中国银行业业绩高增长背后的风险因素分析

本文首先用一个简单的垄断竞争模型分析了各种因素对银行业绩的影响,然后用面板回归分析模型对具有代表性的14家银行进行了回归分析,揭示了银行利润与各种因素的关系。分析表明,规模扩张和利差是中国银行利润增长决定因素,不良贷款率和存贷比对银行利润有负面作用,但利率、法定准备金率等变量与利润的关系与静态理论的预测相反,表明货币政策操作往往是顺周期的,对货币政策的滞后效应估计不足,需要加强对经济周期规律性研究,提高货币政策的前瞻性。本文还分析了当前经济增长结构性减速、利率市场化给银行带来的可能影响,从道德风险、国内外利差和汇率波动角度分析了银行和宏观经济面临的风险。     

上市商业银行利润、利率关系分析

本文对上市商业银行利润和利率水平进行了分析,同时对其格兰杰因果关系进行了检验。发现二者的关系不是很明显。在对商业银行的利润进行分析后发现,利息净收入是我国商业银行利润的主要来源,存贷款利差在考察期比较平稳且偏高。商业银行利润水平和同业拆借利率没有关系。     

货币政策对房地产市场影响的模型分析

货币政策对房地产市场有巨大影响.本文为分析货币政策对于房地产价格水平的调节作用,建立了一个商品房销售价格与货币供应量、银行同业拆借7天平均加权利率的向量自回归模型(VAR模型).研究结果表明:货币供应量和银行间同业拆借7天平均加权利率对房地产价格水平有较大影响,调节作用显著;利率对房地产价格的影响大于货币供应量对于房地产价格的影响.故而,通过货币政策调控房地产价格是可行的;在选择调控方式时,应优先考虑利率调节的方案.     

参数不稳定下利差在宏观经济与货币政策中的应用

本文在参数不稳定的情况下考察利差对通货膨胀、经济增长的信息作用,并分析包含利差的混合货币政策规则。基于贝叶斯区制转移模型（MSBVAR）的分析发现：期限利差和信用利差对通货膨胀、经济增长有影响,宏观经济波动使得利差的信息作用存在参数不稳定性,在经济下行时对经济增长有负向信号作用。信用利差对通胀的预测作用比期限利差对通胀的预测作用更强。期限利差和信用利差都在货币政策规则中有参数不稳定性的信息作用。     

利率期限结构、商业银行投资组合与宏观经济波动——基于DSGE的分析框架

将包含同业业务的商业银行投资组合、利润和利率期限结构的局部均衡模型嵌入以家庭、资本投资者、商业银行、中间厂商和最终厂商为经济主体的DSGE模型中,分析商业银行风险错配、货币政策工具和经济增长对利率期限结构的影响。结果表明:经济增长冲击和商业银行的风险错配冲击对我国利率期限结构的影响最大,其次是数量型货币政策和价格型货币政策冲击。     

货币政策与企业债券信用利差

债券市场在市场资源配置和促进国民经济发展中起着重要的作用,针对债券市场,国内外都有着大量的研究.然而大量关于货币政策影响的研究都集中在股票和国债市场上,对于企业债券影响的研究较少.本文利用国内学者大量使用的固浮利差探究货币政策与企业信用利差之间的关系,结果发现未预期与预期目标利率变化会引起企业债券市场信用利差的变化,并且预期部分的影响效应大于未预期部分.     

根治银行暴利 解铃还需系铃人

新京报载文:只有通过对金融体制和利率的市场化改革,同时利率更加市场化,银行利润才会回归合理。在经历去年国际金融危机之后,中国经济增速逐步放缓,受到外部出口需求减少和内部通胀压力的影响,实体经济经营出现困难。而与此相反的是,银行业却独善其身,利润出现了大幅增长,从已     

LPR改革对中期借贷便利工具利率传导效率的影响

实证分析中期借贷便利利率对银行贷款利率影响的变化,检验LPR改革对提高我国货币政策利率传导效率的成效。结果显示,在LPR改革后,中期借贷便利利率能够显著影响银行贷款利率,其中中小银行贷款利率受到的影响更大,表明LPR改革能够降低企业特别是中小企业的融资成本,从而提高货币政策的利率传导效率。机制分析表明,LPR报价基准的替换、LPR被纳入银行内部资金转移定价（FTP）与宏观审慎评估考核（MPA）是LPR改革提高货币政策利率传导效率的主要机制。影响因素分析发现,存款利率市场化程度低是现阶段影响我国货币政策利率传导效率的重要因素。因此,为了进一步提升货币政策利率传导效率,存款利率市场化改革应该是下一阶段改革的重要内容。同时,货币当局与监管部门应该妥善处理好利率市场化改革与金融风险之间的关系。     

