宏观审慎政策、杠杆率与银行风险承担  

Macroprudential Policy, Leverage, and Bank Risk-taking

作　　者：宋科[1] 李振[2] SONG Ke;LI Zhen

机构地区：[1]中国人民大学财政金融学院、中国财政金融政策研究中心国际货币研究所 [2]中国人民大学财政金融学院、国际货币研究所

出　　处：《金融监管研究》2019年第10期1-19,共19页Financial Regulation Research

基　　金：中国人民大学科学研究基金（中央高校基本科研业务费专项资金资助）项目成果（19XNH001）

摘　　要：本文使用2004~2016年我国223家商业银行的非平衡面板数据,实证检验了宏观审慎政策与银行风险承担的关系。实证结果表明我国宏观审慎政策对银行风险承担有重要作用,且其作用受到银行杠杆率的影响。在杠杆率较低时,宏观审慎政策与银行风险承担呈负向关系;随着杠杆率的提高,风险转移效应不断增强,宏观审慎政策与银行风险承担的负向关系不断减弱,甚至可能转变为正向关系。杠杆率影响风险转移效应主要呈非线性特征。稳健性检验结果表明对于不同的杠杆率分位数、银行风险代理变量以及银行样本选择标准,所得结果均表现出较高的稳健性。在当前结构性去杠杆的背景下,应注意根据杠杆率变化,适时预调宏观审慎政策,加强逆周期宏观审慎政策的使用。并针对不同规模银行采用差异化的宏观审慎政策工具,以提高政策有效性。This paper empirically tests the impact of macroprudential policy on bank risk-taking with the unbalanced panel data of 223 commercial banks in China from 2004 to 2016. The study shows that the macroprudential policy in China has significant impact on bank risk-taking;and the impact is influenced by bank leverage ratio. When the leverage ratio is low, the macroprudential policy is negatively related to bank risktaking. With the increase of leverage ratio, the risk-transfer-effect is continuously enhanced, and the negative relationship between the macroprudential policy and bank risk-taking is weakened, and may even become positive. The leverage ratio has mainly a nonlinear effect on the risk-transfer-effect, with a weaker effect on the negative effect. The results of robustness tests also show a high level of robustness under different quintiles of leverage ratio, proxy variables of bank risk and selection criteria of samples. Under the current background of structural deleveraging, it is necessary to pay attention to the timely adjustment of macroprudential policy according to the change in leverage ratio, strengthen the use of counter-cyclical macroprudential policy, and adopt differentiated macroprudential policy tools for different banks to improve the effectiveness.

关 键 词：宏观审慎 银行风险 杠杆率 风险承担 

分 类 号：F832.33[经济管理—金融学]