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利率市场化进程的深入可能会对我国货币政策传导、金融稳定等产生不可忽视的影响。基于此,本文研究了利率市场化对货币政策风险承担渠道的影响。结果表明:(1)我国存在货币政策风险承担渠道,且从利率市场化间接度量的维度来看,在考虑以直接效应来衡量的贷款利率市场化之后,银行的实际风险承担水平上升;但是在考虑以价格约束效应来衡量的存款利率市场化之后,其效果并不明显。(2)从利率市场化直接度量的方法来看,直接引入虚拟变量的研究发现贷款利率市场化会使得货币政策对银行风险承担水平的影响变得明显;进一步从利率市场化综合度量的维度,引入整体的利率市场化指数的方法则发现,随着利率市场化进程的深入,银行的实际风险承担水平会上升。(3)利率市场化对货币政策风险承担渠道的影响在不同类型银行间存在差异。 相似文献
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2008年金融危机以来,银行系统性风险得到越来越多的重视和关注,出现了大量的相关研究文献。本文在梳理近期国外相关文献基础上,对系统性风险定义、度量方法、传染机制、风险预警、风险监管等方面的新研究进展进行了较为系统的文献回顾与评述,对未来该领域的研究方向进行展望,并就加强中国银行系统性风险研究提出了建议。 相似文献
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RONALD I. McKINNON 《Contemporary economic policy》1990,8(2):1-17
How does the choice of an exchange rate regime influence the volatility of interest rates? Are floating exchange rates useful “shock absorbers” that dampen fluctuations in domestic interest rates and prices or do they create additional risk that increases interest rate volatility and segments the international capital market? The answers are best seen in historical perspective. 相似文献
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伍聪 《经济理论与经济管理》2012,31(9):55
本文回顾和梳理了国外文献对负利率问题研究的演进过程及新进展,主要包括负利率与经济增长关系,负利率与资产价格关系,“零利率下限”和“负名义利率”。作者对现有研究进行了综合评价,并指出了下一步研究可能的方向。 相似文献
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本文基于2007—2018年30家上市商业银行季度面板数据,首次针对不同方面的银行风险,采用固定效应模型详细探讨经济政策不确定性、银行集中度与银行风险之间的关系。研究结果表明:(1)经济政策不确定性会加剧银行经营风险和信用风险,但会降低银行风险承担;(2)银行集中度的上升会导致银行经营风险和信用风险上升,但对银行风险承担的作用不显著;(3)集中度在经济政策不确定性对银行风险的影响中具有调节效应,随着银行集中度上升,经济政策不确定性会更加剧银行经营风险和信用风险,且会进一步减弱银行风险承担。本文采用不同的银行集中度变量并涵盖多种银行风险衡量指标的实证结果均稳健。进而笔者基于实证结果,在银行风险防控方面对政策制定者及监管部门提出一些建议。 相似文献
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人民币汇率弹性的增大对利率稳定性的影响 总被引:3,自引:0,他引:3
汇率改革前后,汇率与利率之间的动态关系发生了系统性的改变。在均值意义上讲,人民币汇率弹性的增大降低了利率波动的幅度,利率对汇率的反馈机制有了一定的加强。实证检验证明,汇率改革后人民币汇率弹性的增大能稳定利率波动的假设只在长期内存在,而短期内人民币弹性的增大实际上加剧了利率的波动。 相似文献
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KISEOK HONG 《International economic journal》2013,27(2):105-127
This paper investigates the relationship between consumption of a durable good and the interest rate. According to the standard Permanent Income Hypothesis (PIH), a rise in the interest rate is expected to decrease durables consumption, and the magnitude of the interest rate effect should meet certain restrictions. This implication of the PIH is tested using US data. Empirical results of this paper indicate that, although durables consumption is negatively correlated with the interest rate, the magnitude of the estimated effect is substantially smaller than requested by the standard theory. This suggests that the influence of monetary policy on durables expenditure may not be as large as previous authors claim. In attempts to explain the small effects of the interest rate, frictions such as adjustment costs and liquidity constraints are examined. [E21] 相似文献
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虽然商业银行有着增加贷款的积极性,但他们却发现,企业对贷款的需求意愿减弱了。这无疑向我们传达出了这样的信息,中国的企业家对未来的“悲观情绪”开始滋生,投资意愿正在逐渐减弱。 相似文献
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Abstract. We characterize the relationship between ex post exchange rate depreciation and the interest differential for both developed and emerging market economies. The measured ex post uncovered interest differentials in terms of both levels and absolute values are then related to a set of variables that capture macroeconomic and policy conditions. We find that a wide diversity in the coefficient relating depreciations and interest differentials can be attributed to differences in inflation volatility, financial development, capital account openness, legal development and the nature of the exchange rate regimes. The robust results are mainly found in the emerging market country grouping. 相似文献
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This paper empirically investigates the effects of the Bank of Japan's (BOJ) zero interest rate commitment and quantitative monetary easing on the yield curve. Applying a macro‐finance approach, we decompose interest rates into expectations and risk premium components and extract the market's perception of the BOJ's policy stance. We make clear the counterfactual policy without the BOJ's commitment. We find some evidence that the commitment lowered interest rates and mat raising the reserve target may have been perceived as a signal indicating the BOJ's accommodative policy stance. The portfolio rebalancing effect has not been found to be significant. 相似文献
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本文研究了银行信贷集中问题的成因,讨论了利率市场化背景下小微企业融资问题难的解决思路。本文首先以行为前景理论和心理账户理论为基础,考察授信者行为因素对银行授信决策的影响,以探讨小微企业融资困境形成和银行信贷集中问题产生的机制。然后本文讨论了分析信贷集中和小微企业融资问题所依赖的假设和变量,从收益和风险两个方面对商业银行信贷决策做出了研究。研究发现利率市场化改革可以有效缓解小微企业融资难和信贷资金集中于大中型企业的问题。 相似文献
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What determines the behavior of interest rates in Latin America? Is the recent sharp reduction in rates in the region just a transitory deviation from much higher long‐term rates? To answer these questions, this study raises two main hypotheses. First, external debt plays a central role in the sustainable behavior of domestic interest rates because it explains country risk. Second, country risk provides valuable information for predicting the behavior of exchange rate risk and not the other way around. Econometric tests confirm these hypotheses and lead to an important conclusion: unless important reforms (leading, for example, to improved tax‐collecting capacity or deeper local financial markets) are undertaken, highly indebted/high country‐risk economies will tend to be associated with high domestic interest rates. (JEL E43, G15, 016, 054, C22) 相似文献