Research On The Influence Of Double-Pillar Regulation And Control Policy On The Risk-Taking Of Commercial Banks

Before the outbreak of the financial crisis in 2007,the impact of commercial banks' risk-taking was often underestimated in the research on the stability of the financial system.The emergence of the subprime crisis in the United States has attacked this traditional point of view.In the monetary policy cycle,the risk preference and behavior of commercial banks are closely related to the effectiveness of monetary policy transmission,but also directly related to macro-systemic risk.Due to the excessive risk behind the subprime crisis,the traditional micro-prudential supervision system is no longer applicable to the control of systemic risk.Exploring the establishment of a new macro-prudential supervision system has become a new and major issue for the regulatory authorities of major countries around the world.In the cycle of macro-prudential system,the risk-taking of commercial banks has a close impact on the orientation of the central bank's macro-prudential policy.At the same time,at present,China's commercial banks are in the context of deposit insurance system and interest rate marketization,which can make commercial banks take risks to make changes.Based on this,this paper analyzes the influence of monetary policy and macro-prudential policy on risk-taking from the risk-taking of commercial banks.At the same time,combined with the “insurance effect”(deposit insurance system,the role of the government)and the economic background of interest rate marketization,and taking it as the logical main line,the research framework of this paper is constructed.Finally,the end of the problem in the simulation of the economic situation,how to make the double-pillar policy synergy on the risk-taking of commercial banks,in order to explore the relationship between the double-pillar regulation and control policy and the risk-taking of commercial banks.According to the above logical main line,this paper will try to explore the following questions:whether there is an “insurance effect” in the transmission mechanism of risk-taking in commercial banks? From the perspective of “insurance effect”,how is the risk-taking of commercial banks affected by the tools of monetary policy and how does the risk-taking of commercial banks affect the effect of monetary policy? Under the background of interest rate marketization,how can the risk-taking of commercial banks be affected by macro-prudential policies?Does monetary policy and macro-prudential policy reflect the synergy of double-pillar policy on risk-taking of commercial banks? Through the scenario simulation analysis,how can monetary policy and macro-prudential policy coordinate on the risk-taking of commercial banks? In a specific economic scenario,how can the double-pillar framework policy act on the risk-taking of commercial banks in order to maintain the balance of the economy?The research on these problems has important theoretical and practical significance for China's commercial banks in risk management policy,and plays an important role in exploring the synergy of double-pillar policy,and provides some support for the policy-making of our country.This paper is divided into seven chapters: the first chapter is the introduction,which puts forward the background,research significance,problems and so on;the second chapter is the review,review and review of the relevant literature;the third chapter is the relevant basic theoretical analysis;The fourth chapter is the research on monetary policy and risk-taking from the perspective of "insurance effect",and the fifth chapter is the research on macro-prudential policy and risk-taking from the perspective of interest rate marketization.The sixth chapter is based on the scenario simulation perspective of double-pillar policy risk-taking synergy;the seventh chapter is the conclusion of this paper,policy enlightenment and research prospects.The conclusions of this paper mainly include the following aspects:First,China's commercial banks have “risk-taking channels” of monetary policy,and different monetary policy tools,macroeconomic conditions and the characteristics of commercial banks have different effects on the risk-taking of banks.Based on the data of China's commercial banks in the past two decades,this paper analyzes the impact of monetary policy on the risk-taking of commercial banks.The results show that:(1)under the loose monetary policy,the risk-taking of commercial banks will be improved,which verifies the existence of the risk-taking channels of commercial banks in monetary policy.And the impact of quantitative and price-based monetary policy tools on risk-taking is not completely unified,and the impact of monetary policy on the risk-taking of commercial banks is asymmetric.(2)in terms of the characteristics of commercial banks,commercial banks with high return on total assets,high capital adequacy ratio and large scale,their traditional business profits are more stable,and the proportion of venture capital is low,so they will be more cautious in risk-taking.(3)when the economic situation is good,the profitability of enterprises is strong,and default is unlikely to occur,so the non-performing loan ratio of banks on the capital supply side will also be relatively low.At the same time,a better situation in the A-share market will enhance the risk-taking of commercial banks.