货币政策、宏观审慎监管与银行系统性风险承担

本文是系统性层面的货币政策风险承担渠道研究.在构建监管当局与商业银行的道德风险理论模型的基础上,本文选取中国上市商业银行为样本,基于CoVaR和CCA方法实证研究了中国货币政策对银行系统性风险承担的影响以及与宏观审慎监管的协调.结果发现:1)宽松的货币政策,宏观审慎政策以及高杠杆会显著提高银行系统性风险承担;2)宏观审慎与货币政策双支柱的"紧紧"组合对降低系统性风险的政策效果比"紧松"组合更优,利率政策对银行杠杆的关注不足,通过紧缩的利率政策去银行杠杆可能无效;3)利用货币政策,宏观审慎政策限制系统性风险在危机时期可能是无效的,对大型银行的效果不明显.

Monetary policy,macro-prudential regulation and bank systemic risk-taking

This article is a study about risk-taking channel of the monetary policy on systemic level. On the basis of building the theoretical model, collecting 16 listed commercial bank in 2007-2018 of China as samples, based on the method of CoVaR and CCA, we take a empirical research the influence of monetary policy on systemic risk-taking of banks and coordination with macro-prudential monitoring. The results show that:1) loose monetary policy, loose macro-prudential policy and high leverage can significantly increase the systemic risk of banks; 2) the combination of tight macro-prudential policy and tight monetary policy stance is more effective in reducing systemic risk. Interest rate policies pay insufficient attention to bank leverage, and tightening interest rate policies is ineffective to "bank de-leveraging"; 3) monetary policy and macro-prudential policy may be ineffective in crisis times and for GSIBs to limit systemic risk.