商业研究

商业研究

• 商经理论 • 上一篇    下一篇

金融结构演变、货币政策与银行风险承担异质性

徐皓1，张嘉明2,3   

  1. （1. 南京大学 商学院，南京 210093；2.渤海银行股份有限公司 博士后工作站，天津 300012； 3.南开大学 经济学院，天津 300071）
  • 收稿日期:2019-11-14 出版日期:2020-04-10
  • 作者简介:徐皓（1982-），男，沈阳人，南京大学商学院博士研究生，研究方向：宏观经济学、金融市场理论；张嘉明（1991-），本文通讯作者，男，天津人，渤海银行股份有限公司博士后工作站/南开大学经济学院博士后流动站联合培养博士后，经济学博士，研究方向：宏观经济学、银行资产负债管理理论。
  • 基金资助:
    教育部人文社会科学基金项目，项目编号：18YJA790019；中国博士后科学基金项目，项目编号：2018M641617；天津市科技发展战略研究计划重点招标项目（软科学研究项目），项目编号：18ZLZDZF00310。

Evolution of Financial Structure, Monetary Policy and Heterogeneity of Bank Risk-taking

XU Hao1,ZHANG Jia-ming2,3   

  1. (1. School of Business, Nanjing University, Nanjing 210093,China; 2. Postdoctoral Workstation of China Bohai Bank Co., Ltd., Tianjin 300012,China; 3. School of Economics, Nankai University, Tianjin 300071,China)
  • Received:2019-11-14 Online:2020-04-10

摘要： 经济学院，天津 300071） 内容提要：基于2002-2017年165家银行的面板数据，本文采用可行广义最小二乘（FGLS）方法实证检验金融结构演变视角下货币政策对银行风险承担渠道的影响。研究发现：金融结构的变化对银行风险承担具有显著影响，随着直接融资占比的上升，银行资产端风险承担显著减少，但负债端风险承担显著增加；控制住金融结构的作用之后，货币政策对银行资产端风险承担和负债端风险承担也具有显著的异质性影响，具体来说，价格型货币政策的紧缩使得银行资产端风险承担显著减少而导致银行负债端风险承担显著增加，数量型货币政策的紧缩则使得银行资产端风险承担和负债端风险承担同时减少；此外，货币政策与金融结构对银行风险承担具有显著的交互影响，随着直接融资占比的上升，价格型货币政策工具对银行资产端风险承担的影响减弱，对银行负债端风险承担的影响没有表现出显著变化，数量型货币政策工具对银行资产端风险承担和负债端风险承担的影响都受到削弱。研究结论的政策含义对货币当局、监管部门以及商业银行都具有重要意义。

关键词: 货币政策, 金融结构, 银行风险承担, 异质性

Abstract: Based on the panel data of 165 banks from 2002 to 2017, this paper uses the feasible generalized least squares(FGLS) method to empirically test the impact of monetary policy on bank risk-taking channels from the perspective of financial structure evolution.The results show that the change of financial structure has a significant impact on the risk-taking of banks:with the increase of the proportion of direct financing, the risk-taking of banks′ assets decreases significantly, but the risk-taking of liabilities increases significantly;after controlling the role of financial structure, monetary policy also has a significant heterogeneity impact on the asset-side risk-taking and liability side risk-taking of banks,specifically, the tightening of price monetary policy makes the risk-taking of bank′s assets significantly reduced, which leads to the risk-taking of bank′s liabilities significantly increased,and the tightening of quantitative monetary policy makes the risk-taking of bank′s assets and liabilities simultaneously reduced;in addition, monetary policy and financial structure have significant interaction effects on bank risk-taking:with the increase of the proportion of direct financing, the impact of price monetary policy instruments on the risk-taking of the bank′s asset side is weakened, and the impact on the risk-taking of the bank′s liability side is not significantly changed,while the impact of quantitative monetary policy instruments on bank′s asset-side risk-taking and liability side risk-taking is weakened.The policy implications of the conclusions are of great significance to monetary authorities, regulators and commercial banks.

Key words: monetary policy, financial structure, bank risk-taking, heterogeneity