利率追逐机制与银行主动风险承担行为:渠道识别与机制检验  

Search for Yield Mechanism and Banks Active Risk-Taking Behavior: Channel Identification and Mechanism Test

作　　者：孙勇 SUN Yong

机构地区：[1]湖北工业大学经济与管理学院金融系

出　　处：《金融监管研究》2025年第3期91-114,共24页Financial Regulation Research

基　　金：教育部人文社会科学研究青年基金项目“利率市场化背景下的货币政策风险承担渠道研究:基于商业银行杠杆的周期调整视角”(项目批准号:19YJC790120)的资助。

摘　　要：在利率市场化背景下,利率追逐机制与银行主动风险承担行为的密切关联,是决定货币政策执行效果的关键之一。本文采用我国上市商业银行的面板数据,基于渠道识别,通过设计多种两阶段回归模型,识别了我国货币政策风险承担渠道,并进行了机制检验,重点研究利率追逐机制与银行主动风险承担行为的关联性。研究发现:利率市场化背景下,考虑渠道识别后,实际利率越低于政策基准利率,银行追逐利率的激励越大,其主动风险承担也越高。这表明货币政策风险承担渠道显著存在。经过渠道识别、不同模型设定、采用工具变量法进行内生性处理之后,该结论仍然稳健。实际短期利率与平滑“泰勒规则”利率之差的主动风险承担效应占实际短期利率与标准“泰勒规则”利率之差的效应的85.24%~93.27%。“利率追逐机制”在我国占据主导地位,它具有滞后效应,若银行主动风险承担累积到一定程度,可能会导致系统性金融风险。本研究不仅丰富了货币政策风险承担渠道的相关文献,而且对利率市场化背景下疏通我国货币政策利率的传导机制,以及中国人民银行科学设定基准利率,防范系统性金融风险,也具有一定的参考价值。Under the background of interest rate marketization, the interconnection between the search for yield mechanism and banks' active risk-taking has become a focus in the effectiveness of monetary policy implementation. This paper uses panel data from listed commercial banks in China, based on channel identification, designs various two-stage regression models to identify the risk-taking channel of our country's monetary policy, and the mechanism is tested. focusing on the interconnection between the search for yield mechanism and banks' active risk-taking behavior. The study finds that in the context of interest rate marketization, based on channel identification, if the real interest rate is far lower than the policy benchmark rate, then the greater the incentive for banks to chase interest rates, the higher the active risk-taking of banks. This indicates the significant existence of the monetary policy-taking channel. Based on channel identification, different model specifications, and the use of instrumental variables to deal with endogeneity, the conclusion remains robust. The active risk-taking effect of TGAP2 accounts for 85.24%-93.7% of the effect of TGAP1.The search for yield mechanism is dominant in my country. And its impact has a lag effect. The impact of long-term low-interest rate policies on bank active risktaking can have a significant effect when accumulated to a certain extent, which will lead to systemic financial risk. The research in this paper not only enriches the literature of risk-taking channel of monetary policy, but also has some reference significance for unblocking the interest rate transmission mechanism of our monetary policy under the background of interest rate marketization and the scientific setting of benchmark interest rates by the central bank-People's Bank of China.

关 键 词：渠道识别 货币政策 风险承担渠道 利率追逐机制 主动风险承担 

分 类 号：F832[经济管理—金融学] F822