摘要
传统的货币理论忽视了货币政策与银行风险的关系，而次贷危机唤起了理论界对这种风险效应的思考。本文采用1999~2009年中国50家商业银行数据，考察货币政策对银行信贷质量与风险偏好的影响。研究发现，扩张性的货币政策会刺激银行风险，风险的动态性将其延续到货币政策的紧缩阶段，削弱货币政策的理论效力。不同银行会对货币政策冲击做出异质反应，资本充足率高、收入多元化的银行以及近年来发展迅速的城市商业银行更重视信贷质量，但却在风险效应中表现更为激进，这种异质反应进一步阻碍了货币政策效果的实现。上述结论说明，货币政策制定中应考虑这种风险效应的影响，并对不同风险特征的银行实施差别化监管。
Traditional monetary theory ignores the role of bank risk in monetary policy transmission. The consequence of the subprime mortgage crisis aroused theoretical think of the risk channel. This paper uses data from 50 Chinese banks over the period of 1999-2009 to evaluate the relationship between monetary policy and bank risks （credit quality and risk appetite）. The result shows that expansionary monetary policy would stimulate the risk-taking behaviors of banks, the dynamic nature of risk extends that to the tightening period of monetary policy, which would weaken the theoretical effectiveness of monetary policy. The distributional effects of interest rates on bank risk due to individual bank characteristics reveal that the impact of monetary policy on credit risk is diminished for banks with higher equity capital and diversification, while the risk taking effect was amplified for these banks. Relative to big banks with high non-performance loans, city commercial banks are more sensitive to monetary policy. We contend that these findings point out to several policy considerations： central banks should take into account the bank risk-channel when setting monetary policy, effective regulatory power should be put on banks with more risky characteristics.
出处
《国际金融研究》
CSSCI
北大核心
2011年第12期59-68,共10页
Studies of International Finance
基金
何维达教授主持的国家社科基金重大项目"经济全球化背景下中国产业安全研究"(批准号:10zd&029)阶段性成果
关键词
货币政策
风险偏好
异质性
Monetary Policy
Risk Prefference
Heterogeneity
