本文選題：貨幣政策 + 風(fēng)險(xiǎn)加權(quán)資產(chǎn)率��； 參考：《天津財(cái)經(jīng)大學(xué)》2014年碩士論文

【摘要】：2008年金融危機(jī)之后,銀行的風(fēng)險(xiǎn)承擔(dān)意愿開(kāi)始受到學(xué)術(shù)界的廣泛關(guān)注,它不僅涉及到貨幣政策的傳導(dǎo)機(jī)制,而且對(duì)研究貨幣政策與金融穩(wěn)定之間的關(guān)系具有重要意義。商業(yè)銀行作為對(duì)資金進(jìn)行優(yōu)化配置和獨(dú)立承擔(dān)風(fēng)險(xiǎn)的個(gè)體,對(duì)貨幣政策效應(yīng)起著舉足輕重的作用。自2008年全球性金融危機(jī)之后,2010年出版的《巴塞爾協(xié)議Ⅲ》更加關(guān)注銀行業(yè)的風(fēng)險(xiǎn)問(wèn)題,明確銀行風(fēng)險(xiǎn)承擔(dān)意愿對(duì)貨幣政策傳導(dǎo)過(guò)程的影響機(jī)理。因此,疏通傳導(dǎo)渠道、掌握金融動(dòng)態(tài)變化趨勢(shì)將有利于進(jìn)一步促進(jìn)社會(huì)經(jīng)濟(jì)的可持續(xù)發(fā)展。文章在研究了各國(guó)學(xué)者關(guān)于銀行風(fēng)險(xiǎn)承擔(dān)意愿的不同學(xué)術(shù)觀點(diǎn)之后,指出其中值得學(xué)習(xí)的地方和存在的局限性。首先,文章對(duì)風(fēng)險(xiǎn)、銀行風(fēng)險(xiǎn)、銀行風(fēng)險(xiǎn)承擔(dān)等相關(guān)概念進(jìn)行解釋說(shuō)明,并就文章研究所用到的貨幣政策理論進(jìn)行了初步整理,提出主要觀點(diǎn),為實(shí)證研究做好理論鋪墊。其次,從銀行風(fēng)險(xiǎn)承擔(dān)渠道和作用機(jī)制著手,重點(diǎn)分析和解釋了風(fēng)險(xiǎn)承擔(dān)渠道的四種作用機(jī)制,并結(jié)合我國(guó)實(shí)際情況,論證我國(guó)商業(yè)銀行存在風(fēng)險(xiǎn)承擔(dān)渠道；然后,選取貨幣供應(yīng)量M2、同業(yè)拆借利率和風(fēng)險(xiǎn)加權(quán)資產(chǎn)率作為代理變量,收集我國(guó)16家上市銀行的月度數(shù)據(jù)為樣本數(shù)據(jù),并將樣本數(shù)據(jù)進(jìn)行金融危機(jī)前后兩個(gè)時(shí)間段的分割,同時(shí)構(gòu)建2個(gè)時(shí)間序列模型VAR模型,分析變量之間的脈沖響應(yīng)函數(shù)圖和方差分解表進(jìn)一步得出各變量之間的動(dòng)態(tài)關(guān)系,對(duì)比分析這兩個(gè)模型之間的不同之處。文章的研究結(jié)論如下：我國(guó)商業(yè)銀行存在風(fēng)險(xiǎn)承擔(dān)渠道,并且在金融危機(jī)前后表現(xiàn)各異,金融危機(jī)前,擴(kuò)張性的貨幣政策會(huì)誘使銀行在短期內(nèi)大規(guī)模進(jìn)行風(fēng)險(xiǎn)資產(chǎn)投資；金融危機(jī)后,短期內(nèi)擴(kuò)張性的貨幣政策效果不佳,銀行風(fēng)險(xiǎn)承擔(dān)意愿下降。在前文的分析和研究基礎(chǔ)之上,文章從貨幣政策工具、中央銀行的獨(dú)立性、利率市場(chǎng)化和金融監(jiān)管的角度為貨幣當(dāng)局、商業(yè)銀行等各個(gè)部門提出相關(guān)建議。并指出本文的研究不足之處。
[Abstract]:After the 2008 financial crisis, the risk bearing willingness of the bank began to receive extensive attention from the academic circle. It not only involves the transmission mechanism of monetary policy, but also is of great significance to the study of the relationship between monetary policy and financial stability. Policy effect plays an important role. Since the 2008 global financial crisis, the Basel Protocol III, published in 2010, pays more attention to the risk of the banking industry and makes clear the mechanism of the impact of the risk willingness of the bank on the transmission of monetary policy. Therefore, it will be beneficial to dredge the channel and grasp the trend of the financial dynamic change. Step by step promotes the sustainable development of the social economy. After studying the different academic views on the risk bearing willingness of the banks, the article points out the places and limitations which are worth learning. First, the article explains the related concepts of risk, bank risk, bank risk bearing and so on, and is used in the research of the article. The theory of monetary policy is preliminarily arranged and the main points of view are put forward to lay the theoretical foundation for the empirical research. Secondly, from the bank risk undertaking channels and the mechanism of action, the four mechanisms of risk bearing channels are analyzed and explained, and the risk bearing channels of China's commercial banks are demonstrated in combination with the actual situation in China. Then, we select the M2, the interbank lending rate and the risk weighted asset ratio as the proxy variables, collect the monthly data of the 16 listed banks in our country as the sample data, and divide the sample data into the two time periods before and after the financial crisis, and construct the 2 time series model VAR model, and analyze the impulse response function between the variables. The chart and variance decomposition table further draw the dynamic relationship between the variables, compare and analyze the differences between the two models. The conclusion of the article is as follows: the commercial banks of our country have the risk bearing channels, and their performance is different before and after the financial crisis. Before the financial crisis, the expansive monetary policy will induce the bank to be large in the short term. After the financial crisis, the short-term expansive monetary policy effect is not good and the risk bearing of the bank is reduced. On the basis of the analysis and research of the previous article, the article is from the monetary policy tool, the independence of the central bank, the interest rate marketization and the financial supervision, and the monetary authorities, commercial banks and other departments. The door puts forward relevant suggestions and points out the deficiency of this research.
【學(xué)位授予單位】：天津財(cái)經(jīng)大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2014
【分類號(hào)】：F832.33;F822.0

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