Abstract: As the basic premise of the related research, the “existence” of the bank risk-taking channel in monetary policy not only has theoretical depth, but also very challenging in empirical estimation. In view of this, this paper firstly analyzes the reason why bank non-risk neutrality is the prerequisite of the bank's risk-taking channel from agency theory, then uses 155 banks' panel data in China from 2006 to 2014, and divides it into high and low risk groups to make empirical research. The results show that there is a significant difference between high and low risk groups in response to the monetary policy, indicating that banks are non-risk-neutral, that is, there indeed exists the bank risk-taking channel. On the basis of this, this paper also makes a further study on the aforesaid analysis from the perspective of the loan quality transfer for the first time in China, and then uses the five-level classification data of 16 listed banks in China from 2007 to 2014 to construct the loan quality index to re-estimate, which reached a roughly consistent conclusion.

Key words: Existence, Risk-taking Channel, Agency Theory, Five-level Classification on Loans, Loan Quality Index

摘要： 作为研究的基本前提,货币政策银行风险承担渠道的“存在性"研究不仅颇具理论深度,而且在经验估计方面极富挑战性,但相对国外学者的研究,国内文献对此多有忽视。有鉴于此,本文从代理理论出发,首先分析了银行非风险中立这一风险承担渠道存在前提的原因,并采用2006~2014年我国155家银行的面板数据,将其分为高、低风险组的研究结果表明,高、低风险组对于货币政策的反应存在显著的差异,表明银行是非风险中立的,亦即我国确实存在银行风险承担渠道。在此基础上,本文还在国内首次尝试从贷款质量转移的角度,并采用我国16家上市银行2007~2014年的贷款五级分类数据构建了贷款质量指数进行再估计,得出了大致一致的结论。

关键词: 存在性, 风险承担渠道, 代理理论, 贷款五级分类, 贷款质量指数