财经理论与实践
財經理論與實踐
재경이론여실천
The Theory and Practice of Finance and Economics
2015年
3期
9~15
,共null页
宏观审慎政策 银行风险承担 逆周期 广义矩估计
宏觀審慎政策 銀行風險承擔 逆週期 廣義矩估計
굉관심신정책 은행풍험승담 역주기 엄의구고계
Macroprudential policy＇ Banks＇ risk taking ; Countercyclical ;GMM
针对宏观审慎政策中的逆周期政策工具对银行风险承担产生的影响进行了分析。在理论上研究了逆周期政策工具所带来的宏观和微观效应，并运用动态面板数据广义矩估计方法进行了实证分析。研究发现，在信贷扩张期杠杆率、贷款损失准备金率的上升会使银行的当期风险承担水平增加，资本充足率的提高使风险承担降低。而滞后六个月的资本充足率、杠杆率、贷款损失准备金率的上升可以显著降低当期的风险承担水平，宏观审慎政策工具的宏观效应和微观效应一致。
針對宏觀審慎政策中的逆週期政策工具對銀行風險承擔產生的影響進行瞭分析。在理論上研究瞭逆週期政策工具所帶來的宏觀和微觀效應，併運用動態麵闆數據廣義矩估計方法進行瞭實證分析。研究髮現，在信貸擴張期槓桿率、貸款損失準備金率的上升會使銀行的噹期風險承擔水平增加，資本充足率的提高使風險承擔降低。而滯後六箇月的資本充足率、槓桿率、貸款損失準備金率的上升可以顯著降低噹期的風險承擔水平，宏觀審慎政策工具的宏觀效應和微觀效應一緻。
침대굉관심신정책중적역주기정책공구대은행풍험승담산생적영향진행료분석。재이론상연구료역주기정책공구소대래적굉관화미관효응，병운용동태면판수거엄의구고계방법진행료실증분석。연구발현，재신대확장기강간솔、대관손실준비금솔적상승회사은행적당기풍험승담수평증가，자본충족솔적제고사풍험승담강저。이체후륙개월적자본충족솔、강간솔、대관손실준비금솔적상승가이현저강저당기적풍험승담수평，굉관심신정책공구적굉관효응화미관효응일치。
This paper analyzes the impact of countercyclical policy instruments on banks＂ risk taking in the framework of macroprudential policy. It studies the macro and micro effects of countercyclical policy instruments theoretically and uses dynamic panel data GMM estimation em- pirically. The study finds that there is a positive relationship between leverage ratio, loan loss re- serve ratio and banks＂ risk taking, and a negative relationship between capital adequacy ratio and banks＂ risk taking. The increase of capital adequacy ratio, leverage ratio, loan loss reserve ratio which are lag of six months can reduce current banks＂ risk taking significantly. The macro and mi- cro effects of macroprudential policy instruments are consistent.