利率市场化的影响及对策

一、利率市场化对我国商业银行的影响及对策 （一）利率市场化对我国商业银行的影响对于金融企业来说,利率市场化可能产生多方面的风险,对银行资产负债管理、风险管理、内部控制制度都提出了很高的要求。（1）利率市场化将导致商业银行传统主导业务萎缩,业务创新面临挑战。现有金融体制下我国商业银行的主要利润来自存贷款利差收入。     

商业银行非信贷资产业务发展研究

目前我国商业银行面临的国内外经济形势和金融监管环境正发生深刻变化,商业银行迫切需要重新审视自身的经营发展战略。在分业经营的监管模式下,对银行的资本监管要求越加严格,实现资本节约型的利润增长成为商业银行经营发展的未来方向。商业银行只有立足国内外经济金融形势,结合其发展现状和利率市场化进程,在传统信贷资产业务规模增长受限及存贷利差不断收窄的经营业态下,明确差异化的市场定位和经营策略,加强对非信贷资产业务发展的研究和推动,重视对非信贷资产业务的资源配置,才能充分发挥非信贷资产业务的价值创造功能,促进银行经营利润从传统的、单一的存贷利差收入向资本节约、服务增值的复合型多元化收入转变,进一步推动银行业务和盈利渠道的多元化发展,从而保证银行经营利润及经济增加值EVA的可持续平稳增长。     

Monetary policy regimes and the term structure of interest rates

US monetary policy is investigated using a regime-switching no-arbitrage term structure model that relies on inflation, output, and the short interest rate as factors. The model is complemented with a set of assumptions that allow the dynamics of the private sector to be separated from monetary policy. The monetary policy regimes cannot be estimated if the yield curve is ignored during estimation. Counterfactual analysis evaluates importance of regimes in policy and shocks for the great moderation. The low-volatility regime of exogenous shocks plays an important role. Monetary policy contributes by trading off asymmetric responses of output and inflation under different regimes.     

Combining monetary policy and prudential regulation: an agent-based modeling approach

This paper explores the interaction between monetary policy and prudential regulation in an agent-based modeling framework. Firms borrow funds from the banking system in an economy regulated by a central bank. The central bank carries out monetary policy, by setting the interest rate, and prudential regulation, by establishing the banking capital requirement. Different combinations of interest rate rule and capital requirement rule are evaluated with respect to both macroeconomic and financial stability. Several relevant policy implications were drawn. First, the efficacy of a given capital requirement rule or interest rate rule depends on the specification of the rule of the other type it is combined with. More precisely, less aggressive interest rate rules perform better when the range of variation of the capital requirement is narrower. Second, interest rate smoothing is more effective than the other interest rate rules assessed, as it outperforms those other rules with respect to financial stability and macroeconomic stability. Third, there is no tradeoff between financial and macroeconomic stability associated with a variation of either the capital requirement or the smoothing interest rate parameter. Finally, our results reinforce the cautionary finding of other studies regarding how output can be ravaged by a low inflation targeting.

     

紧缩性政策下银行信贷资金期限配置行为分析

从我国银行贷款传导渠道的典型事实出发,通过建立SVAR模型对紧缩性政策影响下我国银行业信贷资金期限配置行为进行研究,结果表明,当人民银行上调政策利率之后,银行出于防范利率上升所引致的净利息收益下降目的而增加短期贷款并减少中长期贷款,这就意味着,利率风险管理已成为影响银行信贷资金期限配置行为的决定因素。在此情况下,人民银行应充分发挥利率工具在促进信贷结构调整中的作用。     

A survey on time-varying parameter Taylor rule: A model modified with interest rate pass-through

Today, the prime aim of central banking is to achieve price stability and, to a lesser extent, output stability. To this end, central banks use various monetary policy rules. This paper intends to provide a broad survey of the literature on Taylor-type monetary policy rules with a time-varying parameter (TVP) specification. To include the TVP feature, some modification is made in the monetary transmission mechanism of Taylor-type monetary policy models to account for the changing risk preference of individuals. In line with this approach, we introduce an interest rate pass-through specification of the monetary transmission process in a general equilibrium model to account for the varying perceptions of risk by individuals. We include an application for Turkey and estimate the time-variable parameters of the model by employing a structural extended Kalman filter (EKF). The results indicate that the EKF performs better than the standard Kalman filter in estimating the reaction function of the central bank.     

