Empirical Study On Bank Risk-taking Transmission Channel Of Monetary Policy And Its Heterogeneity

During the financial crisis in 2008,monetary authorities in many countries boosted the economy through loose monetary policy.The policy measures such as the reduction of interest rates catalyzed the production of asset price bubbles and stimulated the credit risk of asset securities products while restoring economic development.Excessive leverage led to a high degree risk of the financial institution,which made many scholars thought Long-term loose monetary policy was one of the most important reasons for the outbreak of this financial crisis.From then on,the relevant government departments and monetary research scholars began to focus on the impact of monetary policy and pay attention to the research of monetary policy on the impact of bank risk.This paper examines the impact of monetary policy on the bank risk and the impact of bank size and capital regulation on the bank risk-taking transmission channel of monetary policy,and further confirms the existence and heterogeneity of the channel in China.It is meaningful for the long-term stability of the financial system.Firstly we review of the bank risk-taking variables,the bank risk-taking channel of monetary policy and the influence factors of the bank risk-taking channel.We use the annual balance panel data of 43 commercial banks in China during the period of2007 to 2014,and select the assets risk of commercial banks and the debt risk of commercial banks as the proxy variable of bank risk-taking to establish the benchmark model.We also use GMM first-order differential dynamic panel estimation method proposed by Arllano and Bond(1991)to examine the impact of monetary policy on bank risk and to further examine whether the conduction channel is changed due to the heterogeneity of the banks.Finally,we put forward some political suggestions to the relevant government departments and banks about the coordination between macro-prudential management and monetary policy and about the bank risk prevention.The main conclusions of this paper are as follows:(1)Monetary policy has a significant impact on bank risk.Loose monetary policy(low interest rate or high money supply)will increase the proportion of weighted risk assets and the proportion of non-deposit liabilities.In order to further verify whether the empirical results are robust,we finally use non-performing loan ratio as the proxy variable of bank risk and we find that the results are still significant.(2)While the size of banks is larger,the asset risk-taking in banks is lower and the debt risk-taking is higher.While the capital adequacy ratio and the liquidity is higher,the asset risk-taking and the debt risk-taking in banks is lower.The profitability of the commercial banks has a significant negative impact on the asset risk and has a positive impact on the liability risk but the result is not significant.The proportion of non-interest income has negative impact on asset risk but the result is not significant,while it has a significant positive impact on debt risk.The cost income ratio has little effect on the risk-taking.From the aspect of macroeconomic variables,GDP growth rate and capital adequacy ratio has a significant negative impact on the bank risk-taking.(3)The impact of monetary policy on bank risk-taking will change due to the changes of capital adequacy ratio and bank size.And on the whole,capital adequacy ratio and bank size have a negative impact on the risk-taking channel of monetary policy.