银行表外业务、货币政策传导与银行风险承担

摘要/Abstract

摘要： 从理论和实证两个层面检验了表外业务对银行风险承担影响的双重效应,即表外业务发展提高了银行风险承担水平(直接效应)以及表外业务通过强化货币政策银行风险承担渠道提高银行风险承担水平(间接效应)。理论分析表明,表外业务高复杂性、高杠杆率、低透明度和流动性期限错配风险直接提高了银行风险承担水平;表外业务对利益搜寻效应的强化和对央行沟通和反应函数的改变则强化了货币政策银行风险承担渠道。利用25家上市商业银行2009~2016年的面板数据,在采用两步法规避货币政策与表外业务的内生性影响的前提下,本文实证检验发现:表外业务与银行风险承担水平正相关,并且表外业务确实强化了货币政策银行风险承担渠道,提高了商业银行的风险承担水平。进一步,本文探讨了表外业务对银行风险承担影响的异质性,与股份制商业银行相比,系统重要性商业银行的响应更为稳健与审慎。本文的研究为理解货币政策银行风险承担渠道的影响因素提供了一个新的重要视角,对防范表外业务风险具有重要的借鉴意义。

关键词: 表外业务, 货币政策传导, 银行风险承担, 异质性

Abstract: This paper analyzes the double effect of off-balance sheet (OBS) on bank's risk-taking theoretically and empirically, that is, the effect of OBS on bank's risk-taking (direct effect) and the effect of OBS on bank risk-taking channel of monetary policy (indirect effect). Theoretical analysis shows that the high level of complexity, high leverage, low transparency and liquidity maturity mismatch risk directly increase the risk of bank's risk-taking. The mechanism of OBS affecting monetary policy of bank risk taking channel can be divided into two categories: enhancing the search-for-yield effect and changing the Central bank communication and response function. Using the panel data of 25 listed commercial banks in 2009～2016, eliminating the endogenous of monetary policy and balance sheet business with two step regulations, the empirical study produces the following findings: the OBS has a positive relationship with bank's risk-taking and really strengthens the bank risk-taking channel of monetary policy, thus finally increasing the level of commercial banks' risk-taking. The strengthening effect is heterogeneous in different types of commercial banks: compared with joint-stock commercial banks, the response of systemically important commercial banks is more steady and prudent. The above conclusions are still robust when the measure of OBS banking is changed or the SYSGMM method is adopted. This study provides a new perspective for understanding the bank risk-taking channel of monetary policy as well as offers important policy implications.

Key words: Off-balance Sheet Activities, Monetary Policy Transmission, Bank's Risk-taking, Heterogeneity

中图分类号:

F843.4

权飞过,王晓芳,刘柳. 银行表外业务、货币政策传导与银行风险承担[J]. 财经论丛, 2018, 34(8): 32-42.

QUAN Feiguo, WANG Xiaofang, LIU Liu. Off-balance Sheet Activities, Monetary Policy Transmission and Bank's Risk-taking Level[J]. , 2018, 34(8): 32-42.

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