金融周期与货币政策交互作用下的银行风险承担渠道——来自中国微观企业的经验证据  

The Bank Risk Taking Channel When the Financial Cycle and Monetary Policy Interact: Microeconomic Empirical Evidence in China

作　　者：申琳[1] 马丹[2] 张苏珊 Shen Lin;Ma Dan;Zhang Sushan(Hangzhou Dianzi University, Hangzhou;Zhejiang Gongshang University, Hangzhou;Huaxi Rural Microfinance Co., Ltd., Jiangyin)

机构地区：[1]杭州电子科技大学经济学院 [2]浙江工商大学金融学院 [3]江苏省江阴市华西农村小额贷款有限公司

出　　处：《经济社会体制比较》2019年第3期39-47,共9页Comparative Economic & Social Systems

基　　金：浙江省自然科学基金项目“金融周期与货币政策交互作用下银行风险承担渠道——来自中国宏观和微观层面的经验证据”(项目编号:LY17G030033);教育部人文社科基金项目“基于‘实际汇率结构分解之谜’视角的人民币实际汇率动态行为研究”(项目编号:15YJA790045)

摘　　要：文章首次提出基于金融周期视角来解释货币政策风险承担渠道的非线性特征,并结合1804家上市企业预期违约风险来识别金融周期与货币政策交互影响下银行风险承担行为的演化路径。实证研究表明,在中国,长期宽松的货币政策会使银行降低其信贷标准,向具有更高预期违约风险的企业发放贷款,银行主动风险承担增加,具有线性特征。但由于银行风险承担行为同时会随金融周期进行调整,金融周期与货币政策交互作用下的银行风险承担行为呈现非线性特征,从而影响货币政策逆周期调控的效力。这一研究结论的发现同时为中国逆周期资本监管框架中锚变量的选择提供了有力的设定依据和决策支持。Based on the perspective of the financial cycle, this paper uses micro expected default risk data of loan enterprises to identify the nonlinearity characteristic of the bank risk taking channel when the financial cycle and monetary policy interact. Empirical results show that in China, long-term loose monetary policy will enable banks to soften their credit standards linearly and extend credit to those with higher expected default risk, and banks take more risk on their own initiative. But because bank risk taking behavior varies with the state financial cycle, bank risk taking behavior has the nonlinearity characteristic when the financial cycle and monetary policy interact, which may explain why the countercyclical monetary policy transmission mechanism cannot work well. The findings of this study also provide the theoretical basis and policy advice for anchor variables in the framework of the China countercyclical capital regulation.

关 键 词：金融周期 货币政策 银行风险承担 预期违约率 

分 类 号：F832.0[经济管理—金融学]