【摘要】 通过分析微观层面的中国上市银行的面板数据,发现中国银行业的资本增速存在顺资产价格周期性,且这在中、小型银行、资产价格危机期间表现得更为明显。在此基础上,进一步从宏观层面利用FASVAR模型检验了银行资本扩张的顺资产价格周期性对货币政策传导的影响。结果显示:货币政策传导的银行资本渠道在中国是存在的,即货币政策通过影响资产价格来影响银行的资本约束和资产扩张,最终传导给实体经济。此外,发现货币数量通过这一渠道的作用强于利率调控的作用。更多还原

【Abstract】 By analyzing the panel data about listed banks in China,this paper finds that the banks’ capital is pro-cyclical to asset price in China,which is more significant in the middle and small banks and in the period of asset price crisis.Based on that,it adopts the FA-SVAR model at macro-level to test the effect of the pro-cyclicality of bank capital on the transmission of monetary policy.The result shows that,the bank capital channel of monetary policy does exist in China,and monetary policy influences capital constraint and assets expansion of banks through impacting asset price,and these impact finally transmit real economy.In addition,it finds that the effect of money quantity in this channel is stronger than that of interest rate.更多还原