Research On Risk-taking Channel Of Monetary Policy

With the global financial crisis broke out in2007and its spread, academic and political world began to switch their focuses to discussing and exploring the root of the crisis, as well as its impact. Some scholars attribute the causes to the overly loose monetary policy stance adopted by the Federal Reserve, resulting in excessive risk-taking of the banking system, what’s worse, leading to the imbalance of the financial system. That is, monetary policy stance will have an influence on the stability of the financial system, by means of impacting the risk-taking of bank. The conclusion has also been confirmed by more and more research results, and there are broader and broader consensuses among academic and political world. Meanwhile, in view of the close relevance of the monetary policy stance and the risk-taking of bank, a novel and unique transmission channel——risk-taking channel of monetary policy was found. In2008, Borio and Zhu first time clearly defined it as "the impact of changes in policy rates on either risk perceptions or risk-tolerance and hence on the degree of risk in the portfolios, on the pricing of assets, and on the price and non-price terms of the extension of funding". The finding of risk-taking channel of monetary policy, trigger a broader discussion and a further exploration in academic and political world.Since China adopted the reform and opening-up policy, monetary policy has played a more and more notable role in the macroeconomic regulation and control. Although benefited from stricter financial regulation, as well as lower degree of financial opening-up, there is a slighter and smaller impact on China. However, the introspection and review of the monetary policy root of the global financial crisis, has a great significance, which also reflects the research significance of this thesis. Along with China’s key period of economic transition, and rapid progress of financial market reform, discussion and exploration on whether the risk-taking channel of monetary policy is existed, at the same time, its effect whether and how to be subjected to bank capital, is undoubtedly of important theoretical and practical significance, to the stable development of macroeconomic environment, as well as the steady operation of micro-financial institution.Based on concerned macroeconomic data and micro-financial data of78commercial banks during the periods of2007—2011, which are divided into two samples on the basis of "whether listed or not", using the Difference GMM method, this thesis verifies the existence of the risk-taking channel of monetary policy in China, and its effect whether and how to be subjected to bank capital.According to the empirical results, we can see that,(1) Risk-taking channel of monetary policy is indeed existed in China, and there is a negative correlation relationship between monetary policy stance, and risk-taking desire as well as level of bank;(2) In China, the effect of risk-taking channel of monetary policy, is subjected to macroeconomic environment, and micro-characteristic variables of bank, market structure of banking industry as well;(3) Bank capital has a prominent impact on risk-taking channel of monetary policy and its transmission effect in China, what’s more, the impact present an opposite tendency between listed banks and non-listed banks.