宏观审慎政策降低了银行系统性风险吗?--基于中国A股上市商业银行的经验证据  

Has Macroprudential Policy Reduced Banking Systemic Risk?--An Empirical Evidence Based on Chinese A-share Listed Commercial Banks

作　　者：姚爽 黄玮强[2] YAO Shuang;HUANG Weiqiang(School of Economics and Management,Shenyang University of Chemical Technology,Shenyang,Liaoning 110142;School of Business Administration,Northeastern University,Shenyang,Liaoning 110167)

机构地区：[1]沈阳化工大学经济与管理学院,辽宁沈阳110142 [2]东北大学工商管理学院,辽宁沈阳110167

出　　处：《管理现代化》2024年第4期70-79,共10页Modernization of Management

基　　金：国家自然科学基金项目(72171039);教育部人文社会科学研究资助项目(18YJCZH224);中央高校基本科研业务费项目(N2206008);沈阳化工大学“优青”托举计划项目(2022YQ011)。

摘　　要：分析研究宏观审慎政策对银行稳定的实施效果及其作用机制,对于健全我国宏观审慎政策框架,完善系统性风险防范化解体系具有重要意义。利用2010-2022年中国16家A股上市商业银行的平衡面板数据,实证检验了宏观审慎政策与银行系统性风险之间的因果关系并分析其影响机制。实证研究结果表明:(1)我国的宏观审慎政策能够有效地降低银行系统性风险,经内生性检验和稳健性检验后该结论依然成立。(2)流动性类政策工具在降低银行系统性风险方面的效果最强,其次是资产类政策工具,最后是资本类政策工具。(3)银行的规模越小、资产经营的多元化程度越低、资产盈利能力越弱,宏观审慎政策在降低银行系统性风险方面的效果越强。(4)机制检验结果表明,宏观审慎政策通过减缓银行风险承担、削弱银行间互联性来降低银行系统性风险。最后从丰富和优化政策工具、以银行特征为依据的差异化监管、理顺政策作用路径等方面提出了相关建议。The understanding of the implementation impact of macroprudential policies on banking stability and their underlying mechanisms holds significant importance in enhancing China's macroprudential policy framework and systemic risk prevention system.We empirically examine the causal relationship between macroprudential policies and banking systemic risk using balanced panel data from 2010-2022 of 16 Chinese A-share listed commercial banks,while also analyzing the influencing mechanism.The empirical findings demonstrate that:(1)China's macroprudential policies effectively reduce banking systemic risk,with this conclusion remaining valid after conducting endogeneity and robustness tests.(2)Liquidity policy instruments exhibit the strongest impact in reducing banking systemic risk,followed by asset policy instruments,with capital policy instruments having a comparatively weaker effect.(3)Smaller-sized banks with less diversified asset management portfolios and weaker earning capacities experience a stronger reduction in banking systemic risk through macroprudential policies.(4)Mechanism testing results indicate that macroprudential policies mitigate banking systemic risk by reducing their propensity for taking risks and weakening the interconnectedness among banks.Finally,relevant suggestions were put forward from the aspects of enriching and optimizing policy tools,differentiated supervision based on bank characteristics,and streamlining policy action paths.

关 键 词：商业银行 系统性风险 宏观审慎政策 银行风险承担 

分 类 号：F832.3[经济管理—金融学]