Research On The Effect Of Macroprudential Policy On The Commercial Bank Risk-Taking Channel Of Monetary Policy

The outbreak of the financial crisis in 2008 made academia and financial supervisory authorities begin to re-examine the monetary policy regulatory framework and the role of micro-prudential supervision.They began to realize that banks are not neutral financial institutions,and that monetary policy will affect the stability of the financial system by changing bank risk-taking.In addition,scholars have also noticed that micro-prudential supervision can only ensure the stability of a single economic entity,and is not suitable for preventing systemic risks.Therefore,macro-prudential supervision has begun to receive widespread attention.Since then,China has begun to explore the establishment of macro-prudential frameworks.But under the background of loose interest rate environment in China,are there also bank risk-taking channel? Can macroprudential policy influence this channel to maintain financial stability? Studying these issues is of great significance for analyzing the effectiveness of macro-prudential policies and improving the "dualpillar" framework in China.First,the paper combs the domestic and foreign literatures about macroprudential policies,the relationship between the monetary policies and macroprudential policies,and bank risk-taking channels.On the basis,the research content of the paper are determined.Secondly,the paper clarifies the relevant theoretical basis,including the mechanisms by which monetary policy affects banks’ risk-taking channel,the financial vulnerability theory,and the theoretical model of macro-prudential policy affecting monetary policy risk-taking channels,namely the extended D-L-M model.In terms of empirical analysis,the paper uses the panel data of 14 banks in China from 2010 to 2019 to establish a systematic GMM estimation model.Model 1 uses the Z value as the explained variable,and selects the one-year loan benchmark interest rate,SHIBOR and M2 growth rate as the core explanatory variables,and uses the bank scale,asset return rate,capital adequacy ratio and the proportion of off-balance sheet business ratio as a proxy variable of the micro-characteristics of banks,to test whether the bank risk-taking channels in China exist;Model 2 builds a macro-prudential policy index on the basis of Model 1,and introduces the intersection of macro-prudential policy and monetary policy to explore whether macro-prudential policy will influence the channel.The empirical results show that:(1)The bank risk-taking behavior is continuous,and the bank’s risk-taking behavior in the next period will be affected by the previous period.(2)There exists bank risk-taking channel in China,and the low interest rate monetary policy will encourage banks to increase their risk-taking level and the demand for risky assets.(3)The risk-taking behavior of banks will be affected by their own micro-characteristics.The higher the capital adequacy ratio,the higher the return on assets,and the higher the proportion of off-balance sheet business,the lower the risk-taking level of banks.(4)When the expansionary monetary policy gives banks an incentive to increase risk taking,the tight macroprudential policy can effectively curb such adverse effects,which also confirms the significance of the “dual-pillar” regulatory framework.Finally,based on the empirical conclusions,the paper puts forward some policy suggestions for the improvement of China’s "two-pillar" regulatory framework.The possible innovations of the paper are:(1)In terms of research content,most of the existing literature focuses on macro-prudential policies and the relationship between the two policies from a theoretical perspective,lacking empirical support.However,the paper uses the micro-data of banks in China to empirically analyze that how the macro-prudential policies exert effect on monetary policy bank risk-taking channel from the perspective of bank risk-taking,which is more in line with the background of "dual-pillar" regulatory framework in China.(2)In terms of theoretical model,the traditional D-L-M model is used to demonstrate how monetary policy affect bank risk-taking,However,this paper adds the factor of macro-prudential policy to expand into a theoretical model that can explain how macro-prudential policy affects this channel.(3)In terms of research methods,the existing results are mainly to construct the DSGE model to discuss macro-prudential policies,and the existing research mainly focuses on exploring the impact of one or several macro-prudential tools on the real estate market,bank credit,etc.This paper innovatively constructs an overall macro-prudential policy index based on a dynamic panel GMM estimation model,and introduces the intersection of macroprudential policy and monetary policy to explore whether macro-prudential policy will affect banks’ risk-taking behavior.There are still some deficiencies in the paper:(1)The data used in the empirical analysis is processed on the basis of aggregating the economic database and the annual report data of bank,which is not the most original data,so it may affect the empirical effect.(2)When selecting the proxy variable of bank risk-taking,scholars at home and abroad agree that the best index is the expected default rate frequency of commercial banks.However,since the commercial banks have not disclosed this data in China,the paper does not choose this variable as the bank risk-taking proxy variables.Z-value and non-performing loan ratio are selected in this paper,which can also effectively measure the bank’s risk-taking level.