负实际利率对银行风险行为的影响研究——基于银行风险承担渠道的分析  

The Impact of Negative Real Interest Rate on the Risk Behaviors of Banks:A Research Based on the Bank Risk-taking Channel

作　　者：赵雯 谢星 封思贤[1,2] ZHAO Wen;XIE Xing;FENG Si-xian(School of Business,Nanjing Normal University,Nanjing 210023,China;Ginling College,Nanjing Normal University,Nanjing 210023,China)

机构地区：[1]南京师范大学商学院,江苏南京210023 [2]南京师范大学金陵女子学院,江苏南京210023

出　　处：《统计与信息论坛》2020年第7期45-56,共12页Journal of Statistics and Information

基　　金：国家社会科学基金重大项目“互联网金融的发展、风险与监管研究”(14ZDA043);国家社会科学基金重点项目“我国移动支付风险的识别、度量与管控研究”(16AJY023)。

摘　　要：在研究利率对银行的影响时,现有文献和传统的货币政策传导理论大多假设银行是风险中性的。当实际利率长期为负时,银行对风险的态度不再是中性。在此背景下,首先从理论上分析了负的实际利率通过银行风险承担渠道改变银行行为的作用机制,然后采用纠偏LSDV方法进行了实证研究。研究发现:负利率会提高银行的风险承担意愿,刺激银行大幅扩张信贷规模、减少债券投资等;负的实际利率对中国银行风险承担的传导效应明显强于金融市场相对成熟的发达国家;负的实际利率对银行风险承担和风险行为的影响程度在中国不同性质的银行之间存在显著差异。When study the impact of interest rate on banks,existing literatures and traditional theories of monetary policy transmission mostly assume that banks are risk-neutral.We argue that when the real interest rate is negative for a long time,banks'attitude towards risk is no longer neutral.Based on the background,firstly the theoretical mechanism of negative real interest rate(NIR)is analyzed by changing bank behavior through the bank risk-taking channel,and then gives an empirical analysis with the Biased-corrected LSDV.The results show that,NIR increases the willingness of bank risk-taking,stimulates banks to expand credit scale and reduce bond investment greatly.The transmission effect of NIR on bank risk-taking in China is obviously stronger than that in developed countries with relatively mature financial markets.The effects of NIR on bank risk-taking and risk behaviors are significantly different among banks in China.

关 键 词：负实际利率 银行风险承担 银行风险行为 

分 类 号：F820.0[经济管理—财政学] F832.33