An Empirical Analysis of the Risk Taking Channel of Monetary Policy in China——Based on Liquidity Regulation

Abstract

Abstract: In recent years, liquidity management has attracted the attention of regulators in China. This paper uses the annual unbalanced panel data of 113 commercial banks in China from 1998 to 2014 to study the effect of LRC and NSFR on the conducting efficiency of banks risk-taking channels. The result prove the existence of the monetary policy transmission channel and that the loose monetary policy will increase the risk behavior of banks, and the strengthening of liquidity supervision will increase the efficiency of monetary policy transmission channels. From the perspective of banks’ microscopic characteristics, the impact of liquidity on banks’ risk-taking channel is more significant in medium-sized banks.

Key words: Risk Taking Channel, Monetary Policy, Liquidity Regulation

摘要： 近年来,流动性管理引起了监管机构的重视,本文使用我国113家商业银行1998~2014年度非平衡面板数据,研究流动性覆盖率(LCR)和净稳定资金比例(NSFR)这两个流动性监管指标对银行风险承担渠道传导效率的影响。实证结果表明:我国银行风险承担渠道存在,宽松的货币政策会激发银行的风险承担,并且流动性监管的加强也会增强货币政策风险承担渠道的传导效率。从银行微观特征看,流动性监管对货币政策风险承担渠道传导效率的影响在中等规模的银行中更加显著。

关键词: 风险承担渠道, 货币政策, 流动性监管

CLC Number:

F832.33

ZENG Zhi, YAO Shunda. An Empirical Analysis of the Risk Taking Channel of Monetary Policy in China——Based on Liquidity Regulation[J]. , 2017, 33(10): 49-59.

曾智, 姚舜达. 我国货币政策风险承担渠道传导效率研究——基于流动性监管的实证分析[J]. 财经论丛, 2017, 33(10): 49-59.

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