摘要
为探究金融危机后加强商业银行流动性监管对我国货币政策的银行风险承担传导渠道的影响,基于我国2003-2015年88家商业银行数据,以净稳定融资比例作为流动性代理变量,构建差分GMM动态面板模型进行实证检验。结果表明:我国商业银行风险承担水平在流动性监管加强后有明显下降;流动性监管对货币政策的银行风险承担渠道传导效果有显著影响,降低了宽松货币政策对银行风险承担的激励作用;银行的风险承担对其信贷投放呈正向影响,但在宽松货币政策环境下,流动性约束有助于降低银行因过度风险承担导致的信贷扩张。
Based on the data of 88 Chinese commercial banks from 2003 to 2015 and the differential GMM dynamic panel model, we use NSFR as the agent variable of liquidity and explore the effects of the strength of liquidity regulation on commercial banks' risk-taking channel of monetary policy. The results show that the risk-taking level of Chinese commercial banks declines significantly after strengthening the liquidity regulation;Liquidity regulation has a significant impact on the risk-taking channel of monetary policy and reduces the incentive effect of loose monetary policy on risk bearing of commercial banks;Banks' risk-taking has positive effect on their scale of loans, however, in the environment of loose monetary policy, liquidity constraint is favor to reduce banks' credit expansion induced by their excessive risk-taking.
作者
冯玉梅
任仪佼
FENG Yumei;REN Yijiao(School of Finance,Shandong University of Finance and Economics,Jinan,250014,China)
出处
《经济与管理评论》
CSSCI
北大核心
2019年第5期113-126,共14页
Review of Economy and Management
基金
国家社会科学基金项目“基于比较优势的各省区产业结构与金融资源配置契合度及其效应研究”(16BJL025)
关键词
货币政策
风险承担渠道
流动性监管
净稳定融资比例
Monetary policy
Risk-taking channel
Liquidity regulation
Net stable financing ratio
