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河南大學 Jan Klingelhöfer:审慎宏观政策、金融稳定性和银行盈利性:来自中国的证据

([西财新闻] 发布于 :2019-09-27 )

光华讲坛——社会名流与企业家论坛第 5528 期

 

Macroprudential Policy, Financial Stability and Bank Profitability: Evidence from China(審慎宏觀政策、金融穩定性和銀行盈利性:來自中國的證據)

主講人河南大學 Jan Klingelhöfer     

主持人三分时时彩經濟與管理研究院  肖偉副教授

時間2019108日(周二)上午10:00—11:30

地點:三分时时彩柳林校区格致楼1211

主辦單位:經濟與管理研究院  科研處

 

主講人简介:

Jan Klingelhöfer教授爲瑞典斯德哥爾摩大學經濟學博士,主要研究領域爲應用博弈論,應用宏觀經濟學,政治經濟學。 論文發表于Journal of Economic Behavior and Organization Journal of International Money and Finance Bulletin of Economic Research Economic Modelling等期刊

內容提要

This paper examines the effects of the central banks macroprudential measures on bank risks and profitability, using bank-level data from China throughout 2005-2018 and the Klingelhöfer-Sun narrative macroprudential policy indices. Standard financial theories predict that macroprudential policy tightening would lead to substantial declines in credit growth and measures of financial market risk. However, few studies have examined the potential impact of macroprudential policy on bank profitability on the other hand. For more than 300 banks in China, we build dynamic panel models to test the impact of macroprudential policy on both bank stability and profitability measures, with monetary policy controlled for. In particular, we focus on three kinds of bank-level measures: 1. Increase in new bank loans; 2. Various measures of bank risks, including the banks share of non-performing loans, the loss provisioning ratio, the capital adequacy ratio, the foreign exchange exposure, the loan-deposit ratio as well as the leverage ratio; 3.Indicators to measure bank profitability, such as the return on assets, the profit-assets ratio, the cost-income ratio and the net profit margin. We find that following a macroprudential policy tightening, new bank loans dropped; bank risks declined; bank profitability weakened, while monetary policy is found to have no significant impact on bank risks and profitability. We highlight that a macroprudential policy tightening improved financial market stability conditions, but at the cost of worsening bank profitability. In return, this worsening profitability can make banks more vulnerable to adverse shocks in the long run. We argue for taking a holistic view of macroprudential policy design that recognizes both costs and benefits of financial regulation and supervision.

通過使用中國2005-2018年銀行層面的數據及Klingelhöfer-Sun宏觀審慎政策指數,本文分析了央行審慎宏觀政策對銀行風險和盈利能力的影響。根據標准的金融理論,審慎型宏觀政策會減少信貸增量,降低金融市場風險。但是,關于宏觀審慎政策如何影響銀行的盈利能力的研究仍然較少。本文構建了超過300家銀行的面板,在控制了貨幣政策後,用動態面板模型檢驗了審慎型宏觀政策對銀行穩定與盈利指標的影響。我們特別關注了三類銀行層面的指標:1. 銀行貸款的增加;2. 銀行風險的各種度量,包括不良貸款比重、損失准備金率、資本充足率、外彙風險敞口、存貸比和杠杆率;3. 衡量銀行盈利性的指標,包括資産回報率、利潤資産比、成本收入比和淨利潤。我們發現,隨著宏觀審慎政策收緊,銀行新增貸款降低,銀行風險降低,銀行盈利性變弱。但貨幣政策對銀行風險和盈利能力並沒有顯著影響。我們強調,審慎型宏觀政策收緊雖然提高了金融市場的穩定性,但是其代價是銀行盈利能力的降低。長期來看,這種盈利能力的降低是的銀行應對沖擊的能力更爲脆弱。我們認爲,應該更全面地看待審慎性宏觀經濟政策,認識到金融市場監管的成本與收益。

 


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