宏观审慎政策、经济周期与银行风险承担*

本文基于中国227家商业银行2005－2016年非平衡面板数据，实证检验中国宏观审慎政策实施对于银行风险承担的影响。结果表明：宏观审慎政策增强会在一定程度上抑制银行风险承担，而且这种显著的负向关系并不随着银行风险代理变量、经营辐射范围以及是否有外资入股等条件的改变而发生变化。经济周期会对宏观审慎政策的有效性产生非对称性影响，即相比在经济上行时期，在经济下行时期的宏观审慎政策对银行风险承担的抑制作用更强且更为显著。就可能的影响机制而言，本文发现宏观审慎政策通过提高银行盈利能力，从而降低银行风险承担。  

MACRO PRUDENTIAL POLICY,BUSINESS CYCLE AND BANK RISK TAKING#br#

This paper empirically studies the effects of macro prudential policy on commercial bank risk taking based on the unbalanced panel data of 227 Chinese commercial banks from the year 2005 to 2016. The results show that an intensification of macro prudential policy materially reduces bank risk. Moreover, this significant negative relationship does not change with the changes of banks risk taking measures, business scope, and cross border acquisition. The business cycle has an asymmetric impact on the effectiveness of macro prudential policyThat is, macro prudential policy has a stronger and more pronounced inhibitory effect on bank risk taking during economic downturn. With respect to the mechanism, we find that macro prudential policy increases bank profits that reduce bank risk taking.