摘要
通过构建非对称NARDL模型和门限回归模型,文章选取2009—2021年中国114家商业银行实证分析了我国货币政策调控对银行风险承担行为影响的非对称效应及不同货币政策工具的交互作用效应。结果表明:我国金融市场存在货币政策银行风险承担渠道,并且货币政策对银行风险承担的长期和短期影响均存在非对称效应。其中,数量型货币政策工具调控的短期效应较显著,价格型货币政策工具调控的长期效应则更明显。当两种货币政策工具存在交互作用时,会进一步扩大银行的风险承担。建议央行需进一步完善利率市场化形成机制,在实施货币政策时将数量型政策工具的总量调控和价格型政策工具的结构调控特点结合起来,有针对性地应对新常态下的经济增速下滑和结构性杠杆问题。
By constructing an asymmetric NARDL model and threshold regression model,this paper empirically discusses the asymmetric effects of monetary policy on bank risk-taking behavior and the interaction effects of different monetary policy tools in 114 Chinese commercial banks from 2009 to 2021.The results show that there are channels of monetary policy bank risk-taking in China’s financial market,and monetary policy has significant asymmetric influence on bank risk-taking in both long-term and short-term,among which quantitative policy regulation is more significant in the short-term,while price policy regulation is more sensitive in the longterm.When there is interaction between the two monetary instruments,the coordination will further expand the bank risk-taking.This paper believes that the formation mechanism of interest rate liberalization still needs to be further improved.It is suggested that the central bank should combine the characteristics of quantitative monetary policy aggregate regulation and structural regulation of price monetary policy when operating monetary policy deal with the slowdown of economic growth and structural leverage problems in the new normal economic situation.
出处
《金融监管研究》
CSSCI
北大核心
2022年第3期1-14,共14页
Financial Regulation Research
基金
国家社会科学基金“基于微观主体行为视阈下的宏观审慎监管与货币政策协调研究”(19BJL025)
教育部人文社科基金“货币政策风险承担渠道中的商业银行管理者非理性行为研究”(17YJA790088)的资助
关键词
货币政策
非对称效应
银行风险承担
货币政策工具
Monetary Policy
Asymmetric Effect
Bank Risk-taking
Monetary Policy Instruments
作者简介
余丽霞,经济学博士,教授,四川师范大学商学院,联系方式:yulixia@sicnu.edu.cn;温文,经济学博士,讲师,咸阳师范学院经济与管理学院,联系方式:793688504@qq.com;王璐,经济学博士,中级经济师,西南财经大学金融学院,联系方式:sdwl0316@163.com。
