貨幣政策，銀行特徵與銀行風險承擔－基於中國銀行業的面板數據分析

Monetary Policy, Bank Characteristics and Bank Risk-taking: Based on Panel Data Analysis of Chinese Banks

沈中華(Chung-Hua Shen)；王儷容(Lee-Rong Wang)；王翔宇(Xiang-Yu Wang)

Monetary Policy ； Bank Characteristics ； Bank Risk-taking ； GMM

兩岸金融季刊

4卷1期（2016 / 03 / 01）

1 - 28

繁體中文

本文主要研究中國大陸寬鬆的貨幣政策是否增加了銀行的風險承擔水平，以及銀行個體特徵對銀行風險的影響。本文利用中國大陸銀行業2007年至2013年的平衡面板數據，利用動態面板數據的系統GMM估計進行了實證分析。GMM估計的實證結果表明，低利率政策增加了銀行的風險承擔，而且資本適足率、資產收益率、總資產規模、流動性比率、非利息收入占比越大的銀行，風險承擔水平越低。異質性檢驗的結果表明，不同特徵的銀行其風險承擔對貨幣政策反應的敏感程度不同。

In this paper, we focus on whether easy monetary policy of China will increase the risk-taking level of Chinese banks. Based on System-GMM, this paper uses balanced panel data of Chinese banks from 2007 to 2013 to get the empirical results. The results show that low interest rate policy will increase the risk-taking behavior of banks and the banks with higher capital adequacy ratio, return of assets, total asset scale, liquidity ratio and non-interest income ratio will have lower risk-taking level. Heterogeneity test shows that for banks with different characteristics, there’re differences in sensitivitities of banks’ risk-taking behavior to monetary policy signals.

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