Research On The Impact Of Monetary Policy On Bank Risk Exposure And Total Factor Productivity

When the global financial crisis burst out in 2007,Scholars began to study the risk of financial institutions.In recent years,macro-prudential supervision policy become the key of innovative research.After the "Basel III" Leverage Ratio has become a new regulatory tool like mobility provision rate and Capital Adequacy Ratio.This article mainly uses the panel threshold model.Using the China Commercial bank data in recent ten years.We find the relationship of Capital adequacy ratio and leverage ratio and the central bank monetary policy represented by the legal deposit reserve rate.In order to have a more comprehensive understanding of bank risk.And using the transition point to find out the difference between China's banking regulation and international regulation.Putting forward new recommendations of financial supervision policy.The capital adequacy ratio and the leverage ratio have the promoting effect on the bank efficiency.There is a threshold effect and there are two threshold values.The relationship between supervision index and bank efficiency is nonlinear.And the study found that with the increase of capital adequacy and leverage ratio,the relationship between macro monetary policy and bank risk is relatively weak.Therefore,it has practical significance to refer to the threshold value as the reference value of the actual government regulation.Separating the joint-stock banks from the sample banks and comparing with the original samples,it is found that the gap between the two threshold values is greater.May be because the regulatory standards for large banks are more stringent,the volatility of regulatory variables smaller,and smaller banks are relatively relaxed regulatory standards,regulatory variables fluctuate greatly.Secondly,This paper will estimate the Total Factor Productivity of commercial banks based on the DEA method.Then use the explanatory variables(Total Factor Productivity of sample bank)to study the threshold effect of the regulatory variables(capital adequacy ratio and leverage ratio).Put forward the Suggestions for macro Prudential policy.In this paper,we find that the average efficiency of joint-stock banks is significantly higher than that of large state-owned banks.The possible reason is the vigorous development and more commercial staff system of the joint-stock banks in recent years.Because of the larger volume of the state-owned banks,it is difficult to change the system,while the joint-stock banks can flexibly change their own system.The capital adequacy ratio and leverage ratio have the function of promoting the efficiency of banks,and there is a threshold effect,that is,the relationship between the regulatory index and the efficiency of the bank is nonlinear,This means that the prudent policy making the cost of bank's asset allocation risk beyond the bear the potential benefits and improve the prudent supervision indicators is not conducive to the promotion of bank efficiency and it will cause the loss of bank efficiency extremely.