资本监管、货币政策与银行风险承担  

Capital Regulation,Monetary Policy and Bank Risk-taking

作　　者：冯文芳[1,2] 闫磊[1] 李艳[1] 武金存 FENG Wen-fang;YAN Lei;LI Yan;WU Jin-cun(School of Economics&Management,Lanzhou University of Technology,Lanzhou 730050,China;School of Economics&Management,Southeast University,Nanjing 211189,China)

机构地区：[1]兰州理工大学经济管理学院,甘肃兰州730050 [2]东南大学经济管理学院,江苏南京211189

出　　处：《华东经济管理》2018年第2期102-108,共7页East China Economic Management

基　　金：国家社会科学基金项目(15XJL008);国家自然科学基金项目(71762022);甘肃社会科学基金项目(YB064)

摘　　要：银行风险承担渠道是一种新的"货币政策传导渠道",为研究货币政策与金融稳定关系提供了新思路。从资本监管的角度出发,采用差分广义矩估计的动态面板统计方法研究了资本监管、货币政策与银行风险承担三者之间的关系。实证结果表明:兼顾了杠杆率约束的资本监管指标可以促进我国银行资本水平的不断提高和风险水平的逐步下降,银行风险承担将增大;但同时发现,银行在不断提高资本监管标准要求时,资本补充压力也将随之增加,这种资本补充压力与银行监管套利正相关,资本补充压力越大,银行监管套利动机就越强。Bank risk-taking provides a new“channel of monetary policy transmission”,which provides a new way of thinking to study the relationship between monetary policy and financial stability.The paper,from the perspective of capital regulation,applies DGMM dynamic panel estimation method to analyze the relations among capital regulation,monetary policy and banking risk-taking.The empirical results show that:The introduction of supervisory indicators of capital adequacy and leverage can promote the continuous improvement of bank capital level and the gradual decline of band risk level in China,the bank risk-taking will increase;However,the paper simultaneously discovers that banks face great pressure of capital supply when they continue to improve their capital regulatory standards.There is a positive correlation between capital supply pressure and banks regulatory arbitrage,and the greater the pressure of capital supply,the stronger the motivation of banks regulatory arbitrage.

关 键 词：银行风险承担 资本监管 货币政策 交互项 DGMM模型 

分 类 号：F832[经济管理—金融学]