The Impact Of Quantitative Monetary Policy On Risk Taking Of Commercial Banks In China

The transmission mechanism of monetary policy has always been the focus of many scholars,but more attention has been paid to the traditional monetary policy transmission mechanism and its influenced factors,ignoring the role of bank risk-taking in the process of monetary policy transmission.Until the outbreak of the financial crisis in 2008,the bank risk-taking channel of monetary policy was officially proposed.The risk factors that were not valued before became a hot topic for scholars.Because of the short transmission channel and more initiative in implementing quantitative monetary policy,the People's Bank of China is more inclined to use quantitative monetary policy such as statutory deposit reserve ratio.Starting from a new perspective,this paper takes the regional transformation as an entry point and studies the impact of China's quantitative monetary policy on the risk-taking of commercial banks.Firstly,this paper systematically studies the transmission mechanism of quantitative monetary policy on bank risk-taking in combination with the theory of bank risk-bearing channel,and summarizes the four transmission effects.Then it analyzes the situation of China's commercial banks' risk-taking,and analyzes whether the quantitative monetary policy has a regional conversion effect on bank risks.The conclusion is that there is a possibility of regional transformation.Then it introduces the model of panel smooth transition regression(PSTR),which is applicable to the empirical regional transformation effect.Its collects the quarterly data of 14 listed commercial banks in China from 2007 to 2018,and finally selects the proportion of risk-weighted assets as the proxy variable of bank risk-taking,the growth rate of money supply M2 is used as transmission variable,GDP growth rate and capital adequacy rate as the explanatory variable,the panel smooth transmission regression(PSTR)model is used to empirically study the regional transformation relationship between the quantitative monetary policy and different scale banks,the statutory deposit reserve ratio is used as a proxy variable for quantitative monetary policy for robustness testing.The results show that:(1)The impact of China's quantitative monetary policy on the risk-taking of commercial banks has the effect of regional transformation,and the risk-taking of bank risk changes with the transformation variable M2 between the two regions.The loose quantitative monetary policy stimulates banks to take on higher risks,and affected by the size of banks,and there are differences in the transformation effects of banks of different sizes.(2)The effect of regional transformation of bank risk-taking is affected by macro-environment.The GDP growth rate marginal effects of the three types of banks of state-controlled banks,joint-stock commercial banks and city commercial banks are always positive.,and gradually increases with the increase of M2 growth rate.(3)The effect of the regional system transformation of bank risk-taking is affected by the bank's capital level.The marginal effect of capital has always been positive.The marginal effects of banks with different scales are different.The capital marginal effect of state-controlled banks and city commercial banks increases with the increase of M2 growth rate,while the capital marginal effect of joint-stock commercial banks decreases with the increase of M2 growth rate.Finally,according to the empirical conclusions,the paper puts forward corresponding policy recommendations from macro-prudential supervision,risk early warning,credit delivery and risk identification.