宏观审慎政策能否抑制商业银行风险承担  

Can Macro-prudential Policies Restrain Commercial Bank Risk-taking

作　　者：顾海峰[1] 黄娟娟 GU Haifeng;HUANG Juanjuan(Glorious Sun School of Business and Management,Donghua University,Shanghai 200051,China)

机构地区：[1]东华大学旭日工商管理学院,上海200051

出　　处：《统计与信息论坛》2024年第5期45-58,共14页Journal of Statistics and Information

基　　金：国家社会科学基金一般项目“银保协作模式下商业银行信用风险的生成、监测与防控机制研究”(13BGL041);教育部人文社会科学研究规划基金项目“跨境资本流动对商业银行信贷风险的影响机理及政策研究”(20YJA 790014);东华大学人文社会科学繁荣计划预研究重大项目“新发展格局下双支柱调控框架对银行风险的治理效应、实现机制及政策优化研究”(2022Z001)。

摘　　要：选取2010—2020年中国225家商业银行年度数据,构建面板回归模型实证检验了宏观审慎政策对银行风险承担的影响及其作用机制。研究表明:(1)宏观审慎政策的实施有助于抑制银行风险承担。相对于国有银行与城农商行,宏观审慎政策对股份制银行风险承担的抑制效应更大。(2)同业负债、贷款集中度及杠杆率在宏观审慎政策与银行风险承担的关系中承担着多重中介作用,宏观审慎政策主要通过降低银行同业负债、贷款集中度及杠杆率渠道来降低银行风险承担,“宏观审慎政策—同业负债/贷款集中度/杠杆率—银行风险承担”的传导渠道均有效。(3)跨境资本流入对宏观审慎政策与银行风险承担关系具有负向调节作用,跨境资本流入规模增大会减弱宏观审慎政策对银行风险承担的抑制作用。(4)银行家信心对宏观审慎政策与银行风险承担关系具有负向调节作用,银行家信心提升会减弱宏观审慎政策对银行风险承担的抑制作用。该成果将为提升宏观审慎监管效率及防控中国银行业风险提供重要的理论指导与决策参考。A panel model is constructed to empirically analyze the impact of macro-prudential policies on bank risk-taking and its mechanism with the annual data of 225 Chinese commercial banks from 2010 to 2020.The results show that:(1)Macro-prudential policy has an inhibitory effect on bank risk-taking.Compared with state-owned banks and urban rural commercial banks,macro-prudential policies have a greater inhibitory effect on joint-stock banks.(2)Interbank liabilities,loan concentration and leverage ratio play an intermediary role in the relationship between macro-prudential policy and bank risk-taking.Macro-prudential policy by decreasing interbank liabilities,loan concentration and leverage ratio channels to reduce bank risk-taking.The transmission channel of“macro-prudential-interbank liabilities/loan concentration/leverage ratio-bank risk-taking”is effective.(3)Cross-border capital inflows have a negative moderating effect on the relationship between Macro-prudential policies and bank risk-taking,and the expanding of cross-border capital inflows scale will weaken the inhibition effect of macroprudential policies on bank risk-taking.(4)Bankers’confidence has a negative moderating effect on the relationship,and the increase of bankers’confidence will weaken the inhibition effect of macroprudential policies on bank risk-taking.

关 键 词：宏观审慎政策 银行风险承担 同业负债 贷款集中度 杠杆率 

分 类 号：F830.5[经济管理—金融学]