利率市场化、货币政策与银行风险承担  

Interest Rate Liberalization,Monetary Policy and Bank Risk-taking

作　　者：刘生福[1] 杨兴哲 韩雍 LIU Sheng-fu;YANG Xing-zhe;HAN Yong(The People＇s Bank of China, Beifing 100800, China;Jinhe Center for Economic Research, Xi＇ an Jiaotong University, Xi＇ an 710049, China;Post-Doctoral Workstation of China Construction Bank, Beijing 100800, China;Post-Doctoral Station of Renmin University of China, Beijing 100872, China)

机构地区：[1]中国人民银行,北京100800 [2]西安交通大学金禾经济研究中心,陕西西安710049 [3]中国建设银行博士后工作站,北京100800 [4]中国人民大学博士后流动站,北京100872

出　　处：《经济经纬》2018年第4期150-157,共8页Economic Survey

基　　金：国家自然科学基金项目(71573206)

摘　　要：通过构建综合反映货币市场、债券市场、影子银行市场以及银行存贷款市场利率市场化水平的加权平均指数,结合我国115家商业银行1996—2014年的面板数据,采用系统GMM模型实证检验利率市场化进程中货币政策与银行风险承担之间的关系。结果表明:随着利率市场化水平不断提高,宽松(紧缩)型货币政策刺激(约束)商业银行风险承担行为,但在流动性效应和价格效应的双重作用下,货币政策对银行风险承担行为的影响程度随着利率市场化程度加深而逐渐减弱。进一步健全利率市场化相关体制,对于完善我国金融宏观审慎管理框架具有重要现实意义。By constructing the weighted average index which reflects the liberalization of the interest rate in the money market, the bond market, the shadow banking market and the bank deposit and loan market, this paper combines the panel data of 115 commercial banks in China from 1996 to 2014 with the system GMM model to test the relationship between monetary policy and the bank risk-taking in the liberalization process of interest rate. The empirical results show that with the gradual rise of the level of interest rate liberalization, the loose （tight） monetary policy stimulates （constraints） the risk-taking behavior of commercial banks. But under the dual impact of ＂liquidity effect＂ and ＂price effect＂, the impact of monetary policy on bank risk-taking behavior is gradually weakened. It is of great practical significance to improve the institutional mechanism of interest rate liberalization to improve the macro-prudential management framework of China＇ s financial market.

关 键 词：利率市场化 货币政策 银行风险承担 宏观审慎管理 

分 类 号：F832.3[经济管理—金融学]