影子银行、货币政策与银行风险承担  

Shadow Banking,Monetary Policy and Banks'Risk-Taking

作　　者：张晶[1] 陈帅 刘超[3] 陈卓 ZHANG Jing;CHEN Shuai;LIU Chao;CHEN Zhuo(School of Finance,Shandong University of Finance and Economics,Jinan 250014,China;Department of Finance and Economics,Shandong University of Science and Technology,Jinan 250031,China;College of Economics and Management,Shandong University of Science and Technology,Qingdao 266590,China)

机构地区：[1]山东财经大学金融学院,山东济南250014 [2]山东科技大学财经系,山东济南250031 [3]山东科技大学经济管理学院,山东青岛266590

出　　处：《经济与管理评论》2023年第3期68-87,共20页Review of Economy and Management

基　　金：教育部人文社科规划基金项目“央行沟通、经济主体信心与货币政策效应研究”(22YJA790085);山东省金融应用重点研究项目“绿色金融对山东省上市企业创新绩效的影响研究”(2022JRZZ06)。

摘　　要：针对影子银行、货币政策与银行风险承担问题,基于D-L-M模型,同时从商业银行资产方和负债方引入影子银行构建新的理论模型,数理推导得到三个基本假设,然后基于2009-2019年35家上市商业银行的面板数据,运用固定效应方法进行实证检验。理论和实证结果表明低利率的宽松货币政策和影子银行的存在会引起银行风险承担上升,同时影子银行能够强化放大宽松货币政策对银行风险承担的正向影响。同时值得注意的是,以上结论在股份制商业银行中更显著。To address the issues of shadow banking,monetary policy and banks'risk-taking,based on the D-L-M model,this study simultaneously introduces shadow banking from the asset side and liability side of commercial banks to construct a new theoretical model and derive three basic hypotheses.Then we apply the fixed-effects approach to empirical tests based on the panel data of 35 listed commercial banks from 2009-2019.The theoretical and empirical results show that the presence of accommodative monetary policy with low interest rates and shadow banking causes an increase in banks'risk-taking,while shadow banking can reinforce and amplify the negative impact of accommodative monetary policy on banks'risk-taking.It is also noteworthy that the above findings are more significant in joint-stock commercial banks.

关 键 词：影子银行 风险承担 货币政策 资产传递效应 风险转移效应 

分 类 号：F822.0[经济管理—财政学]