(4)the “insurance effect” of risk assumption exists,and there are the problems of moral hazard and adverse selection.With the increase of the size of commercial banks,the “insurance effect” will reduce the risk-taking.Economic growth can improve the increase of risk-taking brought about by the “insurance effect”,perhaps because with the economic growth and social progress,the “insurance effect” of the risk-bearing transmission mechanism will gradually weaken.The regression result of the cross coefficient between macroeconomic variable A-share market and IDS is not significant,indicating that the “insurance effect” of the risk-bearing transmission mechanism of commercial banks in A-share market does not exist,or is not obvious.Second,from the perspective of interest rate marketization,the research on the impact of macro-prudential policy on the risk of commercial banks shows that:(1)the macro-prudential tools implemented and adopted in China at the present stage are effective.Through the counter-cyclical adjustment of this tool,It can not only reduce the pro-cyclicality of banks,but also help to smooth the credit cycle.(2)in the regulation and control of macro-prudential policy,the risk level of commercial banks with strong profitability is lower than that of other banks;Commercial banks with higher capital adequacy ratios can offset the impact of macro-prudential policies on risk-taking behavior.(3)in a good period of economy,using tightening policy tools and relaxing policy when the trend of economic development shows a downward trend can weaken the positive relationship between risk-taking and macroeconomic environment,which is beneficial to smooth the credit cycle.In addition,the pro-cyclicality of commercial bank credit expansion can also be significantly reduced.(4)in the process of actually promoting the market-oriented interest rate,the commercial banks will be able to cause systemic risk and will continue to increase the bank risk-taking;In the period of economic growth and stock market prosperity,if we forcibly implement the marketization of interest rates of commercial banks without signs and auxiliary tools,it will aggravate the risk-taking of commercial banks and make the risk management of commercial banks more difficult.It is easy to lead to systemic risk and operational risk;The larger the bank,the more it has the advantages of “price leader” and “too big to fail”.After the interest rate is marketized,the deposit and loan prices are imposed on the financial market environment according to their own characteristics.Under the “profit-seeking effect”,Large banks are increasingly inclined to take on more risk.Third,an empirical study on the synergy of the impact of double-pillar policy on the risk-taking of commercial banks shows that:(1)the implementation of macro-prudential policy weakens the impact of monetary policy on the risk-taking of commercial banks;Appropriate macro-prudential policy tools can reduce the risk to commercial banks in the context of loose monetary policy.(2)with the increase of the implementation intensity of macro-prudential policy,the risk-bearing response of commercial banks with smaller assets to the change of monetary policy position will be reduced more obviously.The strengthening of macro-prudential management will help to reduce the risk-taking sensitivity of banks with low core capital adequacy ratios to changes in monetary policy positions.(3)loose monetary policy makes commercial banks bear more risks,and macro-prudential policy tools significantly restrain commercial banks' risk-taking.The systemic risk brought about by the marketization of interest rate is inevitable,which aggravates the risk-taking of commercial banks;because of the insurance effect,commercial banks also bear more and more risks.However,in the framework effect of the double-pillar synergy,it shows that the double-pillar synergy can effectively reduce the risk-taking of commercial banks.The main innovations of this paper are as follows:First,for the first time,the impact of monetary policy and commercial bank risk-taking under the double-pillar framework is carried out in the “insurance effect”.“Insurance effect” is the transmission mechanism of risk-taking channel,which can be divided into deposit insurance system and government insurance expectation,which directly affects the risk of commercial banks.This paper analyzes its impact on the risk-taking of commercial banks under the double-pillar framework.Second,for the first time,from the perspective of interest rate marketization,this paper empirically analyzes the impact of China's macro-prudential policy on bank risk-taking.At present,one of the cores of China's financial reform is to promote the market-oriented development of interest rates,which helps to optimize the allocation of financial resources,enrich financial market products,and lay the foundation for the development of the real economy.However,in the process of actually promoting the market-oriented interest rate,it is very likely to cause systemic risk to the macro-economy,especially to the commercial banks.This paper analyzes how macro-prudential policy affects the risk-taking of commercial banks caused by interest rate marketization,and also analyzes the treatment of macro-prudential policy on the risk caused by interest rate marketization.Third,in exploring the synergy of the double-pillar policy on the risk-taking of commercial banks,(1)the system GMM method and PVAR method are used to analyze the relationship between the double-pillar policy and the risk-taking of commercial banks.Including how risk-taking affects monetary policy,the transmission effect of macro-prudential policy and the impact of double-pillar policy synergy on risk-taking of commercial banks.From the impulse response diagram and variance decomposition,this paper analyzes how the double-pillar policy works together on the risk-taking of commercial banks.(2)this paper attempts to analyze the risk-taking of commercial banks under the double-pillar framework in the economic scenario,and studies the choice of double-pillar strategies in different economic scenarios from a large number of empirical tests.It has played an important role in the policy formulation of our country.