“双支柱”调控对银行系统性风险的异质性作用:基于CoVaR模型的实证分析  

Heterogeneous Effects of'Dual-pillar'Regulatory on Systemic Risk in Banks:An Empirical Analysis Based on CoVaR Model

作　　者：李成明 刘璐 陈方元 Li Chengming;Liu Lu;Chen Fangyuan

机构地区：[1]中央民族大学经济学院 [2]中银三星人寿保险有限公司 [3]天津科技大学经济与管理学院

出　　处：《宏观经济研究》2024年第2期4-16,共13页Macroeconomics

基　　金：教育部哲学社会科学研究重大课题攻关项目“建设现代化经济体系的路径与策略研究”(18JZD029)的资助。

摘　　要：2008年国际金融危机以来,“双支柱”调控框架逐渐成为中国防范化解金融风险的重要举措。商业银行系统性风险作为系统性金融风险的指示剂,防范银行风险溢出已成为政策调控的重中之重,但“双支柱”调控框架如何影响商业银行系统性风险尚不明晰。因此,本文基于2010—2020年中国16家上市商业银行的微观数据,使用分位数回归的CoVaR方法度量商业银行系统性风险,研究“双支柱”调控框架对商业银行系统性风险的有效性和异质性影响。研究发现:基于货币政策和宏观审慎政策的“双支柱”调控框架能够抑制商业银行的系统性风险,而且该抑制作用表现出明显的异质性。从银行特征来看,“双支柱”调控对规模较大、资本充足率水平较高、盈利水平较低的银行的调控效果更显著;从经济周期来看,“双支柱”调控框架的有效性因经济周期具有明显不对称性,经济下行期政策效果明显高于上行期;从宏观政策工具类别来看,各类工具与货币政策配合结果不同,使用信贷类宏观审慎工具会使得“双支柱”调控的风险抑制作用失效。本文基于微观和宏观的异质性视角,为货币政策工具和宏观审慎政策工具协调搭配并实现经济稳定与金融稳定的双目标提供政策建议。Since the 2008 international financial crisis,the‘dual-pillar'regulatory framework has gradually become an important measure for China to prevent and resolve financial risk.As an indicator of systemic financial risk,preventing bank risk spillovers has become a top priority of policy regulation,but it is not clear how the‘dual-pillar'regulatory framework affects commercial bank systemic risk.Therefore,based on the micro data of 16 listed commercial banks in China from 2010 to 2020,this article uses the CoVaR method of quantile regression to measure the systemic risk of commercial banks,and investigates the effectiveness and heterogeneity of the‘dual-pillar'regulatory framework on the systemic risk of commercial banks.The study finds that the‘dual-pillar'regulatory framework based on monetary policy and macroprudential policy is able to curb the systemic risk of commercial banks,and the curbing effect shows obvious heterogeneity.From the perspective of bank characteristics,the‘dual-pillar'regulation has a more significant effect on banks with larger scale,higher capital adequacy ratio and lower profitability;from the perspective of the economic cycle,the effectiveness of the‘dual-pillar'regulatory framework is significantly asymmetric due to the economic cycle,and the policy effect in the downturn period is significantly higher than in the upturn period;from the perspective of the type of macro-policy tools,various types of tools and monetary policy to cooperate with the results of the different use of credit macro-prudential tools will make the‘dual-pillar'regulation of risk suppression ineffective.Based on the heterogeneity of micro and macro perspectives,this article provides policy suggestions for coordinating and matching monetary and macroprudential policy tools and realizing the dual goals of economic and financial stability.

关 键 词：“双支柱”调控框架 商业银行系统性风险 分位数回归 

分 类 号：F832.33[经济管理—金融学] F272.3