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货币政策、银行资本与风险承担
引用本文:江曙霞,陈玉婵.货币政策、银行资本与风险承担[J].金融研究,2012(4):1-16.
作者姓名:江曙霞  陈玉婵
作者单位:厦门大学经济学院
摘    要:考虑存款准备金率作为我国货币政策的重要工具,本文在D-L-M模型中引入了法定存款准备金,分析了货币政策对银行风险承担的影响,发现货币政策对银行风险承担的影响取决于银行资本状况。接着利用我国14家上市银行的季度数据,采用门限面板回归模型实证分析了货币政策对银行风险承担的影响。实证结果表明紧缩的货币政策对银行风险承担

关 键 词:货币政策  银行资本  风险承担

Monetary Policy,Bank Capital and Risk-Taking
JIANG Shuxia,CHEN Yuchan.Monetary Policy,Bank Capital and Risk-Taking[J].Journal of Financial Research,2012(4):1-16.
Authors:JIANG Shuxia  CHEN Yuchan
Institution:JIANG Shuxia CHEN Yuchan
Abstract:Given reserve requirements on deposit is an important instrument of monetary policy in China,this paper modifies the D-L-M model by introducing reserve requirements.We analyze how monetary policy influences bank risk-taking,and find that the effect of monetary policy on bank risk-taking depends on the degree of capitalization.With the quarterly data of 14 listed banks in China as a sample,this paper uses Threshold Panel Regression Model to analyze the effect of monetary policy on bank risk-taking.The empirical results show that tight monetary polices discourage bank risk-taking,and the impact of monetary policy on bank risk-taking depends on the bank capital condition.
Keywords:Monetary Policy  Bank Capital  Risk-taking
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