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MBA论文_我国宏观审慎政策对商业银行风险承担影响

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文本描述
我国宏观审慎政策对商业银行风险承担的影响
摘 要
金融的脆弱性是金融发展中的重大问题,21世纪初全球金融危机的爆发,
对世界经济造成了严重的冲击,也使得金融体系的脆弱性充分暴露。尤其是 20
20年“疫情”的爆发,对各个国家的经济都带来了更多不确定性。学者们的结
论表明,过去的微观审慎监管无论在监管理念和监管目标上都存在着一定的缺
陷,因而,在寻求防范金融风险的过程中,各国都认识到了宏观审慎监管是金
融体系稳定的重要保证。我国也在 2008年金融危机之后通过一系列举措的完善,
开始逐渐建立起宏观审慎政策框架,以期实现防范金融风险、维护金融稳定的
目的。
我国对于宏观审慎政策的实践一直在不断的进行深化,但是与之相关的理
论还尚未成熟,并且相关政策工具的有效性还有待于进一步检验。本文在梳理
国内外有关于宏观审慎政策工具传导方式和有效性文献的基础上,对我国宏观
审慎政策的实施历程和发展现状做了较为完整的归纳,结合“金融脆弱性理
论”、“委托代理理论”和“信息不对称理论”,阐述了实施宏观审慎政策的
必要性,并说明了流动性、信贷类和资本性工具的影响机制。最后论文借鉴已
有的研究成果,采用系统 GMM的检验方法对宏观审慎政策的有效性进行检验:
一是分别检验流动性、信贷类和资本性宏观审慎工具的有效性;二是加入与上
市相关的虚拟变量之后进一步实证研究各类工具作用于上市银行与非上市银行
的有效性问题;三是异质性问题,研究各类工具作用于不同资产负债率下的商
业银行是否有所区别。
本文的研究结果表明,我国的宏观审慎政策工具能够有效地降低我国商业
银行的风险承担,并且存在着一定的滞后性和持续性。其次上市银行和非上市
银行对于该传导机制的反应有所不同,上市银行比起非上市银行面对宏观审慎
政策的调控反应更加显著。最后由于我国银行业资产端和负债端同质化现象较

为普遍,在宏观审慎政策对商业银行风险承担产生影响的过程中资产负债率不
会对该过程产生显著影响。
关键词:宏观审慎政策;商业银行风险承担;系统 GMM模型

The impact of China's macro-prudential policies on the
commercial banks' risk taking
Abstract
Financial vulnerability is a major issue in financial development. The outbreak of
the global financial crisis at the beginning of the 21st century caused a serious impact
on the world economy and fully exposed the vulnerability of the financial system. In
particular, the outbreak of the "epidemic" in 2020 has brought more uncertainty to the
economies of various countries. Scholars have concluded that micro-prudential
regulation in the past had certain shortcomings in terms of both regulatory philosophy
and regulatory objectives, and therefore, in the process of seeking to prevent financial
risks, countries have recognized that macro-prudential regulation is an important
guarantee for the stability of the financial system. China also began to gradually
establish a macroprudential policy framework through a series of initiatives to
improve it after the 2008 financial crisis, with a view to achieving the purpose of
preventing financial risks and maintaining financial stability.
The practice of macro-prudential policy in China has been deepening, but the
theory related to it has not yet matured, and the effectiveness of related policy tools
still needs to be further tested. Based on the literature on the transmission mode and
effectiveness of macroprudential policy tools at home and abroad, this paper gives a
complete summary of the implementation history and development status of
macroprudential policy in China, combining the "financial fragility theory",
"principal-agent theory" and "information asymmetry theory".The paper also explains
the necessity of implementing macro-prudential policy, and explains the impact
mechanisms of liquidity, credit and capital instruments, taking into account the
"financial fragility theory", "principal-agent theory" and "information asymmetry
theory". Finally, drawing on the existing research results, the paper adopts a
systematic GMM test to test the effectiveness of macroprudential policy: first, to test
。。。以下略