内部控制质量、资本结构与银行风险承担——货币政策与股权集中度的调节作用

本文选取2009—2018年中国24家上市银行年度数据,采用面板模型对内部控制质量对银行风险承担的影响及其作用机制进行实证分析。研究结果表明：（1）内控质量对银行风险承担具有抑制作用。内控质量提高有助于提升银行部门间贷款信息传递及风险协同控制效率,由此降低银行风险承担。相对于非国有、低联结度与高权力度银行,内控质量对国有、高联结度与低权力度银行风险承担的影响力度更大。（2）资本结构在内控质量与银行风险承担的关系中承担着中介作用,内控质量通过影响资本结构来影响银行风险承担,“内控质量—资本结构—银行风险承担”的传导渠道有效。（3）货币政策对内控质量与银行风险承担关系具有非对称性调节作用。高利率货币政策会减弱内控质量对银行风险承担的抑制作用,宽松货币政策会加剧内控质量对银行风险承担的抑制作用。（4）股权集中度提高会减弱内控质量对银行风险承担的抑制作用,这归于控制权过度引发的关联贷款风险集聚效应对冲了内控质量对银行风险承担的抑制效应。本文研究结论可为防控中国银行部门单体风险及金融系统性风险提供重要的理论指导与决策参考。     

In search for yield? Survey-based evidence on bank risk taking

Monetary policy can have an impact on economic and financial stability through the risk taking of banks. Falling interest rates might induce investment into risky activities. This paper provides evidence on the link between monetary policy and bank risk taking. We use a factor-augmented vector autoregressive model (FAVAR) for the US for the period 1997–2008. Besides standard macroeconomic indicators, we include factors summarizing information provided in the Federal Reserve’s Survey of Terms of Business Lending (STBL). These data provide information on banks׳ new loans as well as interest rates for different loan risk categories and different banking groups. We identify a risk-taking channel of monetary policy by distinguishing responses to monetary policy shocks across different types of banks and different loan risk categories. Following an expansionary monetary policy shock, small domestic banks increase their exposure to risk. Large domestic banks do not change their risk exposure. Foreign banks take on more risk only in the mid-2000s, when interest rates were ‘too low for too long’.     

The Barnett critique after three decades: A New Keynesian analysis

This paper extends a New Keynesian model to include roles for currency and deposits as competing sources of liquidity services demanded by households. It shows that, both qualitatively and quantitatively, the Barnett critique applies: while a Divisia aggregate of monetary services tracks the true monetary aggregate almost perfectly, a simple-sum measure often behaves quite differently. The model also shows that movements in both quantity and price indexes for monetary services correlate strongly with movements in output following a variety of shocks. Finally, the analysis characterizes the optimal monetary policy response to disturbances that originate in the financial sector.     

Monetary policy in a small open economy with fixed exchange rate: The case of Macedonia

This paper empirically applies the New Keynesian model for monetary policy analysis in a small open economy with a fixed exchange rate. Official reserves are included in the interest rate rule to account for the constraint that these impose on monetary policy when the exchange rate is fixed. Also, the foreign interest rate is included in order to reflect the necessity of following the foreign monetary policy. The model is applied to Macedonian data from the period 1997 to 2011. In general, results indicate that monetary policy has been focused on domestic objectives during this period, despite the fixed currency. In addition, there seem to have been significant differences in the conduct of the monetary policy in the first and second half of this period. The response to inflation has been more aggressive in the earlier period, at a time when reserves appear less important, while the output gap is found to be important only in the latter period, possibly due to the stronger monetary policy transmission. Finally, results indicate that the monetary policy has likely moved from adaptive in the first period to rational in the second period.     

The Theory of Exchange Rate Target Zones

The theory of exchange rate target zones focuses on the role of exchange rate expectations in determining exchange rate behaviour and interest rate differentials in currency bands. This paper analyses earlier models of the target zone research programme as well as more recent developments including endogenous realignment expectations, price rigidities and alternative monetary feedback rules by means of a unified approach. Target zones may be the cause of stabilizing or destabilizing exchange rate expectations, the determinants of which crucially depend on the within-band central bank policy as well as the credibility of the central banks' commitment to defend the target zone. The paper closes with a discussion of the relative merits of implementing a target zone and some suggestions for further research.     

Dealing with a liquidity trap when government debt matters: Optimal time-consistent monetary and fiscal policy

How does the need to preserve government debt sustainability affect the optimal monetary and fiscal policy response to a liquidity trap? To provide an answer, we employ a small stochastic New Keynesian model with a zero bound on nominal interest rates and characterize optimal time-consistent stabilization policies. We focus on two policy tools, the short-term nominal interest rate and debt-financed government spending. The optimal policy response to a liquidity trap critically depends on the prevailing debt burden. While the optimal amount of government spending is decreasing in the level of outstanding government debt, future monetary policy is becoming more accommodative, triggering a change in private sector expectations that helps to dampen the fall in output and inflation at the outset of the liquidity trap.