| After the 2008 global financial crisis revealed the limitations of the traditional single-pillar framework for monetary policy,policymakers began to focus on macroprudential policy.The report to the 19 th CPC National Congress proposed to improve the "two-pillar" regulatory framework of monetary policy and macroprudential policy,making it the political and strategic focus of China’s financial market security.Commercial banks play an important role in the financial market of our country,and listed banks as one of the "excellent representatives" of the risk bearing level has a bearing on the stability of the macro-financial system.Therefore,it is of great significance to study the risk assumption of Chinese listed banks under the framework of "dual pillar" regulation.The structure of the paper is as follows: First,the paper combs the relevant literature at home and abroad,and determines the research content of the paper on this basis;Secondly,summarize the relevant research basis.It includes the theoretical mechanism of monetary policy affecting banks’ risk bearing channels,the effectiveness of macroprudential policy and the extended DLM model.In terms of empirical analysis,based on the data of 38 listed commercial banks from 2011 to 2020,this paper tests the existence of China’s monetary policy risk bearing channels by using fixed effect stepby regression,and constructs macro-prudential policy general index and sub-index according to the use of Chinese macro-prudential policy.The systematic GMM method is used to study the influence of different types of macroprudential policy on the monetary policy risk bearing channels.Then,sub-sample regression tests the impact of macro-and micro-level heterogeneity on the "two-pillar" policy coordination effect.Finally,the paper summarizes the conclusions and puts forward relevant policy recommendations.The results show that: first,there is a risk bearing channel of monetary policy banks in China,and the level of risk bearing of banks is continuous.Loose quantitative and price monetary policy will increase banks’ risk taking.Second,tight macroprudential policy can restrain the excessive rise of bank risk taking under loose monetary policy.Different types of macro-prudential policy tools and monetary policy have different coordination effects.Thirdly,in terms of the heterogeneity analysis at the macro level,the "two-pillar" policy coordination effect in the low macroeconomic uncertainty group is more obvious.Fourth,in terms of bank heterogeneity analysis,broad-based tools have a good effect on reducing bank risk taking.Household sector credit tools and structural tools have a greater impact on state-owned commercial banks,while liquidity tools have a greater impact on non-state-owned commercial banks.This paper has realized the following innovations:(1)At present,most literatures use the DSGE theoretical model to study the coordination and cooperation of "twopillar" policy,but there is a lack of research on its impact on bank risk taking.Through empirical analysis and improved DLM model,this paper studies the influence of macroprudential policy on the risk taking channels of monetary policy banks,which enricfies the existing researches.(2)Few scholars pay attention to the impact of heterogeneity at the macro level on the coordination effect of "two pillars".This paper analyzes the indirect impact of macroeconomic uncertainty on bank risk taking.(3)Most scholars only use a single macro-prudential policy tool as the proxy variable of macro-prudential policy.This paper constructs the overall index and sub-index of macro-prudential policy to measure the effectiveness of macro-prudential policy more comprehensively and accurately. |
