Off-balance Sheet Activities, Monetary Policy Transmission and Bank's Risk-taking Level

Abstract

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

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

CLC Number:

F843.4

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.

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.

References

[1] 陈雄兵, 邓伟. 商业银行表外业务与货币政策信贷传号[J]. 国际金融研究, 2016, (8):60-70.
[2] 高宏霞, 何桐华. 我国上市商业银行流动性风险分析——基于同业业务视角[J]. 财会研究, 2014,(3):77-80.
[3] 胡云祥. 我国商业银行理财业务风险分析[J]. 北方经贸, 2006,(12):71-72.
[4] 步艳红, 赵晓敏, 杨帆. 我国商业银行同业业务高杠杆化的模式、影响和监管研究[J]. 金融监管研究, 2014,(2):33-46.
[5] 林琳, 曹勇. 基于复杂网络的中国影子银行体系风险传染机制研究[J]. 经济管理, 2015,(8):109-119.
[6] 肖崎, 阮健浓. 我国银行同业业务发展对货币政策和金融稳定的影响[J]. 国际金融研究, 2014,(3):65-73.
[7] 邵汉华, 杨俊, 廖尝君. 商业银行同业业务扩张与货币政策传导——基于银行信贷渠道的实证检验[J]. 金融经济学研究, 2015,(2):15-25.
[8] 伍戈, 何伟. 商业银行资产负债结构与货币政策调控方式——基于同业业务的分析[J]. 金融监管研究, 2014,(7):40-53.
[9] 黄小英, 许永洪, 温丽荣. 商业银行同业业务的发展及其对货币政策信贷传导机制的影响——基于银行微观数据的GMM实证研究[J]. 经济学家, 2016,(6):24-34.
[10] 胡利琴, 陈锐, 班若愚. 货币政策、影子银行发展与风险承担渠道的非对称效应分析[J]. 金融研究, 2016,(2):154-162.
[11] 裘翔, 周强龙. 影子银行与货币政策传导[J]. 经济研究, 2014,(5):91-105.
[12] 朱孟楠, 侯哲. 中国商业银行资金错配问题研究——基于“钱荒”背景下的思考[J]. 国际金融研究, 2014,(4):62-69.
[13] 廖岷, 郭晓夏. 我国商业银行异化创新业务风险分析及监管建议[J]. 国际金融研究, 2017, (4):66-75.
[14] Borio C., Zhu H. Capital Regulation, Risk-taking and Monetary Policy: A Missing Link in the Transmission Mechanism？ [Z]. BIS Working Paper, 2008.
[15] Blinder A. S., Jansen D. J. Central Bank Communication and Monetary Policy: A Survey of Theory and Evidence[J]. Journal of Economic Literature, 2008, 46(4):910-945.
[16] 项后军. 理解货币政策的银行风险承担渠道——反思与再研究[J]. 经济学动态, 2016,(2):87-100.
[17] 邓伟, 付雯雯. 我国商业银行表外业务及其对传统业务的影响——15家上市银行的实证研究[J]. 经济管理, 2014,(6):99-107.
[18] Rajan R. G. Has Financial Development Made the World Riskier？[Z]. Working Paper, 2005,(11728):371-379.
[19] 方意, 赵胜民, 谢晓闻. 货币政策的银行风险承担分析——兼论货币政策与宏观审慎政策协调问题[J]. 管理世界, 2012,(11):9-19.
[20] 江曙霞,陈玉婵. 货币政策、银行资本与风险承担[J]. 金融研究,2012,(4):1-16.
[21] 马草原, 李成. 国有经济效率、增长目标硬约束与货币政策超调[J]. 经济研究, 2013,(7):76-89.
[22] Beltratti A., Stulz R. M. The Credit Crisis Around the Globe: Why did Some Banks Perform Better？ [J]. Journal of Financial Economics, 2012, 105(1):1-17.
[23] 郭品, 沈悦. 互联网金融加重了商业银行的风险承担吗？——来自中国银行业的经验证据[J]. 南开经济研究, 2015,(4):80-97.
[24] 高智贤, 李成, 刘生福. 货币政策与审慎监管的配合机制研究[J]. 当代经济科学, 2015, (1):56-66.
[25] Hale G., Long C. Are There Productivity Spillovers From Foreign Direct investment in China？[J]. Pacific Economic Review, 2011, 16(2):135-153.
[26] Laeven L, Levine R. Bank Governance, Regulation and Risk Taking [J]. Journal of Financial Economics, 2009, 93(2):259-275.
[27] Delis M. D., Kouretas G. P. Interest Rates and Bank Risk-taking[J]. Journal of Banking & Finance, 2011, 35(4):840-855.
[28] De Nicolo G., Dell'Ariccia G., Laeven L., et al. Monetary Policy and Bank Risk Taking[J]. Imf Staff Position Notes, 2010,(9):975-1009.
[29] 陈浪南, 田磊. 基于政策工具视角的我国货币政策冲击效应研究[J]. 经济学(季刊), 2014,(4):285-304.
[30] 徐明东, 陈学彬. 货币环境、资本充足率与商业银行风险承担[J]. 金融研究, 2012,(7):48-62.
[31] 王舒军, 彭建刚. 中国利率市场化进程测度及效果研究——基于银行信贷渠道的实证分析[J]. 金融经济学研究, 2014,(6):75-85.
[32] Maddaloni A., Peydró J. L. Bank Risk-taking, Securitization, Supervision, and Low Interest Rates: Evidence from the Euro-area and the U.S. Lending Standards[J]. Ssrn Electronic Journal, 2010, 24(6):2121-2165.
[33] Paligorova T., Santos J. A. C. Monetary Policy and Bank Risk-Taking: Evidence from the Corporate Loan Market[J]. Journal of Financial Intermediation, 2016, 34(3):241-265.
[34] Gourieroux C., Monfort A., Renault E., et al. Generalised Residuals[J]. Journal of Econometrics, 1987, 34(1):5-32.
[35] Fisman R., Svensson J. Are Corruption and Taxation Really Harmful to Growth？ Firm LRevel evidence[J]. Journal of Development Economics, 2007, 83(1):63-75.