使银行扩大信贷规模,降低信贷标准,提高银行的风险承担水平。进一步地,本文基于银行业整体层面构建了货币政策银行风险承担综合效应指数,利用GMM方法实证检验了不同货币政策对综合效应的影响,并利用VAR模型研究了不同货币政策与综合效应之间的动态联系。最后,本文在厘清货币政策对综合效应的作用效果的前提下,给出了化解银行风险承担的货币政策选择策略。This paper first constructs a theoretical model to prove that there are two opposite effects of monetary policy on bank＇s risk-taking, namely profit effect and leverage effect. The ultimate effect of monetary policy on bank＇s risk-taking depends on the relative and comparative scale. When the profit effect is dominant, lowering the benchmark interest rate can increase the profit ability of banks and reduce their risk-taking level. When the leverage effect is dominant, reducing the benchmark interest rate will motivate banks to expand their credit scale, reduce credit standards and improve bank＇s risk-taking level. Furthermore, this paper constructs a comprehensive effect index of bank＇s risk-taking based on the whole banking level, and uses the GMM me- thod to test the effect of different monetary policies on the comprehensive effects, and applies the VAR model to study the dynamics between different monetary policies and the comprehensive effect. In the end, this paper gives out the monetary policy choice strategy to dissolve the bank＇s risk-taking on the premise of clarifying mo- netary policies＇ effects on the comprehensive effects.

关 键 词：银行风险承担 综合效应 GMM方法 货币政策选择策略 

分 类 号：F820.1[经济管理—财政学]