宏观审慎评估体系下的绿色信贷与银行风险承担  

Green Credit and Bank Risk-Taking under the Macro Prudential Assessment System

作　　者：赵江山 佟孟华[1] 高净鹤 ZHAO Jiangshan;TONG Menghua;GAO Jinghe

机构地区：[1]东北财经大学经济学院

出　　处：《世界经济研究》2023年第9期115-126,M0004,共13页World Economy Studies

基　　金：国家社会科学基金重大项目“宏观经济稳增长与金融系统防风险动态平衡机制研究”(项目编号:19ZDA094);辽宁省教育厅高校科研项目“中国数字金融不平衡性测度及其对区域高质量发展的影响效应研究”(项目编号:LJKR0451)。

摘　　要：构建并完善宏观审慎评估体系框架在防范系统性风险和维护金融稳定方面起到了核心作用,是中国人民银行重要的金融监管探索与实践。文章借助2017年绿色信贷纳入宏观审慎评估体系(简称“MPA绿色扩容”)这一准自然实验场景,利用2012~2020年163家商业银行年度数据,采用双重差分模型考察了“MPA绿色扩容”政策对商业银行风险承担的影响。研究发现,宏观审慎评估体系在2017年纳入绿色信贷指标后,显著降低了商业银行的风险承担水平,该扩容政策能够发挥出明显的风险稳定效应。机制分析表明,“MPA绿色扩容”政策主要通过降低央行的资本监管压力、增加银行的资本缓冲以及提高社会声誉评价这3个机制影响银行的风险承担;异质性分析发现,该扩容政策的风险稳定效应在全国性经营、系统重要性、低杠杆率的稳健型商业银行中影响更强。文章的研究不仅丰富了宏观审慎政策与绿色信贷领域的相关文献,而且为监管部门完善宏观审慎政策体系和推进绿色信贷可持续发展提供了重要经验证据。Building and improving the framework of the macro-prudential assessment system plays a core role in preventing systemic risks and maintaining financial stability,and is the most important exploration and practice of financial regulation by the People's Bank of China.Based on the quasi-natural experiment scenario of incorporating green credit into the macro-prudential evaluation system in 2017("MPA Green expansion"for short),this paper uses the annual data of 163 commercial banks from 2012 to 2020 and adopts the differential difference model to investigate the impact of"MPA green expansion"policy on commercial banks'risktaking.The study found that the inclusion of green credit indicators in the macro-prudential assessment system in 2017 significantly reduced the level of risk-taking of commercial banks,and this expansion policy can play an obvious stabilizing effect of risks.Mechanism analysis shows that"MPA green capacity expansion"policy affects banks'risk taking mainly through three mechanisms:reducing the capital regulatory pressure of the central bank,increasing the capital buffer of banks and improving the reputation evaluation of the society.Heterogeneity analysis shows that the stabilization effect of the expansion policy is stronger in the nationally operated,systemically important and stable commercial banks with low leverage ratio.The study of this paper not only enriched the relevant literature in the field of macro-prudential policies and green credit policies,but also provided important empirical evidence for the regulatory authorities to improve the macro-prudential policy system and promote the development of green credit.

关 键 词：宏观审慎政策 银行风险承担 绿色信贷 资本监管 

分 类 号：F832.4[经济管理—金融学] F272.3