宏观金融风险和银行风险行为关系分析——兼论宏观审慎政策和微观审慎监管政策的协调  

Analysis to the Relations between Macrofinancial Risk and Bank’s Risk Behaviors: Coordination between Macroprudentional and Microprudentional Regulation Policies

作　　者：赵胜民 何玉洁 ZHAO Sheng-min;HE Yu-jie

机构地区：[1]南开大学金融学院

出　　处：《中央财经大学学报》2019年第6期33-44,共12页Journal of Central University of Finance & Economics

基　　金：教育部人文社会科学研究项目:“我国宏观审慎政策协调问题研究”(项目编号:15YJA790090);国家自然科学基金项目“货币政策、房地产价格与金融稳定”(项目编号:71503290)

摘　　要：笔者基于2008—2016年16家上市商业银行面板数据,通过面板向量自回归(PVAR)方法,探究宏观金融风险和微观银行风险行为的关系,并讨论宏观和微观审慎监管政策的协调安排。通过实证得出:(1)宏观金融风险会向银行传染,宏观金融风险上升会导致信贷风险、流动性风险以及主动风险承担上升,但会使经营风险下降;(2)银行经营风险和主动风险承担是宏观金融系统不稳定的原因,经营风险上升会导致宏观金融风险上升,但主动风险承担对宏观金融风险影响不稳定;(3)系统性银行的主动风险承担对宏观金融风险的影响比非系统性银行的要高,而非系统性银行的经营风险对宏观金融风险的影响比系统性银行的要高。然后笔者又从政策目标安排、风险调控重点和系统重要性对宏观和微观审慎监管政策协调进行了分析。This paper discusses the relations between macrofinancial risk and banks’ risk behaviors and the coordination between macroprudential and microprudential policies based on panel data of 16 listed commercial banks from 2008-2016 through panel vector autoregressive model(PVAR).This paper through variance decomposition and impulse response suggests that:(1)Macrofinancial risk has significant effects on banks’ risks,the increment of house price or credit-GDP ratio can increase credit risk,liquidity risk and initiative risk-taking,however lowering operation risk.(2)Banks’ operation risk and initiative risk-taking have significant effects on macrofinancial risk,the increment of operation risk can boost credit-GDP ratio and house price,but the increment of initiative risk-taking have no stable effects on macrofinancial risk.(3) The influence which systemically important banks’ risk behaviors take on macrofinancial risk is different from non-systemically important banks’ risk behavior,systemically important banks’ initiative risk-tanking has stronger effects on marocfinancial risk than non-systemically important banks’ one,while non-systemically important banks’ operation risk has stronger effects on systemically important banks’ one.Then this paper analyses the coordination between maroprudentional and microprudentional policies.

关 键 词：宏观金融风险 银行风险行为 宏观审慎政策 微观审慎监管政策 政策协调 

分 类 号：F832[经济管理—金融学]