货币政策和银行风险承担：一种非线性关系

宽松的货币政策会通过估值、收入和现金流机制，追逐收益机制以及中央银行沟通和反应机制等渠道增加银行风险承担，通过风险转移机制降低银行风险承担，从而导致货币政策与银行风险承担之间可能存在复杂的非线性关系。本文使用面板阈值模型，基于我国银行业数据研究了货币政策对银行风险承担的影响，发现我国货币政策对银行风险承担的影响存在门限效应，即货币政策对银行风险承担的影响取决于货币政策基准利率偏离泰勒规则利率的程度。当这种偏离小于门限值时，宽松货币政策会增加银行风险承担；当这种偏离大于门限值时，宽松货币政策会降低银行风险承担。本文研究对更好地理解我国货币政策对银行风险承担及金融稳定的影响有一定参考意义。

Monetary Policy and Bank Risk-taking: A Non-linear Relationship

In recent years, China's economy has been under considerable downward pressure due to the COVID-19 pandemic, the shift in economic growth pattern and an increasingly severe external environment. How to ensure financial stability while making good use of various monetary policy tools and guiding financial institutions to better meet the financing needs of the real economy is one of the priorities of our current financial work. Commercial banks occupy a dominant position in China's financial structure system. Preventing bank risks is related to the stability of the whole financial system. Therefore, it is of great significance to deeply study the monetary policy and bank risk-taking nexus.Chinese scholars have made many valuable researches on the risk-taking channels of monetary policy, and the conclusion is basically the same, that is, accommodative monetary policy increases the bank risk-taking. However, these studies mainly focus on the linear relationship between monetary policy and bank risk-taking, while the nonlinear relationship is not involved. At the same time, most studies do not distinguish between risk-taking channels and traditional credit channels in their empirical analysis, which will have a great impact on the identification of risk-taking channels. In addition, China's implementation of various policies to stimulate economic growth after the 2008 financial crisis has had an impact on banks' risk-taking, which is currently not studied in the Chinese literature.This paper firstly theoretically analyzes the mechanism of monetary policy affecting bank risk-taking, and finds that accommodative monetary policy will increase bank risk-taking through valuation, income and cash flow mechanism, search for yield mechanism, central bank communication and response mechanism, and reduce bank risk-taking through risk transfer mechanism. As a result, there may be a complex nonlinear relationship between monetary policy and bank risk-taking. On the basis of theoretical analysis, this paper uses the data of 166 commercial banks (including 5 large state-owned commercial banks, 12 joint-stock commercial banks, 99 urban commercial banks and 50 rural commercial banks) in the China Banking Database of Wuhan University and panel threshold model to make an empirical analysis of China's monetary policy risk-taking channels. In the empirical analysis, this paper uses Z-score and risk-weighted asset ratio as proxy variables of banks' risk-taking, and uses the spread between benchmark interest rate and Taylor rule interest rate as proxy variables and threshold variables of monetary policy stance. It not only empirically tests whether there is a nonlinear relationship between monetary policy and bank risk-taking, but also examines the channels of risk-taking during the special period after the 2008 financial crisis when China implemented various policies to stimulate economic growth.This paper finds that there is a threshold effect on the impact of monetary policy on the banks' risk-taking, that is, the impact of monetary policy on the banks' risk-taking depends on the extent to which the interest rate deviates from the Taylor rule interest rate (i.e., the Taylor gap). The critical value of Taylor gap estimated in this paper is-1.99, before and after the critical value, the impact of monetary policy on bank risk-taking will reverse. When the Taylor gap is-198.97 basis points or lower, a 1% cut in interest rate will decrease the Z-score by about 5.11 units, that is, the accommodative monetary policy will increase the banks' risk-taking. Conversely, when the Taylor gap is greater than-198.97 basis points, a 1% cut in interest rates will increase the Z-score by about 2.24 units, i.e. accommodative monetary policy would reduce banks' risk-taking. In addition, after the 2008 financial crisis (during 2008-2010), China implemented various policies to stimulate economic growth, which not only increased the banks' risk-taking, but also amplified the impact of monetary policy on the banks' risk-taking.The complex nonlinear effects of monetary policy on bank risk-taking mean that monetary policy also has complex nonlinear effects on financial stability. Although there is still controversy between economists and central banks on whether financial stability should be taken as one of the ultimate goals of monetary policy, the existence of bank risk-taking channels on the one hand requires central banks to pay attention to the response of monetary policy to financial stability while maintaining economic stability; on the other hand, it also requires the improvement of macro-prudential policy framework. We should establish a long-term mechanism for preventing and defusing financial risks. Because monetary policy has a complex non-linear impact on financial stability, and economic stability and financial stability have complex interactions, we must strengthen coordination and cooperation between monetary policy and macro-prudential policy, coordinate economic development and risk prevention, strive to stabilize the overall macroeconomic situation, and maintain the overall stability of the financial system.