The Impact Of "Monetary Policy And Macro Prudential Policy" Two Pillar Regulation On Bank Credit Risk

Ever since the outbreak of the global financial crisis in 2008,in order to promote the stable development of their economies,many countries have begun to pay extensive attention to macro-prudential policies.China incorporates macro-prudential policies into the policy scope for maintaining financial stability,and works with monetary policy to effectively prevent the occurrence of systemic financial risks and achieve the goal of maintaining financial stability.China has been studying policies and measures to strengthen macro-prudential management since 2009.In the report of the 19 th session of national congress of the communist party of China,it is especially proposed to establish a dual-pillar regulatory framework of “monetary policy and macro-prudential policy” to maintain the stability of the financial system.Macro-prudential policy is a counter-cyclical policy that can alleviate the impact of monetary policy on bank credit risk to a certain extent.Based on this,this article studies the impact of the dual-pillar regulatory framework of "monetary policy and macro-prudential policy" on bank credit risk.On the one hand,it helps to promote commercial banks' awareness of credit risk management,and enhance the soundness of their own operations;On the other hand,it is conducive to the management and policy formulation of bank credit risk by our government and regulatory authorities.This article studies and analyzes the relationship between monetary and macro-prudential policies and bank credit risk.First,by combing related classicliterature,it is found that the credit risk of commercial banks exhibits obvious procyclical characteristics.The implementation of loose price-based or quantity-based monetary policies in China will increase banks' risk exposure.The introduction of macro-prudential policies can be used as a buffer to mitigate the procyclicality of bank credit risks from the perspective of "time and space".China has distinguished the systematic importance of financial institutions in the macro-prudential management framework.It is generally believed that financial institutions with different system importance have different effects on systemic risk.Based on the above analysis,this article proposes three assumptions.The first is that loose monetary policy has a significant positive correlation effect on bank credit risk;Second,the introduction of macro-prudential policies will mitigate the positive correlation of loose monetary policy on bank credit risk;Third,the introduction of macro-prudential policies has different degrees of impact on systemically important banks and non-systemically important banks.Aiming at the hypotheses proposed,this paper selects the 2008-2018 quarterly unbalanced panel data of 25 listed commercial banks as the research sample,and considers the five major banks of Bank of China,Agricultural Bank of China,Industrial and Commercial Bank of China,China Construction Bank,and Bank of Communications as systemically important banks,and the remaining joint-stock commercial banks and city commercial banks are non-system Importance banks.Firstly,the non-performing loan ratio was selected as the bank's traditional credit business risk proxy variable.Secondly,considering that banks are gradually expanding off-balance-sheet credit business,in order to more accurately measure the bank's credit risk,this paper selects the generalized credit growth rate as another bank credit risk proxy variable,and select the central bank's benchmark interest rate and M2 growth rate as the price-based and quantity-based variables of monetary policy respectively;Differentiated reserve requirement ratios and ceilings on housing mortgage loans are used as proxy variables for macro-prudential policies.The regression test is performed by the ordinary least squares method.In order to ensure the stability of the model,a standard fixed-effect panel regression model is also used to perform the robustness test.Four conclusions are drawn through empirical test analysis: First,although China's price-based monetary policy and quantity-based monetary policy have different influence paths to bank credit risk,they both have a significant positive correlation with bank credit risk.Among them,price-based monetary policy has a greater impact on bank credit risk.Further analysis found that loose monetary policy has a greater impact on traditional credit risk than generalized credit risk,which indicates that China's bank credit risk mainly comes from traditional credit business;Second,the implementation of macro-prudential policies can effectively reduce bank credit risks.Among them,controlling the ceiling of housing mortgage loans is more effective in reducing bank credit risks than adjusting the reserve requirement ratio;Third,based on the dual-pillar regulatory framework of China 's “monetary policy and macro-prudential policy”,the use of different macro-prudential tools will have different effects on the traditional credit risk and generalized credit risk of systemically important banks and non-systemically important banks;Fourth,the characteristic variables of banks have an impact on bank credit risk.The size and liquidity of bank have a greater impact on banks 'traditional credit risk,and equity-liability ratios and capital adequacy ratios have a more significant impact on banks' generalized credit risk.Four suggestions are proposed in this regard: First,promote the transformation of bank credit business,reduce traditional credit business,increase off-balance-sheet wealth management and other types of credit business to reduce bank credit risk exposure.Second,the macro-prudential policy tools should be made more diversified,which can more effectively deal with the economic fluctuations caused by different types of monetary policies for different types of banks;Third,the formulation of monetary policy and macro-prudential policy should be more precise.In the face of different economic goals and economic conditions,different monetary policies and macro-prudential policies should be implemented to ensure that the regulatory role is played accurately and efficiently;Fourth,the rational use of monetary policy and macro-prudential policies,combined with micro-prudential supervision policies,play a synergistic role between policies to better reduce bank credit risk exposure.Fifth,through effective financial supervision and implementation of financial policies,at the same time reduce bank credit risk exposure and systemic financial risks.In the end,the awareness of corporate,public and bank credit risk control will continue to increase,and on the basis of reasonable credit and secure credit,China's economy will continue to flourish.