Research On Bank Risk-taking Channel Of Monetary Policy In China

The outbreak of the US subprime mortgage crisis in 2008 made scholars realize that commercial banks are no longer risk-neutral.The risk preference of financial intermediaries such as banks continues to increase with the long-term easing of monetary policy.The large-scale default of the bottom assets has evolved into a systematic financial crisis.Under the market environment where financial supervision is tightening and interest rates are gradually “consolidated”,the independent pricing and risk management capabilities of commercial banks in China will be tested.The study of bank risk-taking channels incorporates the risk preferrence of financial intermediation,which is of great significance for policy formulation and financial risk prevention.This paper first sorts out related literatures at home and abroad,uses theoretical analysis methods to explain the transmission channels of monetary policy,and describes the specific mechanism of bank risk transmission channels,and determines the macro and micro control variables.This paper selects the operating data of 16 major listed commercial banks in China in 2008-2017.The two variables of non-performing loan ratio and provision coverage ratio are selected to represent the bank's risk-taking.At the same time,two quantitative tools and two price-based tools are selected as the proxy variables of monetary policy.The differential GMM method is used to study the applicability and specific characteristics of bank risk-taking channels in China's banking industry.The results show that(1)China does have a risk-taking channel for monetary policy.In the period of loose liquidity policy,the bank's non-performing loan ratio climbs,which means that the bank's risk-taking will rise.(2)The bank risk-taking channel for China's monetary policy is heterogeneous.Bank characteristics and macroeconomic factors will affect its effectiveness.(3)Large banks with higher capital adequacy are more inclined to operate conservatively,and their risk perference is less sensitive to monetary policy adjustments.(4)China's monetary policy risk-taking channels are asymmetric.Compared with the restrainingeffect of tight monetary policy,loose monetary policy can stimulate the risk-taking of commercial banks.This study proposes some recommendations based on the conclusions : First,consider the influence of the irrational factors of financial intermediation on the transmission effect in the process of monetary policy formulation and implementation;second,improve the dual-pillar regulation framework of China's monetary policy and macroprudential policy.Third,pay attention to the coordination of monetary policy and micro-prudential policy;Fourth,complete the “last mile” of interest rate marketization as soon as possible,and realize the transition from quantitative to price-based monetary policy control tools.