摘要
压力测试作为一种重要的宏观审慎政策工具,日益成为金融监管讨论的重要议题,然而目前仍不清楚压力测试是否达到了增强我国金融稳定的目的.本研究以2012年-2019年参与央行压力测试的银行为研究样本,基于《中国金融稳定报告》披露的压力测试结果,构建银行“压力测试敞口”指标,实证考察上述宏观审慎政策对参试银行风险承担的影响及作用渠道.结果表明:“压力测试敞口”的上升促使参试银行承担更少的风险,表现为降低其被动风险承担水平而非主动风险承担意愿,并且上述效应在国有(大规模)银行中更加显著.随着压力程度增加,参试银行减少了传统信贷资产风险敞口,同时增加了影子银行业务敞口.风险资产组合的调整在不同类型的银行中存在差异,随着“压力测试敞口”的增加,非国有(中小规模)银行显著调低了高风险行业贷款,但通过增加影子银行资产以规避监管,而国有(大规模)银行则倾向于主动减少影子银行业务.本研究有助于加深对监管行动和宏观审慎政策有效性的理解,对于政策层完善和调控监管规则具有重要价值.
As an important macroprudential policy tool,stress tests have increasingly become an important top-ic in the discussion of financial regulation.However,it is still unclear whether stress tests have achieved the purpose of enhancing China's financial stability.This paper uses banks that participated in the central bank's stress tests from 2012 to 2019 as the research sample,constructs the"stress tests exposure"indicator for these banks based on the stress tests results disclosed in the China Financial Stability Report,and empirically exam-ines the effect of the above macroprudential policy on the risk-taking of the participating banks and the possible underlying channels.The results show that an increase in"stress tests exposure"induces the participating banks to take less risk,in the form of a lower level of passive risk-taking rather than active risk-taking.This effect is more significant among state-owned(large)banks.As the stress level increases,the participating banks reduce their exposure to traditional credit assets and increase their exposure to shadow banking assets.The adjustment of risky asset portfolios varies across bank types.As"stress tests exposure"increases,non-state-owned(small and medium-sized)banks significantly reduce loans to high-risk industries but increase shadow banking assets to avoid supervision,while state-owned(large)banks tend to actively reduce their shadow banking activities.This study helps to deepen the understanding of the effectiveness of regulatory ac-tions and macroprudential policies,and is of great value for policy makers in improving and regulating regula-tory rules.
作者
夏文珂
刘冲
刘莉亚
XIA Wen-ke;LIU Chong;LIU Li-ya(School of Finance,Shanghai University of Finance and Economics,Shanghai 200433,China;Shanghai Institute of International Finance and Economics,Shanghai 200433,China)
出处
《管理科学学报》
北大核心
2025年第7期173-190,共18页
Journal of Management Sciences in China
基金
国家社会科学基金资助重大专项项目(24ZDA035)。
关键词
压力测试
风险承担
信贷配置
影子银行
stress tests
risk-taking
credit allocation
shadow banking
