答辩委员会成员信息
姓
名
职
称
工
作
单
位
主
席
秦涛
教授
北京林业大学
侯方淼
刘明镝
王会
教授
北京林业大学
北京林业大学
北京林业大学
副教授
副教授
委
员

摘要
摘要
商业银行作为货币政策传导的主要媒介，其风险承担行为不仅影响货币政策目
标的实现效果，还可能引发系统性金融风险，不利于金融稳定。国际金融危机的爆
发，表明了以稳经济、控通胀为目标的货币政策会通过银行等金融机构影响金融稳
定；同时也说明了流动性监管的缺失助长了银行风险承担的快速增加。此后，基于
巴塞尔协议 III的流动性监管被提到与资本监管并重的高度，并被纳入宏观审慎监管
体系，用来约束银行风险的上升，维护金融体系安全。货币政策和审慎监管政策的
有效协调运作是防范金融风险和促进经济高质量发展的保障。而货币政策和流动性
监管作为影响银行风险承担的两大重要因素，迫切需要厘清货币政策对银行风险承
担的影响以及流动性监管在其影响中发挥的作用，为有效健全货币政策和审慎监管
政策协调运作框架提供参考价值，同时也为基于巴塞尔协议 III的流动性监管的实施
提供借鉴意义。
因此本文将基于 2008-2018年我国具有代表性的 36家商业银行的非平衡面板数
据，利用差分 GMM估计方法，重点实证探究流动性监管在货币政策影响银行风险
承担中的调节作用、调节作用在不同性质银行间的异质性，以及流动性监管加强前
后该作用是否存在明显差异。
结果表明：宽松的货币政策会激发银行增加风险承担的冲动，而以净稳定资金比
例代表的流动性监管能够约束银行风险承担的过度增加；同时重点得出了流动性监管
可以有效削弱宽松货币政策刺激银行风险承担增加的程度，流动性监管表现出积极的
调节作用，但对不同类型银行存在异质性，其中对国有银行和股份制银行的削弱效果
较突出，对城市商业银行和农村商业银行反而有增强作用；并且基于巴塞尔协议III
的流动性监管的削弱效果最为明显。最后基于结论得出一些启示建议，以为货币政策
和监管政策的协同调控提供参考价值。
关键词：货币政策，流动性监管，净稳定资金比例，银行风险承担
I

ABSTRACT
An Empirical Study on the Impact of Monetary Policy on
Bank Risk-taking under Liquidity Regulation
Master Candidate Lin Li
(The Finance)
Directed by Huanxue Pan
ABSTRACT
As the main medium of monetary policy transmission, commercial bank risk-taking behavior not
only affects the realization of monetary policy objectives, but may also cause systemic financial risks,
which is not conducive to financial stability. The outbreak of the financial crisis in 2008, which showed
that monetary policy aimed at stabilizing the economy and controlling inflation will affect financial
stability through banks and other financial institutions, at the same time which also showed that the lack
of liquidity regulation has contributed to the rapid increase of bank risk-taking. Liquidity regulation
based on Basel III has been raised to the same height as capital regulation, and has been incorporated
into the macro-prudential supervision system to restrain the rise of bank risks and maintain the security
of the financial system. The effective coordinated operation of monetary policy and prudential
supervision policy is the guarantee for preventing financial risks and promoting high-quality economic
development. Monetary policy and liquidity regulation policy are two important factors that affect bank
risk-taking. It is urgent to clarify the impact of monetary policy on bank risk-taking and the role of
liquidity regulation in its influence. Which can lay the foundation for an effective and sound monetary
policy and prudential policy coordination and operation framework. At the same time, which also
provides a reference for the implementation of liquidity regulation based on Basel III.
Therefore, this article will choice the unbalanced panel data of 36 commercial banks in China from
2008 to 2018, using differential GMM estimation methods, and focus on empirically exploring the
moderating role of liquidity regulation in monetary policy affecting bank risk-taking, the heterogeneity
of this role among different banks, and whether there are obvious differences after and before the
tightening of liquidity regulation.
II
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