摘要
本文基于理论和经验分析,考察在经济波动冲击下以银行风险承担为核心的金融周期形成机理,并以银行风险承担来测度中国金融周期。文章梳理了经济波动影响风险资产市场的波动率水平,进而影响银行资产负债表能力并最终影响银行风险承担的传导渠道,提出以市场型资产变动率作为银行风险承担的衡量指标,并证实该指标具有前瞻性。通过考察经济扩张与收缩对银行风险承担的差异性影响,验证明斯基的"金融不稳定假设",并证实中国金融周期具有中期频率,周期长度约为11年。监管当局应关注低波动率带来银行过度风险承担、加剧系统性风险积聚的顺周期现象,加强宏观审慎政策与货币政策的协调配合。
Based on theoretical and empirical evidence,this paper investigates the micro-mechanism of the financial cycle by proving that bank risk-taking oscillates with macroeconomic fluctuation and then measures China's financial cycle by using the cyclical fluctuation of bank risk-taking.As a result,the key conclusions obtained are as follows:(i)the transmission channel is presented as an element through which economic fluctuation affects the ability of the bank balance sheet and ultimately bank risk-taking by influencing the market volatility;(ii)the market-based asset change rate indicator is proposed as a measure of bank risk-taking,which is proved to be forward-looking;(iii)by examining the differential effects of economic expansion and contraction of bank risk-taking,Minsky's financial instability hypothesis is verified,and China's financial cycle is proved to have a medium-term frequency with a cycle duration of about 11 years;(iv)finally,it is suggested that regulatory authorities should pay particular attention to the bank risk-taking caused by low volatility,which further aggravates the pro-cyclical phenomenon of systemic risk accumulation,and at the same time strengthens the reconciliation of macro-prudential and monetary policies.
作者
方意
陈敏
Fang Yi;Chen Min
出处
《世界经济》
CSSCI
北大核心
2019年第2期3-25,共23页
The Journal of World Economy
基金
国家自然科学基金青年项目(71503290
71703182)
中央财经大学"青蓝科研团队"(QL18004)的资助
作者简介
方意,中央财经大学金融学院,100081,电子信箱:fangyi@cufe.edu.cn;通讯作者:陈敏,山东理工大学经济学院,中央财经大学金融学院,北京市海淀区学院南路39号,100081,电子信箱:sdlgchenmin@163.com。
