结构性货币政策对商业银行整体风险的影响  

The Impact of Structural Monetary Policy on the Overall Risk of Commercial Banks

作　　者：沈丽[1] 侯秀美 李文君[1] SHEN Li;HOU Xiu-mei;LI Wen-jun(Shandong University of Finance and Ecomomic,Jinan 250014,China)

机构地区：[1]山东财经大学金融学院

出　　处：《山东工商学院学报》2020年第1期48-56,共9页Journal of Shandong Technology and Business University

基　　金：国家社会科学基金项目“新常态初期区域金融风险生成机理及防控对策研究”(16BGL052)

摘　　要：采用主成分分析法测度代表商业银行整体风险的压力指数,在此基础上,建立VAR模型实证研究不同特点的结构性货币政策对商业银行整体风险的影响。结果表明,数量型结构性货币政策对商业银行压力指数的负向作用明显,更有利于抑制商业银行整体风险;数量价格综合型的结构性货币政策次之;价格型结构性货币政策对商业银行压力指数的影响程度小且具有正向作用,对商业银行整体风险的抑制作用不明显。货币当局在实施结构性货币政策时应注意各类政策工具的搭配使用,并充分考虑政策实施中商业银行风险的变化,防止系统性金融风险的发生。This paper uses principal component analysis to measure the stress index representing the overall risk of commercial banks.On this basis,the VAR model is established to empirically study the impact of structural monetary policies with different characteristics on the overall risk of commercial banks.The results show that the quantitative structure of monetary policy has a negative effect on the pressure index of commercial banks,which is more conducive to suppresse of the overall risk of commercial banks;the quantitative price-structured monetary policy takes second place;the impact of the price-based structured monetary policy on the stress index of commercial banks is small and positive,and the inhibition of the overall risk of commercial banks is not obvious.The monetary authorities should pay attention to the mix of various policy instruments,and fully consider the changes in the risk of commercial banks in the implementation of policies to prevent the occurrence of systemic financial risks.

关 键 词：结构性货币政策 主成分分析 VAR模型 

分 类 号：F822.0[经济管理—财政学] F832.33