CAJ | 학술논문

本文基于1998～2010年期间59家商业银行的微观数据，采用GMM动态面板估计方法实证检验了中国货币政策对银行风险承担的影响，验证了货币政策传导的银行风险承担渠道假说。实证结果显示：（1）货币政策与银行风险承担变量呈显著负相关关系，收入和估值效应、收益搜寻动机、竞争效应3种子机制均存在；（2）规模越大、资本越充足的银行，其风险承担行为对货币政策的敏感性越低；（3）与传统货币政策非对称性理论结论不同的是，扩张性货币政策对银行风险承担的激励作用强于紧缩性货币政策的约束作用。为避免银行体系风险的过度积聚，政策当局可考虑银行业资本充足状况与宏观经济环境，搭配使用传统货币政策与宏观审慎管理工具；加快利率市场化步伐，弱化国内银行的信贷扩张冲动，是提高货币政策调控有效性和实现金融稳定的必要途径。
본문기우1998～2010년기간59가상업은행적미관수거，채용GMM동태면판고계방법실증검험료중국화폐정책대은행풍험승담적영향，험증료화폐정책전도적은행풍험승담거도가설。실증결과현시：（1）화폐정책여은행풍험승담변량정현저부상관관계，수입화고치효응、수익수심동궤、경쟁효응3충자궤제균존재；（2）규모월대、자본월충족적은행，기풍험승담행위대화폐정책적민감성월저；（3）여전통화폐정책비대칭성이론결론불동적시，확장성화폐정책대은행풍험승담적격려작용강우긴축성화폐정책적약속작용。위피면은행체계풍험적과도적취，정책당국가고필은행업자본충족상황여굉관경제배경，탑배사용전통화폐정책여굉관심신관리공구；가쾌리솔시장화보벌，약화국내은행적신대확장충동，시제고화폐정책조공유효성화실현금융은정적필요도경。
Using 59 commercial banks＇ data during the periods of 1998-2010 and GMM dynamic panel estimation method, this paper verifies the hypothesis of bank risk-taking channel in China. The results show that：（ 1 ） Loose monetary policy will lead to an increase of the bank risk-taking ; （2） Higher capital adequacy ratio in the banking sector, the impact of monetary policy on bank risk-taking will be weaker; （3）The impact of ex- pansionary monetary policy on bank risk-taking is stronger than the tightening. To avoid the excessive accumulation of systematic risk in the banking system, the authorities should take account of the banking capital position, and coordinate monetary policy with macro-prudential tools. And accelerating the pace of interest rate liberalization is necessary for improving the effectiveness of price-based monetary policy tools and maintaining the financial stability