Interest Rate Liberalization, Monetary Policy and Bank Risk-taking
LIU Sheng-fu1, YANG Xing-zhe2, HAN Yong3,4
1.The People’s Bank of China, Beijing 100800, China; 2.Jinhe Center for Economic Research, Xi’an Jiaotong University, Xi’an 710049, China; 3.Post-Doctoral Workstation of China Construction Bank, Beijing 100800, China; 4. Post-Doctoral Station of Renmin University of China, Beijing 100872, China
Abstract：
By constructing the weighted average index which reflects the liberalization of the interest rate in the money market, the bond market, the shadow banking market and the bank deposit and loan market, this paper combines the panel data of 115 commercial banks in China from 1996 to 2014 with the system GMM model to test the relationship between monetary policy and the bank risk-taking in the liberalization process of interest rate. The empirical results show that with the gradual rise of the level of interest rate liberalization, the loose (tight) monetary policy stimulates(constraints) the risk-taking behavior of commercial banks. But under the dual impact of “liquidity effect” and “price effect”, the impact of monetary policy on bank risk-taking behavior is gradually weakened. It is of great practical significance to improve the institutional mechanism of interest rate liberalization to improve the macro-prudential management framework of China’s financial market.
2018 
