微观贷款数据的货币政策风险承担渠道研究——基于银行特征、借款企业特征与贷款合约特征的视角

摘要基于1998—2017年中国372家上市公司贷款数据,考虑银行特征、借款企业特征与贷款合约特征,以银行贷款的风险溢价作为银行风险承担的代理变量,研究我国货币政策风险承担渠道。实证结果表明:在控制银行特征、借款企业特征以及贷款合约特征的影响后,我国货币政策风险承担渠道仍然存在。货币政策对银行风险承担的影响因银行特征与借款企业特征而异。银行对国有控股、违约风险低的企业风险承担受货币政策影响较小,但对房地产企业的风险承担受货币政策影响较大。宽松的货币政策环境使得非国有企业与中小企业更容易获得资金支持,但同时也造成更多资金流向房地产行业,影响金融稳定。

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关键词：货币政策风险承担渠道银行特征借款企业特征贷款合约特征

Abstract： By using the loan data of 372 listed companies in China from 1998 to 2017, this paper identifies and studies the risk-taking channel of China’s monetary policy by matching bank characteristic data, borrowing firm characteristic data and loan contract characteristic data, and taking the risk premium of bank loans as an agent variable of bank risk-taking. The results show that: after controlling the influence of bank characteristic variables, borrowing firm characteristic variables and loan contract characteristic variables, the risk-taking channel of monetary policy in China still exists. The impact of monetary policy on bank risk-taking is asymmetrical, banks who have large-scale assets, poor liquidity, high capital adequacy rate and non-state-owned are less affected by monetary policy. Bank risk-taking to enterprises who have state-owned shares and low default risk is less affected by monetary policy, but bank risk-taking to enterprises who have real estate enterprises is more affected by monetary policy. This means that the loose monetary policy environment makes it easier for non-state-owned enterprises and SME to obtain financial support, but also causing more capital flows to real estate and other industries, thus affecting financial stability.

Keywords： Monetary Policy Risk-taking Channel Characteristics of Bank Characteristics of Borrowing Enterprises Characteristics of Loan Contract

收稿日期 2020-01-19; 接受日期 ;

基金资助:山东省社会科学基金规划项目(17CJJJ11);教育部人文社会科学研究青年基金项目(19YJC790120)。

作者简介: 董华平(1981— ),男,辽宁丹东人,博士,副教授,主要从事货币理论与货币政策研究;孙勇(1979— ),男,湖北武汉人,博士,副教授,主要从事商业银行管理研究。

引用本文:

董华平, 孙勇.微观贷款数据的货币政策风险承担渠道研究——基于银行特征、借款企业特征与贷款合约特征的视角[J]. 经济经纬, 2020,6: 151-162

DONG Huaping, SUN Yong.A Research on Rish Taking Channel of Monetary Policy Based on Micro Loan Data——From the Perspective of Bank Characteristics, Borrowing EnterpriseCharacteristics and Loan Contract Characteristics[J] Economic Survey, 2020,V37(6): 151-162

链接本文:

http://www.jjjw.org.cn/CN/ 或 http://www.jjjw.org.cn/CN/Y2020/V37/I6/151

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