【作者】 陈宇；

【导师】 彭建刚；

【作者基本信息】 湖南大学 ， 金融学， 2017， 硕士

【摘要】 自次贷危机后进入公众视野的“宏观审慎”,其根本理念在于防范系统性风险,而不再是仅仅执着于单个银行的风险防范。那么在控制银行风险承担这一问题上,同样可以把“宏观审慎”这一理念引入到银行风险承担这一领域来对其加以研究。发现以往文献往往集中于通过银行微观个体特征对银行风险承担进行研究,主要是探讨了微观层面上的银行风险承担的传导路径及检验其存在性,研究货币政策、银行资本监管、宏观经济等因素对于银行风险承担影响,但是缺乏基于整个银行业视角的风险承担研究。本文通过引入宏观审慎理念,将银行业视作一个整体,基于银行业视角去研究风险承担的影响因素,同时也从微观层面去研究银行风险承担。宏观层面,利用VAR模型结合我国银行业2011Q1—2016Q3的数据研究表明,当货币供应量遭遇外来冲击时,银行风险承担水平先是呈现正向反应,随后变为负向反应,最后又变为正向反应;当经济增速遭遇外来冲击时,银行风险承担所表现出来的反应方向会先呈现正向,之后呈现负向;当核心资本充足率遭遇外来冲击时,银行风险承担所表现出来的反映方向则一直都是负向的。其中核心资本充足率对银行风险承担水平变化的贡献度最大,经济增速次之,货币供应量最低。微观层面,利用面板门槛模型,结合我国42家银行个体2008—2015年的数据,研究表明,无论是针对全样本,还是全国性股份制银行样本以及城市商业银行样本,核心资本充足率都存在两个门槛值,核心资本充足率处于不同的区间时,货币政策对于银行风险承担的作用方向呈现出明显的差异。本文从监管部门与银行自身两个层面依次给出了如何控制银行风险承担的建议。在监管部门这一层面,需要将宏观审慎管理放在核心位置;为避免出现部门协调问题,建议强化央行宏观审慎管理的权力;考虑到宏观审慎与微观审慎的关系,需要综合利用二者来进行监管,形成协同效应,这样才能更好地防范系统性风险。关于货币政策与宏观审慎政策的协调进行了一定探索,并在此基础上,从政策抉择与搭配这两方面就如何控制银行风险承担给出了建议;对于货币政策与银行监管措施进行优化,强调整体性与金融稳定的理念。在银行层面,银行要强化业务的风险意识,并加强中间业务的发展,最终将银行风险承担水平控制在一个可控且适宜的区间。更多还原

【Abstract】 Since the subprime crisis,"macro-prudential" came into the public’ view,whose fundamental idea is to guard against systemic risk,rather than just clinging to how to guard against a single bank’s risk.So,in dealing with the issue of bank risk-taking,we can also introduce the concept of "macro-prudential" into the field of bank risk-taking.This paper,reviewing related literatures about the influential factors of bank risk-taking and combing the domestic and foreign research on bank risk-taking,found that most of previous literature tended to research bank risk-taking by the view of single bank individual and mainly discussed the conduction path of bank risk-taking on the point of micro level and tested the conduction path’s existence and studied regulation of bank’s capital,monetary policy,macro-economy these factors’influences to bank risk-taking,while study from the perspective of the bank industry is deficient.This paper introduces the awareness of macro-prudential into study,regarding the bank industry as a whole,studying from the perspective of the bank industry and the single bank.On the macro level,the VAR model uses the data of China’s banking industry from 2011Q1 to 2016Q3 to study that when the money supply changes,the bank risk-taking will have a positive reaction firstly,then become a negative reaction,and finally come into a positive reaction;when the growth of economy changes,the bank risk-taking will have a positive reaction firstly,then become a negative reaction;when the core capital adequacy ratio changes,the bank risk-taking will have a negative reaction.The contribution of the core capital adequacy ratio to the change of bank risk-taking is the most significant.On the micro level,using panel threshold model and data of 42 China’s banks from 2008 to 2015,this study shows that both for the sample combined by 42 China’s banks,or the sample combined by national joint-stock banks and the sample combined by city commercial banks,the core capital adequacy ratio exists two threshold variables.When the core capital adequacy ratio is in different interval,monetary policy has different direction of the effects to bank risk-taking.This paper gives suggestions from the view of the regulatory authorities and the bank individuals on how to control bank risk-taking suggestions.In the view of the former,put Macro-prudential Management in the core position;to avoid problems in coordination,strengthen the central bank’s right as a Macro-prudential Management authority;considering the relationship the Macro-prudential and Micro-prudential,to form a synergistic effect in supervision,requires a comprehensive use of these two means,so as to gain an expected effects.This paper probes into the coordination of monetary policy and Macro-prudential policy,and on this basis,gives some suggestions on how to control bank risk-taking from two aspects of policy choice and collocation;Improve monetary policy and banking supervision measures by emphasizing the concept of integrity and financial stability.In the view of the later,strengthen the risk awareness of business,and promote the development of intermediary business,and ultimately control the risk level of banks in a controllable and appropriate range.更多还原