CAJ | 학술논문

由于银行特质性的差异。不同银行对货币政策信号的敏感性不一样．从而影响货币政策的传导和货币政策的最终效果。随着我国银行业资本约束的建立和强化．商业银行的风险偏好和信贷行为也会发生调整，从而有可能加剧银行特质性对货币政策传导的影响。本文基于我国银行业资本约束的大背景，利用广义矩估计方法（GMM）．将货币政策信号、银行特质性与银行风险承担状态有机统一起来．通过选取更具现实性的风险承担指标，对不同货币政策信号下我国银行业的不同风险承担状态进行了实证比较分析。结果发现，我国货币政策信号对不同特质性的商业银行的不同风险承担的影响有着较为显著的差异，从而导致不同特质性的商业银行的货币政策敏感性大相径庭。由此本文提出．在资本约束不断强化的背景下．货币当局应该考虑不同特质性的商业银行在面对货币政策变化时所作出的不同程度的风险调整，制定差异化的货币政策．并考虑与监管政策的配合和尝试监管手段的货币工具化．
유우은행특질성적차이。불동은행대화폐정책신호적민감성불일양．종이영향화폐정책적전도화화폐정책적최종효과。수착아국은행업자본약속적건립화강화．상업은행적풍험편호화신대행위야회발생조정，종이유가능가극은행특질성대화폐정책전도적영향。본문기우아국은행업자본약속적대배경，이용엄의구고계방법（GMM）．장화폐정책신호、은행특질성여은행풍험승담상태유궤통일기래．통과선취경구현실성적풍험승담지표，대불동화폐정책신호하아국은행업적불동풍험승담상태진행료실증비교분석。결과발현，아국화폐정책신호대불동특질성적상업은행적불동풍험승담적영향유착교위현저적차이，종이도치불동특질성적상업은행적화폐정책민감성대상경정。유차본문제출．재자본약속불단강화적배경하．화폐당국응해고필불동특질성적상업은행재면대화폐정책변화시소작출적불동정도적풍험조정，제정차이화적화폐정책．병고필여감관정책적배합화상시감관수단적화폐공구화．
Due to differences in the characteristics of banks, the sensitivity of different banks to monetary policy signalsare not the same. It would result in differences on loans and other behaviors, thereby affecting the monetary policy transmis-sion and its ultimate effect. With the establishment and strengthening of China＇s banking capital constraint, the risk prefer-ences and credit behaviors of commercial banks will be gradually changed, which may exacerbate the impact of monetary pol-icy. In this paper, using the generalized method of moments （GMM） and combining the monetary policy, banks＇ microscopiccharacteristics ,and their sensitivity to monetary policy signals, we compared the risk taking behaviors of different Chinesebanks to monetary policy signals by choosing a more realistic risk taking indicator. We found that： there were significant dif-ferences on banks＇ risk taking behaviors to monetary policy signals in the different risk characteristics of different commeialbanks in China. Therefore, we proposed that monetary authorities should take into account the different risk-adjusted charac-teristics of different commercial banks in the face of monetary policy changes in the context of capital constraints, and contin-ue to strengthen and coordinate monetary policy and regulatory policy.