摘要
本文基于我国114家商业银行2007-2023年的季度数据,分析不同市场竞争环境下宏观审慎政策对银行风险承担的差异化影响。结果表明,宏观审慎政策对银行风险承担的影响依赖于市场竞争强度,在激烈的市场竞争环境下实施宏观审慎政策会加剧银行风险承担,且不同类型的宏观审慎政策工具对银行风险承担的影响具有异质性。货币政策的实施也会影响宏观审慎政策对银行风险承担的影响:在激烈的市场竞争环境中,实施紧缩型货币政策可削弱宏观审慎政策带来的风险激励效应。
After the outbreak of the 2008 financial crisis,the People’s Bank of China began exploring the establishment of macroprudential policy framework,and introduced a dynamic adjustment mechanism for differential reserve requirements in 2011,which laid the foundation for the macroprudential policy.This mechanism was subsequently upgraded to the Macro Prudential Assessment(MPA)in 2016,officially establishing China’s macroprudential policy framework.Many studies have shown that macroprudential policy significantly affects bank credit,performance,and risk-taking.However,these studies often overlook the role of market competition.The market competition environment directly affects the operational strategy and profitability of banks,thereby affecting their risk-taking.Therefore,it is essential to examine the micro-stabilizing function of macroprudential policy in conjunction with the market competition environment.Based on quarterly data from 114 Chinese commercial banks from 2007 to 2023,this paper analyzes the differentiated impact of macroprudential policy on bank risk-taking under different market competition environment.Results show that the impact of macroprudential policy on bank risk-taking depends on the intensity of market competition.The implementation of macroprudential policy in a fiercely competitive market environment would increase bank risk-taking,and the types of macroprudential policy tools have heterogeneous effects on bank risk-taking.The implementation of monetary policy can also affect the impact of macroprudential policy on bank risk-taking:In an environment of fierce market competition,the implementation of tight monetary policy can weaken the risk incentive effect brought by macroprudential policy.The marginal contributions of this paper are as follows:Firstly,while existing literature has paid limited attention to the role of market competition in evaluating the effectiveness of macroprudential policy,this study expands the research perspective.Secondly,this paper reveals the nonlinear transformation characteristics of the effectiveness of macroprudential policy.The impact of macroprudential policy on bank risk-taking is not monotonically increasing or decreasing,but depends on the intensity of market competition.Thirdly,this study examines the differentiated effects of various macroprudential policy tools,which provides regulatory authorities with deeper insights into the transmission mechanisms of policy tools and helps them implement targeted regulation in different intensity of market competition.Fourthly,this research explores the synergistic effect of monetary and macroprudential policy in an intensely competitive market environment,offering empirical evidence for improving the market competition environment and refining the dual-pillar regulatory framework.
作者
黄敏
蒋海
HUANG Min;JIANG Hai
出处
《现代金融研究》
北大核心
2025年第10期16-28,71,共14页
Journal of modern finance
基金
国家社会科学基金项目(21CJY006)的资助。
关键词
宏观审慎政策
市场竞争
商业银行
风险承担
货币政策
macroprudential policy
market competition
commercial bank
risk-taking
monetary policy
