货币政策、资本监管与商业银行风险承担的门槛效应：理论与经验证据

鉴于现有文献对于货币政策、资本监管与商业银行风险承担之间关系的争议，本文基于Blum（1999）和Kopecky and Vanhoose（2004）构建了双重约束的商业银行利润函数，进一步探讨了货币政策、资本监管与商业银行风险承担之间的门槛效应。我们认为：严格的货币政策、资本监管一方面会降低商业银行杠杆率和利润创造能力，另一方面会通过优化资产组合的方式增加收益。那么，货币政策、资本监管与商业银行风险承担之间的关系将取决于二者的净效应。如果杠杆率降低和成本压力增加所产生的负效应大于优化资产组合所产生的正效应，货币政策、资本监管将增加商业银行的风险承担；反之，则降低商业银行的风险承担。在此基础上，基于2000-2012年中国44家商业银行的相应数据，本文利用面板门槛回归模型对上述门槛效应进行了实证检验，结果证实了我们的猜想。最后，本文得出了结论和相应的政策建议。

Monetary Policy,Capital Regulation and Threshold Effects of Commercial Bank’s Risk-Taking: Theory and Empirical Evidence

Owing to the controversial issue on the relationship between monetary policy, capital regulation and commercial bank’s risk - taking, this paper builds an profit function with double constraints according to Blum （ 1999 ） and Kopecky and Vanhoose （ 2004 ） , and then analyzes the threshold effects between monetary policy, capital regulation and commercial bank’s risk-taking. We believe that strictly monetary policy and capital regulation will not only increases the expected revenue by optimizing asset portfolio, but also reduces the expected value from leverage decreasing. Therefore, the relationship between monetary policy, capital regulation and commercial bank’s risk - taking depends on the net effects of the two. That is to say, if the effect of leverage decreasing surpasses the effect of optimizing asset portfolio, strictly monetary policy, capital regulation would increase the commercial bank’s risk-taking, or else, there shows negative relationship among of them. Apart from it, according to China’s 35 commercial bank’s relevant data from 2000 to 2012, we test the threshold effects by using panel threshold model, and the result proves our proposition. Finally, the conclusion and some suggestions are given.